Inspired by Finance

Kabanov, Yuri; Rutkowski, Marek; Zariphopoulou, Thaleia

Inspired by Finance

Edited by Yuri Kabanov (), Marek Rutkowski () and Thaleia Zariphopoulou ()

Date: 2014
Edition: 2014
ISBN: 978-3-319-02069-3
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Chapters in this book:

Forward Start Foreign Exchange Options Under Heston’s Volatility and the CIR Interest Rates: Rehez Ahlip and Marek Rutkowski
Real Options with Competition and Incomplete Markets: Alain Bensoussan and SingRu (Celine) Hoe
Dynamic Hedging of Counterparty Exposure: Tomasz R. Bielecki and Stéphane Crépey
A Note on Market Completeness with American Put Options: Luciano Campi
An f-Divergence Approach for Optimal Portfolios in Exponential Lévy Models: S. Cawston and L. Vostrikova
Optimal Investment with Bounded VaR for Power Utility Functions: Bénamar Chouaf and Serguei Pergamenchtchikov
Three Essays on Exponential Hedging with Variable Exit Times: Tahir Choulli, Junfeng Ma and Marie-Amélie Morlais
Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient: Sébastien Darses and Emmanuel Lépinette
Conditional Default Probability and Density: N. El Karoui, M. Jeanblanc, Y. Jiao and B. Zargari
Yield Curve Smoothing and Residual Variance of Fixed Income Positions: Raphaël Douady
Maximally Acceptable Portfolios: Ernst Eberlein and Dilip B. Madan
Some Extensions of Norros’ Lemma in Models with Several Defaults: Pavel V. Gapeev
On the Pricing of Perpetual American Compound Options: Pavel V. Gapeev and Neofytos Rodosthenous
New Approximations in Local Volatility Models: E. Gobet and A. Suleiman
Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options: Peter Hepperger
A Time Before Which Insiders Would not Undertake Risk: Constantinos Kardaras
Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting: Paul C. Kettler, Frank Proske and Mark Rubtsov
On the First Passage Time Under Regime-Switching with Jumps: Masaaki Kijima and Chi Chung Siu
Strong Consistency of the Bayesian Estimator for the Ornstein–Uhlenbeck Process: Arturo Kohatsu-Higa, Nicolas Vayatis and Kazuhiro Yasuda
Multiasset Derivatives and Joint Distributions of Asset Prices: Ilya Molchanov and Michael Schmutz
Pricing of Volume-Weighted Average Options: Analytical Approximations and Numerical Results: Alexander A. Novikov, Timothy G. Ling and Nino Kordzakhia
A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility: Sergey Nadtochiy and Thaleia Zariphopoulou
Solution of Optimal Stopping Problem Based on a Modification of Payoff Function: Ernst Presman
A Stieltjes Approach to Static Hedges: Michael Schmutz and Thomas Zürcher
Optimal Stopping of Seasonal Observations and Projection of a Markov Chain: Isaac M. Sonin

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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprbok:978-3-319-02069-3

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DOI: 10.1007/978-3-319-02069-3

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