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Nunno, Giulia Di

Advanced Mathematical Methods for Finance

Nunno, Giulia Di - Advanced Mathematical Methods for Finance, ebook

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ISBN: 9783642184123
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Table of contents

1. Dynamic Risk Measures
Beatrice Acciaio, Irina Penner

2. Ambit Processes and Stochastic Partial Differential Equations
Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart

3. Fractional Processes as Models in Stochastic Finance
Christian Bender, Tommi Sottinen, Esko Valkeila

4. Credit Contagion in a Long Range Dependent Macroeconomic Factor Model
Francesca Biagini, Serena Fuschini, Claudia Klüppelberg

5. Modelling Information Flows in Financial Markets
Dorje C. Brody, Lane P. Hughston, Andrea Macrina

6. An Overview of Comonotonicity and Its Applications in Finance and Insurance
Griselda Deelstra, Jan Dhaene, Michèle Vanmaele

7. A General Maximum Principle for Anticipative Stochastic Control and Applications to Insider Trading
Giulia DiNunno, Olivier MenoukeuPamen, Bernt Øksendal, Frank Proske

8. Analyticity of the Wiener–Hopf Factors and Valuation of Exotic Options in Lévy Models
Ernst Eberlein, Kathrin Glau, Antonis Papapantoleon

9. Optimal Liquidation of a Pairs Trade
Erik Ekström, Carl Lindberg, Johan Tysk

10. A PDE-Based Approach for Pricing Mortgage-Backed Securities
Marco Papi, Maya Briani

11. Nonparametric Methods for Volatility Density Estimation
Bert Es, Peter Spreij, Harry Zanten

12. Fractional Smoothness and Applications in Finance
Stefan Geiss, Emmanuel Gobet

13. Liquidity Models in Continuous and Discrete Time
Selim Gökay, Alexandre F. Roch, H. Mete Soner

14. Some New BSDE Results for an Infinite-Horizon Stochastic Control Problem
Ying Hu, Martin Schweizer

15. Functionals Associated with Gradient Stochastic Flows and Nonlinear SPDEs
B. Iftimie, M. Marinescu, C. Vârsan

16. Pricing and Hedging of Rating-Sensitive Claims Modeled by F-doubly Stochastic Markov Chains
Jacek Jakubowski, Mariusz Niewęgłowski

17. Exotic Derivatives under Stochastic Volatility Models with Jumps
Aleksandar Mijatović, Martijn Pistorius

18. Asymptotics of HARA Utility from Terminal Wealth under Proportional Transaction Costs with Decision Lag or Execution Delay and Obligatory Diversification
Lukasz Stettner

Keywords: Mathematics, Quantitative Finance, Probability Theory and Stochastic Processes, Macroeconomics/Monetary Economics, Financial Economics, Socio- and Econophysics, Population and Evolutionary Models, Statistics for Business/Economics/Mathematical Finance/Insurance

Author(s)
 
Publisher
Springer
Publication year
2011
Language
en
Edition
1
Category
Natural Sciences
Format
Ebook
eISBN (PDF)
9783642184123

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