000 03911nam a22005295i 4500
001 978-3-642-03479-4
003 DE-He213
005 20140220084525.0
007 cr nn 008mamaa
008 120322s2010 gw | s |||| 0|eng d
020 _a9783642034794
_9978-3-642-03479-4
024 7 _a10.1007/978-3-642-03479-4
_2doi
050 4 _aHB135-147
072 7 _aKF
_2bicssc
072 7 _aMAT003000
_2bisacsh
072 7 _aBUS027000
_2bisacsh
082 0 4 _a519
_223
100 1 _aChiarella, Carl.
_eeditor.
245 1 0 _aContemporary Quantitative Finance
_h[electronic resource] :
_bEssays in Honour of Eckhard Platen /
_cedited by Carl Chiarella, Alexander Novikov.
264 1 _aBerlin, Heidelberg :
_bSpringer Berlin Heidelberg,
_c2010.
300 _aX, 440p. 35 illus.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
505 0 _aProbabilistic Aspects of Arbitrage -- Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing -- M6—On Minimal Market Models and Minimal Martingale Measures -- The Economic Plausibility of Strict Local Martingales in Financial Modelling -- A Remarkable ?-finite Measure Associated with Last Passage Times and Penalisation Problems -- Pricing Without Equivalent Martingale Measures Under Complete and Incomplete Observation -- Existence and Non-uniqueness of Solutions for BSDE -- Comparison Theorems for Finite State Backward Stochastic Differential Equations -- Results on Numerics for FBSDE with Drivers of Quadratic Growth -- Variance Swap Portfolio Theory -- Stochastic Partial Differential Equations and Portfolio Choice -- Issuers’ Commitments Would Add More Value than Any Rating Scheme Could Ever Do -- Pricing and Hedging of CDOs: A Top Down Approach -- Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives -- Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms -- Buy Low and Sell High -- Continuity Theorems in Boundary Crossing Problems for Diffusion Processes -- Binomial Models for Interest Rates -- Lognormal Forward Market Model (LFM) Volatility Function Approximation -- Maximum Likelihood Estimation for Integrated Diffusion Processes.
520 _aThe contributors to this volume write a series of articles outlining contemporary advances in a number of key areas of mathematical finance such as, optimal control theory applied to finance, interest rate models, credit risk and credit derivatives, use of alternative stochastic processes, numerical solution of equations of mathematical finance, estimation of stochastic processes in finance. The list of authors includes many of the researchers who have made the major contributions to these various areas of mathematical finance. This volume addresses both researchers and professionals in financial institutions, as well as regulators working in the above mentioned fields.
650 0 _aMathematics.
650 0 _aFinance.
650 0 _aNumerical analysis.
650 0 _aMathematical optimization.
650 0 _aDistribution (Probability theory).
650 0 _aEconomics
_xStatistics.
650 1 4 _aMathematics.
650 2 4 _aQuantitative Finance.
650 2 4 _aCalculus of Variations and Optimal Control; Optimization.
650 2 4 _aProbability Theory and Stochastic Processes.
650 2 4 _aStatistics for Business/Economics/Mathematical Finance/Insurance.
650 2 4 _aNumerical Analysis.
700 1 _aNovikov, Alexander.
_eeditor.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783642034787
856 4 0 _uhttp://dx.doi.org/10.1007/978-3-642-03479-4
912 _aZDB-2-SMA
999 _c111504
_d111504