Advances in Finance and Stochastics (eBook, PDF)

Essays in Honour of Dieter Sondermann
Redaktion: Sandmann, Klaus; Schönbucher, Philip J.

• Format: PDF

Produktbeschreibung

In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. This volume contains a collection of original articles by a number of highly distinguished authors, on research topics that are currently in the focus of interest of both academics and practitioners.

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Produktdetails

• Verlag: Springer Berlin Heidelberg
• Seitenzahl: 312
• Erscheinungstermin: 18. April 2013
• Englisch
• ISBN-13: 9783662047903
• Artikelnr.: 53088186

Autorenporträt

Klaus Sandmann, Johannes-Gutenberg-Universität Mainz, Germany / Philip Schönbucher, Rheinische Friedrich-Wilhelms-Universität Bonn, Germany

Inhaltsangabe

F. Delbaen: Coherent Risk Measures on General Probability Spaces.-H. Föllmer/A. Schied: Robust Preferences and Convex Measures of Risk.-P. Embrechts/S.Y. Novak: Long Head-Runs and Long Match Patterns.-J. Werner: Factor Pricing in Multidate Security Markets.-J.-C. Duan/S.R. Pliska: Option Pricing for Co-Integrated Assets.-D.B. Madan/F. Milne/R.J. Elliott: Incomplete Diversification and Asset Pricing.-Y.M. Kabanov/C. Stricker: Hedging of Contingent Claims under Transaction Costs.-R. Frey/P. Patie: Risk Management for Derivatives in Illiquid Markets: A Simulation Study.-L.-C.-G. Rogers/O. Zane: A Simple Model of Liquidity Effects.-R. Bhar/C. Chiarella/W. Runggaldier: Estimation in Models of the Instantaneous Short Term Interest Rate by Use of a Dynamic Bayesian Algorithm.-E. Schlögl: Arbitrage-Free Interpolation in Models of Market Observable Interest Rates.-J. A. Nielsen/K. Sandmann: The Fair Premium of an Equity-Linked Life and Pension Insurance.-M. Schweizer: On Bermudan Options.-L.A. Shepp/A.N. Shiryaev/A. Sulem: A Barrier Version of the Russian Option.-K. Schürger: Laplace Transforms and Suprema of Stochastic Processes.-G. Peskir/A.N. Shiryaev: Solving the Poisson Disorder Problem.

Rezensionen

From the reviews:

"This book marks the 65th birthday of Dieter Sondermann, the founding editor of the journal Finance and Stochastics. ... There is a great variety of papers contained in this book and all at a high level. Certainly there is something for everyone interested in financial mathematics here, ranging from theoretical through to applied works and covering most of the branches in the field. ... This is an excellent collection which I will enjoy making use of in the years to come." (Andrew Cairns, ASTIN Bulletin, Vol. 32 (2), 2002)