Del 189 i serien Springer Proceedings in Mathematics & Statistics

Advanced Modelling in Mathematical Finance

In Honour of Ernst Eberlein

Häftad, Engelska, 2018

2 499 kr

Beställningsvara. Skickas inom 10-15 vardagar. Fri frakt för medlemmar vid köp för minst 249 kr.

Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling.

Produktinformation

Utgivningsdatum2018-04-29
Mått155 x 235 x 28 mm
Vikt779 g
FormatHäftad
SpråkEngelska
SerieSpringer Proceedings in Mathematics & Statistics
Antal sidor496
FörlagSpringer International Publishing AG
ISBN9783319833903

Tillhör följande kategorier

Preface.- An Interview with Ernst Eberlein.- Part I: Flexible Lévy-based models. E. A. v. Hammerstein: Tail behaviour and tail dependence of generalized hyperbolic distributions.- O. Barndorff-Nielsen: Gamma kernels and BSS/LSS processes.- M. Mandjes and P. Spreij: Explicit computations for some Markov modulated counting processes.- Part II: Statistics and risk.- H. Geman and B. Liu: The outlook of energy markets in 2015: introducing distances between forward curves.- D. Madan: Three non-Gaussian models of dependence in returns.- A. Kimura and N. Yoshida: Estimation of correlation between latent processes.- J. Beirlant, W. Schoutens, J. De Spiegeleer, T. Reynkens, and K. Herrmann: Hunting for black swans in the European banking sector using extreme value analysis.- E. Lütkebohmert-Holtz and Y. Xiao: Collateralized borrowing and default risk.- G. Stahl: Model uncertainty in a holistic perspective.- Part III: Derivative pricing, hedging, and optimization.- Ch. Bayer and J. Schoenmakers: Option pricing in affine generalized Merton models.- G. Jahncke and J. Kallsen: Approximate pricing of call options on the quadratic variation in Lévy models.- A. Černý: Dynamic discrete-time hedging of barrier options under leptokurtic returns driven by an exponential Lévy model.- M. Musiela, E. Sokolova, and Th. Zariphopoulou: Exponential forward indifference prices in incomplete binomial models.- M. Feodoria and J. Kallsen: Almost surely optimal portfolios under propotional transaction costs.- J. M. Corcuera, J. Fajardo, and O. Pamen: On the optimal payoffs.- L. Rüschendorf and V. Wolf: Construction and hedging of optimal payoffs in Lévy Models.- Part IV: Term-structure modelling.- I. Klein, Th. Schmidt, and J. Teichmann: No arbitrage theory for bond markets.- K. Glau, Z. Grbac, and Antonis Papapantoleon: A unified view of LIBOR models.- Z. Grbac, D. Krief, and P. Tankov: Approximate option pricing in the Lévy LIBOR model.- F. E. Benth: Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework.