Contemporary quantitative finance: essays in honour of Eckhard Platen

Several 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 andcredit derivatives, use of alternative stochastic processes, numerical solution of equations of mathematical finance, estimation of stochastic processes infinance. The list of authors contains many of the researchers who have made the major contributions to these various areas of mathematical finance. INDICE: C. 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 stochastic 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: Stochastic 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 ofCDOs: A top down approach.- P. V. Gapeev, M. Jeanblanc, L. Li and M. Rutkowski: Constructing random times with given survival processes and applications tovaluation of credit derivatives.- C. Chiarella, A. Ziogas and J. Ziveyi: Representation or American option prices under Heston stochastic 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.

• ISBN: 978-3-642-03478-7
• Editorial: Springer
• Encuadernacion: Cartoné
• Páginas: 440
• Fecha Publicación: 23/12/2009
• Nº Volúmenes: 1
• Idioma: Inglés