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Chiarella, Carl

Contemporary Quantitative Finance

Chiarella, Carl - Contemporary Quantitative Finance, ebook

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ISBN: 9783642034794
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Table of contents

1. Probabilistic Aspects of Arbitrage
Daniel Fernholz, Ioannis Karatzas

2. Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
Constantinos Kardaras

3. M6—On Minimal Market Models and Minimal Martingale Measures
Hardy Hulley, Martin Schweizer

4. The Economic Plausibility of Strict Local Martingales in Financial Modelling
Hardy Hulley

5. A Remarkable σ-finite Measure Associated with Last Passage Times and Penalisation Problems
Joseph Najnudel, Ashkan Nikeghbali

6. Pricing Without Equivalent Martingale Measures Under Complete and Incomplete Observation
Giorgia Galesso, Wolfgang J. Runggaldier

7. Existence and Non-uniqueness of Solutions for BSDE
Xiaobo Bao, Freddy Delbaen, Ying Hu

8. Comparison Theorems for Finite State Backward Stochastic Differential Equations
Samuel N. Cohen, Robert J. Elliott

9. Results on Numerics for FBSDE with Drivers of Quadratic Growth
Peter Imkeller, Gonçalo Reis, Jianing Zhang

10. Variance Swap Portfolio Theory
Dilip B. Madan

11. Stochastic Partial Differential Equations and Portfolio Choice
Marek Musiela, Thaleia Zariphopoulou

12. Issuers’ Commitments Would Add More Value than Any Rating Scheme Could Ever Do
Carlos Veiga, Uwe Wystup

13. Pricing and Hedging of CDOs: A Top Down Approach
Damir Filipović, Thorsten Schmidt

14. Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
Pavel V. Gapeev, Monique Jeanblanc, Libo Li, Marek Rutkowski

15. Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms
Carl Chiarella, Andrew Ziogas, Jonathan Ziveyi

16. Buy Low and Sell High
Min Dai, Hanqing Jin, Yifei Zhong, Xun Yu Zhou

17. Continuity Theorems in Boundary Crossing Problems for Diffusion Processes
Konstantin A. Borovkov, Andrew N. Downes, Alexander A. Novikov

18. Binomial Models for Interest Rates
John Hoek

19. Lognormal Forward Market Model (LFM) Volatility Function Approximation
In-Hwan Chung, Tim Dun, Erik Schlögl

20. Maximum Likelihood Estimation for Integrated Diffusion Processes
Fernando Baltazar-Larios, Michael Sørensen

Keywords: Mathematics, Quantitative Finance, Calculus of Variations and Optimal Control, Optimization, Probability Theory and Stochastic Processes, Statistics for Business/Economics/Mathematical Finance/Insurance, Numerical Analysis

Author(s)
 
Publisher
Springer
Publication year
2010
Language
en
Edition
1
Category
Natural Sciences
Format
Ebook
eISBN (PDF)
9783642034794

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