Contemporary Quantitative Finance Essays in Honour of Eckhard Platen

The contributors to this volume write a series of articles outlining contemporary advances in a number of key areas of mathematical finance such as, optimal control theory applied to finance, interest rate models, credit risk and credit derivatives, use of alternative stochastic processes, numerical...

Full description

Bibliographic Details
Other Authors: Chiarella, Carl (Editor), Novikov, Alexander (Editor)
Format: eBook
Language:English
Published: Berlin, Heidelberg Springer Berlin Heidelberg 2010, 2010
Edition:1st ed. 2010
Subjects:
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
LEADER 03445nmm a2200385 u 4500
001 EB000382843
003 EBX01000000000000000235895
005 00000000000000.0
007 cr|||||||||||||||||||||
008 130626 ||| eng
020 |a 9783642034794 
100 1 |a Chiarella, Carl  |e [editor] 
245 0 0 |a Contemporary Quantitative Finance  |h Elektronische Ressource  |b Essays in Honour of Eckhard Platen  |c edited by Carl Chiarella, Alexander Novikov 
250 |a 1st ed. 2010 
260 |a Berlin, Heidelberg  |b Springer Berlin Heidelberg  |c 2010, 2010 
300 |a X, 423 p  |b online resource 
505 0 |a Probabilistic Aspects of Arbitrage -- Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing -- M6—On Minimal Market Models and Minimal Martingale Measures -- The Economic Plausibility of Strict Local Martingales in Financial Modelling -- A Remarkable ?-finite Measure Associated with Last Passage Times and Penalisation Problems -- Pricing Without Equivalent Martingale Measures Under Complete and Incomplete Observation -- Existence and Non-uniqueness of Solutions for BSDE -- Comparison Theorems for Finite State Backward Stochastic Differential Equations -- Results on Numerics for FBSDE with Drivers of Quadratic Growth -- Variance Swap Portfolio Theory -- Stochastic Partial Differential Equations and Portfolio Choice -- Issuers’ Commitments Would Add More Value than Any Rating Scheme Could Ever Do -- Pricing and Hedging of CDOs: A Top Down Approach -- Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives -- Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms -- Buy Low and Sell High -- Continuity Theorems in Boundary Crossing Problems for Diffusion Processes -- Binomial Models for Interest Rates -- Lognormal Forward Market Model (LFM) Volatility Function Approximation -- Maximum Likelihood Estimation for Integrated Diffusion Processes 
653 |a Mathematics in Business, Economics and Finance 
653 |a Numerical Analysis 
653 |a Statistics  
653 |a Calculus of Variations and Optimization 
653 |a Probability Theory 
653 |a Statistics in Business, Management, Economics, Finance, Insurance 
653 |a Social sciences / Mathematics 
653 |a Numerical analysis 
653 |a Mathematical optimization 
653 |a Calculus of variations 
653 |a Probabilities 
700 1 |a Novikov, Alexander  |e [editor] 
041 0 7 |a eng  |2 ISO 639-2 
989 |b Springer  |a Springer eBooks 2005- 
028 5 0 |a 10.1007/978-3-642-03479-4 
856 4 0 |u https://doi.org/10.1007/978-3-642-03479-4?nosfx=y  |x Verlag  |3 Volltext 
082 0 |a 519 
520 |a The contributors to this volume write a series of articles outlining contemporary advances in a number of key areas of mathematical finance such as, optimal control theory applied to finance, interest rate models, credit risk and credit derivatives, use of alternative stochastic processes, numerical solution of equations of mathematical finance, estimation of stochastic processes in finance. The list of authors includes many of the researchers who have made the major contributions to these various areas of mathematical finance. This volume addresses both researchers and professionals in financial institutions, as well as regulators working in the above mentioned fields