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Kabanov, Yuri

Inspired by Finance

Kabanov, Yuri - Inspired by Finance, ebook

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ISBN: 9783319020693
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Table of contents

1. Forward Start Foreign Exchange Options Under Heston’s Volatility and the CIR Interest Rates
Rehez Ahlip, Marek Rutkowski

2. Real Options with Competition and Incomplete Markets
Alain Bensoussan, SingRu (Celine) Hoe

3. Dynamic Hedging of Counterparty Exposure
Tomasz R. Bielecki, Stéphane Crépey

4. A Note on Market Completeness with American Put Options
Luciano Campi

5. An f-Divergence Approach for Optimal Portfolios in Exponential Lévy Models
S. Cawston, L. Vostrikova

6. Optimal Investment with Bounded VaR for Power Utility Functions
Bénamar Chouaf, Serguei Pergamenchtchikov

7. Three Essays on Exponential Hedging with Variable Exit Times
Tahir Choulli, Junfeng Ma, Marie-Amélie Morlais

8. Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient
Sébastien Darses, Emmanuel Lépinette

9. Conditional Default Probability and Density
N. ElKaroui, M. Jeanblanc, Y. Jiao, B. Zargari

10. Yield Curve Smoothing and Residual Variance of Fixed Income Positions
Raphaël Douady

11. Maximally Acceptable Portfolios
Ernst Eberlein, Dilip B. Madan

12. Some Extensions of Norros’ Lemma in Models with Several Defaults
Pavel V. Gapeev

13. On the Pricing of Perpetual American Compound Options
Pavel V. Gapeev, Neofytos Rodosthenous

14. New Approximations in Local Volatility Models
E. Gobet, A. Suleiman

15. Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options
Peter Hepperger

16. A Time Before Which Insiders Would not Undertake Risk
Constantinos Kardaras

17. Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting
Paul C. Kettler, Frank Proske, Mark Rubtsov

18. On the First Passage Time Under Regime-Switching with Jumps
Masaaki Kijima, Chi Chung Siu

19. Strong Consistency of the Bayesian Estimator for the Ornstein–Uhlenbeck Process
Arturo Kohatsu-Higa, Nicolas Vayatis, Kazuhiro Yasuda

20. Multiasset Derivatives and Joint Distributions of Asset Prices
Ilya Molchanov, Michael Schmutz

21. Pricing of Volume-Weighted Average Options: Analytical Approximations and Numerical Results
Alexander A. Novikov, Timothy G. Ling, Nino Kordzakhia

22. A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility
Sergey Nadtochiy, Thaleia Zariphopoulou

23. Solution of Optimal Stopping Problem Based on a Modification of Payoff Function
Ernst Presman

24. A Stieltjes Approach to Static Hedges
Michael Schmutz, Thomas Zürcher

25. Optimal Stopping of Seasonal Observations and Projection of a Markov Chain
Isaac M. Sonin

Keywords: Mathematics, Quantitative Finance

Author(s)
 
 
Publisher
Springer
Publication year
2014
Language
en
Edition
2014
Page amount
23 pages
Category
Natural Sciences
Format
Ebook
eISBN (PDF)
9783319020693

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