Contemporary quantitative finance essays in honour of Eckhard Platen
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| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Berlin [u.a.]
Springer
2010
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| Online-Zugang: | Inhaltstext Inhaltsverzeichnis |
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| 245 | 1 | 0 | |a Contemporary quantitative finance |b essays in honour of Eckhard Platen |c Carl Chiarella ...(eds.) |
| 264 | 1 | |a Berlin [u.a.] |b Springer |c 2010 | |
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Datensatz im Suchindex
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| adam_text |
Titel: Contemporary quantitative finance
Autor: Chiarella, Carl
Jahr: 2010
Contents
Probabilistic Aspects of Arbitrage. 1
Daniel Fernholz and Ioannis Karatzas
Finitely Additive Probabilities and the Fundamental Theorem of Asset
Pricing. 19
Constantinos Kardaras
M6-On Minimal Market Models and Minimal Martingale Measures . . 35
Hardy Hulley and Martin Schweizer
The Economic Plausibility of Strict Local Martingales in Financial
Modelling. 53
Hardy Hulley
A Remarkable a-finite Measure Associated with Last Passage Times
and Penalisation Problems. 77
Joseph Najnudel and Ashkan Nikeghbali
Pricing Without Equivalent Martingale Measures Under Complete and
Incomplete Observation. 99
Wolfgang J. Runggaldier and Giorgia Galesso
Existence and Non-uniquenessof Solutions for BSDE.123
Xiaobo Bao, Freddy Delbaen, and Ying Hu
Comparison Theorems for Finite State Backward Stochastic Differential
Equations.135
Samuel N. Cohen and Robert J. Elliott
Results on Numerics for FBSDE with Driversof QuadraticGrowth . 159
Peter Imkeller, Gon?alo Dos Reis, and Jianing Zhang
Variance Swap Portfolio Theory.183
Dilip B. Madan
Stochastic Partial Differential Equations and Portfolio Choice.195
Marek Musiela and Thaleia Zariphopoulou
Issuers' Commitments Would Add More Value than Any Rating Scheme
CouldEverDo.217
Carlos Veiga and Uwe Wystup
Pricing and Hedging of CDOs: A Top Down Approach.231
Damir Filipovic and Thorsten Schmidt
Constructing Random Times with Given Survival Processes and
Applications to Valuation of Credit Derivatives.255
Pavel V. Gapeev, Monique Jeanblanc, Libo Li, and Marek Rutkowski
Representation of American Option Prices Under Heston Stochastic
Volatility Dynamics Using Integral Transforms.281
Carl Chiarella, Andrew Ziogas, and Jonathan Ziveyi
Buy Low and Seil High.317
Min Dai, Hanqing Jin, Yifei Zhong, and Xun Yu Zhou
Continuity Theorems in Boundary Crossing Problems for Diffusion
Processes.335
Konstantin A. Borovkov, Andrew N. Downes, and Alexander A. Novikov
Binomial Models for Interest Rates.353
John van der Hoek
Lognormal Forward Market Model (LFM) Volatility Function
Approximation.369
In-Hwan Chung, Tim Dun, and Erik Schlögl
Maximum Likelihood Estimation for Integrated Diffusion Processes . . . 407
Fernando Baltazar-Larios and Michael S0rensen |
| any_adam_object | 1 |
| author2 | Chiarella, Carl 1944-2016 |
| author2_role | edt |
| author2_variant | c c cc |
| author_GND | (DE-588)121195724 (DE-588)115479201 |
| author_facet | Chiarella, Carl 1944-2016 |
| building | Verbundindex |
| bvnumber | BV036054415 |
| classification_rvk | QB 920 QP 890 SK 980 |
| ctrlnum | (OCoLC)503649463 (DE-599)DNB1000034003 |
| dewey-full | 332.0151 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.0151 |
| dewey-search | 332.0151 |
| dewey-sort | 3332.0151 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| genre_facet | Aufsatzsammlung Festschrift Konferenzschrift 2009 Sydney |
| id | DE-604.BV036054415 |
| illustrated | Illustrated |
| index_date | 2024-09-19T15:27:00Z |
| indexdate | 2024-09-27T16:20:28Z |
| institution | BVB |
| isbn | 9783642034787 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-018946028 |
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| physical | X, 423 S. graph. Darst. |
| publishDate | 2010 |
| publishDateSearch | 2010 |
| publishDateSort | 2010 |
| publisher | Springer |
| record_format | marc |
| spellingShingle | Contemporary quantitative finance essays in honour of Eckhard Platen Kreditmarkt (DE-588)4073788-3 gnd Kontrolltheorie (DE-588)4032317-1 gnd Kreditrisiko (DE-588)4114309-7 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Optimierung (DE-588)4043664-0 gnd Kreditderivat (DE-588)7660453-6 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4073788-3 (DE-588)4032317-1 (DE-588)4114309-7 (DE-588)4057630-9 (DE-588)4043664-0 (DE-588)7660453-6 (DE-588)4017195-4 (DE-588)4143413-4 (DE-588)4016928-5 (DE-588)1071861417 |
| title | Contemporary quantitative finance essays in honour of Eckhard Platen |
| title_auth | Contemporary quantitative finance essays in honour of Eckhard Platen |
| title_exact_search | Contemporary quantitative finance essays in honour of Eckhard Platen |
| title_full | Contemporary quantitative finance essays in honour of Eckhard Platen Carl Chiarella ...(eds.) |
| title_fullStr | Contemporary quantitative finance essays in honour of Eckhard Platen Carl Chiarella ...(eds.) |
| title_full_unstemmed | Contemporary quantitative finance essays in honour of Eckhard Platen Carl Chiarella ...(eds.) |
| title_short | Contemporary quantitative finance |
| title_sort | contemporary quantitative finance essays in honour of eckhard platen |
| title_sub | essays in honour of Eckhard Platen |
| topic | Kreditmarkt (DE-588)4073788-3 gnd Kontrolltheorie (DE-588)4032317-1 gnd Kreditrisiko (DE-588)4114309-7 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Optimierung (DE-588)4043664-0 gnd Kreditderivat (DE-588)7660453-6 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Kreditmarkt Kontrolltheorie Kreditrisiko Stochastischer Prozess Optimierung Kreditderivat Finanzmathematik Aufsatzsammlung Festschrift Konferenzschrift 2009 Sydney |
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