Contemporary Quantitative Finance

Edited by Carl Chiarella and Alexander Novikov ()

in Springer Books from Springer

Date: 2010
ISBN: 978-3-642-03479-4
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Chapters in this book:

Probabilistic Aspects of Arbitrage

Daniel Fernholz and Ioannis Karatzas

Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing

Constantinos Kardaras

M6—On Minimal Market Models and Minimal Martingale Measures

Hardy Hulley and Martin Schweizer

The Economic Plausibility of Strict Local Martingales in Financial Modelling

Hardy Hulley

A Remarkable σ-finite Measure Associated with Last Passage Times and Penalisation Problems

Joseph Najnudel and Ashkan Nikeghbali

Pricing Without Equivalent Martingale Measures Under Complete and Incomplete Observation

Giorgia Galesso and Wolfgang J. Runggaldier

Existence and Non-uniqueness of Solutions for BSDE

Xiaobo Bao, Freddy Delbaen and Ying Hu

Comparison Theorems for Finite State Backward Stochastic Differential Equations

Samuel N. Cohen and Robert J. Elliott

Results on Numerics for FBSDE with Drivers of Quadratic Growth

Peter Imkeller, Gonçalo Dos Reis and Jianing Zhang

Variance Swap Portfolio Theory

Dilip B. Madan

Stochastic Partial Differential Equations and Portfolio Choice

Marek Musiela and Thaleia Zariphopoulou

Issuers’ Commitments Would Add More Value than Any Rating Scheme Could Ever Do

Carlos Veiga and Uwe Wystup

Pricing and Hedging of CDOs: A Top Down Approach

Damir Filipović and Thorsten Schmidt

Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives

Pavel V. Gapeev, Monique Jeanblanc, Libo Li and Marek Rutkowski

Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms

Carl Chiarella, Andrew Ziogas and Jonathan Ziveyi

Buy Low and Sell High

Min Dai, Hanqing Jin, Yifei Zhong and Xun Yu Zhou

Continuity Theorems in Boundary Crossing Problems for Diffusion Processes

Konstantin A. Borovkov, Andrew N. Downes and Alexander A. Novikov

Binomial Models for Interest Rates

John van der Hoek

Lognormal Forward Market Model (LFM) Volatility Function Approximation

In-Hwan Chung, Tim Dun and Erik Schlögl

Maximum Likelihood Estimation for Integrated Diffusion Processes

Fernando Baltazar-Larios and Michael Sørensen

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DOI: 10.1007/978-3-642-03479-4

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