Stochastic Finance

Edited by A. N. Shiryaev, M. R. Grossinho, P. E. Oliveira and M. L. Esquível

in Springer Books from Springer

Date: 2006
ISBN: 978-0-387-28359-3
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Chapters in this book:

Ch 1 How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

Yacine Aït-Sahalia, Per A. Mykland and Lan Zhang

Ch 2 Multipower Variation and Stochastic Volatility

Ole Barndorff-Nielsen and Neil Shephard

Ch 3 Completeness of a General Semimartingale Market under Constrained Trading

Tomasz R. Bielecki, Monique Jeanblanc° and Marek Rutkowski

Ch 4 Extremal behavior of stochastic volatility models

Vicky Fasen, Claudia Klüppelberg and Alexander Lindner

Ch 5 Capital Asset Pricing for Markets with Intensity Based Jumps

Eckhard Platen

Ch 6 Mortgage Valuation and Optimal Refinancing

Stanley R. Pliska

Ch 7 Computing efficient hedging strategies in discontinuous market models

Wolfgang J. Runggaldier and Sara Di Emidio

Ch 8 A Downside Risk Analysis based on Financial Index Tracking Models

Lian Yu, Shuzhong Zhang and Xun Yu Zhou

Ch 9 Modelling electricity prices by the potential jump-diffusion

Svetlana Borovkova and Ferry Jaya Permana

Ch 10 Finite dimensional Markovian realizations for forward price term structure models

Raquel M. Gaspar

Ch 11 Good Portfolio Strategies under Transaction Costs: A Renewal Theoretic Approach

Albrecht Irle and Jörn Sass

Ch 12 Power and Multipower Variation: inference for high frequency data

Jeannette H. C. Woerner

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DOI: 10.1007/0-387-28359-5

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