Finance at Fields

Edited by Matheus R Grasselli and Lane P Hughston

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: This outstanding collection of articles includes papers presented at the Fields Institute, Toronto, as part of the Thematic Program in Quantitative Finance that took place in the first six months of the year 2010. The scope of the volume in very broad, including papers on foundational issues in mathematical finance, papers on computational finance, and papers on derivatives and risk management. Many of the articles contain path-breaking insights that are relevant to the developing new order of post-crisis financial risk management.

Keywords: Mathematical Finance; Financial Mathematics; Risk Management; Asset Pricing; Computational Finance; Derivatives; Option Pricing; Portfolio Optimization (search for similar items in EconPapers)
Date: 2012
ISBN: 9789814407885
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/worldscibooks/10.1142/8507 (text/html)
Ebook Access is available upon purchase

Chapters in this book:

Ch 1 HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES , pp 1-15

Jiro Akahori and Andrea Macrina

Ch 2 STRESS TESTING THE RESILIENCE OF FINANCIAL NETWORKS , pp 17-36

Hamed Amini, Rama Cont and Andreea Minca

Ch 3 MANAGING CORPORATE LIQUIDITY: STRATEGIES AND PRICING IMPLICATIONS , pp 37-74

Attakrit Asvanunt, Mark Broadie and Suresh Sundaresan

Ch 4 VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL , pp 75-113

T. R. Bielecki, S. Crépey, M. Jeanblanc and B. Zargari

Ch 5 INFORMATION-BASED ASSET PRICING , pp 115-150

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

Ch 6 TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION , pp 151-179

René Carmona and Sergey Nadtochiy

Ch 7 COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME , pp 181-206

Patrick Cheridito and Michael Kupper

Ch 8 TARGET VOLATILITY OPTION PRICING , pp 207-223

Giuseppe Di Graziano and Lorenzo Torricelli

Ch 9 CONDITIONAL DENSITY MODELS FOR ASSET PRICING , pp 225-248

Damir Filipović, Lane P. Hughston and Andrea Macrina

Ch 10 MONETARY VALUATION OF CASH FLOWS UNDER KNIGHTIAN UNCERTAINTY , pp 249-263

Hans Föllmer and Irina Penner

Ch 11 PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS , pp 265-282

Rüdiger Frey, Abdelali Gabih and Ralf Wunderlich

Ch 12 ON THE PENALTY FUNCTION AND ON CONTINUITY PROPERTIES OF RISK MEASURES , pp 283-305

Marco Frittelli and Emanuela Rosazza Gianin

Ch 13 CONDITIONAL CERTAINTY EQUIVALENT , pp 307-325

Marco Frittelli and Marco Maggis

Ch 14 PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION , pp 327-347

Pavel V. Gapeev

Ch 15 OPTIMAL INVESTMENT ON FINITE HORIZON WITH RANDOM DISCRETE ORDER FLOW IN ILLIQUID MARKETS , pp 349-372

Paul Gassiat, Huyên Pham and Mihai Sîrbu

Ch 16 OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK , pp 373-388

Jim Gatheral and Alexander Schied

Ch 17 THE HEAT-KERNEL MOST-LIKELY-PATH APPROXIMATION , pp 389-406

Jim Gatheral and Tai-Ho Wang

Ch 18 FORWARD AND FUTURE IMPLIED VOLATILITY , pp 407-432

Paul Glasserman and Qi Wu

Ch 19 ABSOLUTELY CONTINUOUS COMPENSATORS , pp 433-449

Svante Janson, Sokhna M'Baye and Philip Protter

Ch 20 CONIC FINANCE AND THE CORPORATE BALANCE SHEET , pp 451-474

Dilip B. Madan and Wim Schoutens

Ch 21 OPTIMAL EXERCISE OF AN EXECUTIVE STOCK OPTION BY AN INSIDER , pp 475-498

Michael Monoyios and Andrew Ng

Ch 22 INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA , pp 499-519

M. Musiela and T. Zariphopoulou

Ch 23 PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS , pp 521-554

Jan Obłój and Frédérik Ulmer

Ch 24 CDO TERM STRUCTURE MODELLING WITH LÉVY PROCESSES AND THE RELATION TO MARKET MODELS , pp 555-573

Thorsten Schmidt and Jerzy Zabczyk

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wsbook:8507

Ordering information: This item can be ordered from

Access Statistics for this book

More books in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().