An edition of Advances in Finance and Stochastics (2002)

Advances in Finance and Stochastics

Essays in Honour of Dieter Sondermann

by

Cover of: Advances in Finance and Stochastics by Klaus Sandmann, Klaus Sandmann
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September 28, 2024 | History
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An edition of Advances in Finance and Stochastics (2002)

Advances in Finance and Stochastics

Essays in Honour of Dieter Sondermann

by

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. Advances in Finance and Stochastics 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. The topics span risk management, portfolio theory and multi-asset derivatives, market imperfections, interest-rate modelling and exotic options.

Publish Date
Publisher
Springer Berlin Heidelberg
Language
English
Pages
312

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Previews available in: English

Subjects

Mathematics, Distribution (Probability theory), Finance, Business mathematics, Finance, mathematical models, Stochastic processes, Quantitative Finance, Probability Theory and Stochastic Processes

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Edition Availability
Cover of: Advances in Finance and Stochastics
Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann
2002, Springer Berlin Heidelberg
electronic resource : in English
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Book Details

Table of Contents

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.

Edition Notes

Online full text is restricted to subscribers.

Also available in print.

Mode of access: World Wide Web.

Published in
Berlin, Heidelberg

Classifications

Dewey Decimal Class
519
Library of Congress
HB135-147, HJ9-9940QA273.A1-274, HB71-74

The Physical Object

Format
[electronic resource] :
Pagination
1 online resource (xix, 312 p.)
Number of pages
312

ID Numbers

Open Library
OL27014975M
Internet Archive
advancesfinances00delb
ISBN 10
3642077927, 366204790X
ISBN 13
9783642077920, 9783662047903
OCLC/WorldCat
851371921

Source records

Internet Archive item record
Better World Books record
Better World Books record
harvard_bibliographic_metadata record

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September 28, 2024 Edited by MARC Bot import existing book
September 11, 2021 Edited by ImportBot import existing book
June 28, 2019 Created by MARC Bot import new book