Kallsen, Jan
Advanced Modelling in Mathematical Finance
Part I. Flexible Levy-based Models
1. Tail Behaviour and Tail Dependence ofGeneralized Hyperbolic Distributions
Ernst August v. Hammerstein
2. Gamma Kernels and
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
Avainsanat: Mathematics, Quantitative Finance, Probability Theory and Stochastic Processes
- Toimittaja
- Kallsen, Jan
- Papapantoleon, Antonis
- Julkaisija
- Springer
- Julkaisuvuosi
- 2016
- Kieli
- en
- Painos
- 1
- Sarja
- Springer Proceedings in Mathematics & Statistics
- Sivumäärä
- 24 sivua
- Kategoria
- Eksaktit luonnontieteet
- Tiedostomuoto
- E-kirja
- eISBN (PDF)
- 9783319458755
- Painetun ISBN
- 978-3-319-45873-1