Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen available in Hardcover
- Pub. Date:
- Springer Berlin Heidelberg
The contributors to this volume write a series of articles outlining contemporary advances in a number of key areas of mathematical finance such as, optimal control theory applied to finance, interest rate models, credit risk and credit derivatives, use of alternative stochastic processes, numerical solution of equations of mathematical finance, estimation of stochastic processes in finance. The list of authors includes many of the researchers who have made the major contributions to these various areas of mathematical finance.
|Publisher:||Springer Berlin Heidelberg|
|Product dimensions:||6.10(w) x 9.25(h) x 0.04(d)|
About the Author
Alexander Novikov is Professor of Mathematics (Chair in Probability) at the Department of Mathematical Sciences, the University of Technology, Sydney. He received the Doctor of Science degree in mathematics from Steklov Mathematical Institute, Moscow. He has edited several proceedings and published more than 80 research papers in different areas of statistics of random processes, sequential analysis, random fields and mathematical finance. Alexander has been member of the Editorial Board of Statistics and Probability Letters, Bernoulli and Methods of Mathematical Statistics.
Table of ContentsC. Chiarella and A. Novikov: Introduction.- D. Fernholz and I. Karatzas: Probabilistic aspects of arbitrage.- C. Kardaras: Finitely additive probabilities and the fundamental theorem of asset pricing.- H. Hulley and M. Schweizer: M6 - On minimal market models and minimal martingale measures.- H. Hulley: The economic plausibility of strict local martingales in financial modelling.- J. Najnudel and A. Nikeghbali: A remarkable $\sigma$-finite measure associated with last passage times and penalisation problems.- G. Galesso and W. Runggaldier: Pricing without equivalent martingale measures under complete and incomplete observation.- X. Bao, F. Delbaen and Y. Hu: Existence and non-uniqueness of solutions for BSDE.- S. N. Cohen and R. J. Elliott: Comparison theorems for finite state backward shastic differential equations.- P. Imkeller, G. D. Reis and J. Zhang: Results on numerics for FBSDE with drivers of quadratic growth.- D. B. Madan: Variance Swap Portfolio Theory.- M. Musiela and T. Zariphopoulou: Shastic partial differential equations and portfolio choice.- C. Veiga and U. Wystup: Issuers’ commitments would add more value than any rating scheme could ever do.- D. Filipovic and T. Schmidt: Pricing and hedging of CDOs: A top down approach.- P. V. Gapeev, M. Jeanblanc, L. Li and M. Rutkowski: Constructing random times with given survival processes and applications to valuation of credit derivatives.- C. Chiarella, A. Ziogas and J. Ziveyi: Representation or American option prices under Heston shastic volatility dynamics using integral transforms.- M. Dai, H. Jin, Y. Zhong and X. Y. Zhou: Buy low and Sell high.- K. A. Borovkov, A. N. Downes and A. Novikov: Continuity theorems in boundary crossing problems for diffusion processes.- J. Van der Hoek: Binomial models for interest rates.- I. H. Chung, T. Dun and E. Schlögl: Lognormal Forward Market Model (LFM) volatility function approximation.- F. Baltazar-Larios and M. Sørensen: Maximum likelihood estimation for integrated diffusion processes.