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...

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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
Table of Contents:
  • 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