Stochastic Finance

Häftad, Engelska, 2010

AvAlbert N. Shiryaev,Maria do Rosário Grossinho,Paulo E. Oliveira,Manuel L. Esquível

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Since the pioneering work of Black, Scholes, and Merton in the field of financial mathematics, research has led to the rapid development of a substantial body of knowledge, with plenty of applications to the common functioning of the world’s financial institutions.

Produktinformation

Utgivningsdatum2010-10-29
Mått155 x 235 x 21 mm
Vikt575 g
FormatHäftad
SpråkEngelska
Antal sidor364
FörlagSpringer-Verlag New York Inc.
ISBN9781441939326

Tillhör följande kategorier

Plenary and Invited Lectures.- How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise.- Multipower Variation and Stochastic Volatility.- Completeness of a General Semimartingale Market under Constrained Trading.- Extremal behavior of stochastic volatility models.- Capital Asset Pricing for Markets with Intensity Based Jumps.- Mortgage Valuation and Optimal Refinancing.- Computing efficient hedging strategies in discontinuous market models.- A Downside Risk Analysis based on Financial Index Tracking Models.- Contributed Talks.- Modelling electricity prices by the potential jump-diffusion.- Finite dimensional Markovian realizations for forward price term structure models.- Good Portfolio Strategies under Transaction Costs: A Renewal Theoretic Approach.- Power and Multipower Variation: inference for high frequency data.