Kallsen, Jan

Advanced Modelling in Mathematical Finance

Kallsen, Jan - Advanced Modelling in Mathematical Finance, ebook


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ISBN: 9783319458755
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Table of contents

Part I. Flexible Levy-based Models

1. Tail Behaviour and Tail Dependence ofGeneralized Hyperbolic Distributions
Ernst August v. Hammerstein

2. Gamma Kernels and BSS/LSS Processes
Ole E. Barndorff-Nielsen

3. Explicit Computations for Some Markov Modulated Counting Processes
Michel Mandjes, Peter Spreij

Part II. Statistics and Risk

4. Introducing Distances Between Commodity Markets: The Case of the US and UK Natural Gas
Hélyette Geman, Bo Liu

5. Three Non-Gaussian Models of Dependence in Returns
Dilip B. Madan

6. Estimation of Correlation Between Latent Processes
Akitoshi Kimura, Nakahiro Yoshida

7. Hunting for Black Swans in the European Banking Sector Using Extreme Value Analysis
Jan Beirlant, Wim Schoutens, Jan De Spiegeleer, Tom Reynkens, Klaus Herrmann

8. Collateralized Borrowing and Default Risk
Eva Lütkebohmert, Yajun Xiao

9. Model Uncertainty in a Holistic Perspective
Gerhard Stahl

Part III. Derivative Pricing, Hedging, and Optimisation

10. Option Pricing in Affine Generalized Merton Models
Christian Bayer, John Schoenmakers

11. Approximate Pricing of Call Options on the Quadratic Variation in Lévy Models
Giso Jahncke, Jan Kallsen

12. Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model
Aleš Černý

13. Forward Exponential Indifference Valuation in an Incomplete Binomial Model
M. Musiela, E. Sokolova, T. Zariphopoulou

14. Almost Surely Optimal Portfolios Under Proportional Transaction Costs
Mark-Roman Feodoria, Jan Kallsen

15. On the Optimal Investment
José Manuel Corcuera, José Fajardo, Olivier Menouken Pamen

16. Construction and Hedging of Optimal Payoffs in Lévy Models
Ludger Rüschendorf, Viktor Wolf

Part IV. Term-Structure Modelling

17. No Arbitrage Theory for Bond Markets
Irene Klein, Thorsten Schmidt, Josef Teichmann

18. A Unified View of LIBOR Models
Kathrin Glau, Zorana Grbac, Antonis Papapantoleon

19. Approximate Option Pricing in the Lévy Libor Model
Zorana Grbac, David Krief, Peter Tankov

20. Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework
Fred Espen Benth

Keywords: Mathematics, Quantitative Finance, Probability Theory and Stochastic Processes

Publication year
Springer Proceedings in Mathematics & Statistics
Page amount
24 pages
Natural Sciences
Printed ISBN

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