Advanced Mathematical Methods for Finance

Edited by Giulia Di Nunno () and Bernt Øksendal ()

in Springer Books from Springer

Date: 2011
ISBN: 978-3-642-18412-3
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Chapters in this book:

Ch Chapter 1 Dynamic Risk Measures

Beatrice Acciaio and Irina Penner

Ch Chapter 10 A PDE-Based Approach for Pricing Mortgage-Backed Securities

Marco Papi and Maya Briani

Ch Chapter 11 Nonparametric Methods for Volatility Density Estimation

Bert van Es, Peter Spreij and Harry van Zanten

Ch Chapter 12 Fractional Smoothness and Applications in Finance

Stefan Geiss and Emmanuel Gobet

Ch Chapter 13 Liquidity Models in Continuous and Discrete Time

Selim Gökay, Alexandre F. Roch and H. Mete Soner

Ch Chapter 14 Some New BSDE Results for an Infinite-Horizon Stochastic Control Problem

Ying Hu and Martin Schweizer

Ch Chapter 15 Functionals Associated with Gradient Stochastic Flows and Nonlinear SPDEs

B. Iftimie, M. Marinescu and C. Vârsan

Ch Chapter 16 Pricing and Hedging of Rating-Sensitive Claims Modeled by $\mathbb{F}$ -doubly Stochastic Markov Chains

Jacek Jakubowski and Mariusz Niewęgłowski

Ch Chapter 17 Exotic Derivatives under Stochastic Volatility Models with Jumps

Aleksandar Mijatović and Martijn Pistorius

Ch Chapter 18 Asymptotics of HARA Utility from Terminal Wealth under Proportional Transaction Costs with Decision Lag or Execution Delay and Obligatory Diversification

Lukasz Stettner

Ch Chapter 2 Ambit Processes and Stochastic Partial Differential Equations

Ole Barndorff-Nielsen, Fred Espen Benth and Almut E. D. Veraart

Ch Chapter 3 Fractional Processes as Models in Stochastic Finance

Christian Bender, Tommi Sottinen and Esko Valkeila

Ch Chapter 4 Credit Contagion in a Long Range Dependent Macroeconomic Factor Model

Francesca Biagini, Serena Fuschini and Claudia Klüppelberg

Ch Chapter 5 Modelling Information Flows in Financial Markets

Dorje C. Brody, Lane P. Hughston and Andrea Macrina

Ch Chapter 6 An Overview of Comonotonicity and Its Applications in Finance and Insurance

Griselda Deelstra, Jan Dhaene and Michèle Vanmaele

Ch Chapter 7 A General Maximum Principle for Anticipative Stochastic Control and Applications to Insider Trading

Giulia Di Nunno, Olivier Menoukeu Pamen, Bernt Øksendal and Frank Proske

Ch Chapter 8 Analyticity of the Wiener–Hopf Factors and Valuation of Exotic Options in Lévy Models

Ernst Eberlein, Kathrin Glau and Antonis Papapantoleon

Ch Chapter 9 Optimal Liquidation of a Pairs Trade

Erik Ekström, Carl Lindberg and Johan Tysk

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DOI: 10.1007/978-3-642-18412-3

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