LEADER 00661nam0 22002531i 450 001 990007336450403321 005 20021010 035 $a000733645 035 $aFED01000733645 035 $a(Aleph)000733645FED01 035 $a000733645 100 $a20021010d--------km-y0itay50------ba 101 0 $aita 200 1 $a<>sindacato imperialista$fRadosh 210 $aTorino$cRosemberg Sellier$d1978 700 1$aRadosh,$bRonald$0248250 801 0$aIT$bUNINA$gRICA$2UNIMARC 901 $aBK 912 $a990007336450403321 951 $aXV D 81$b2353$c$dXV D 81 959 $aDTE 996 $aSindacato imperialista$9493375 997 $aUNINA DB $aGEN01 LEADER 04495oam 2200445 450 001 9910300142703321 005 20190911112725.0 010 $a3-319-02069-2 024 7 $a10.1007/978-3-319-02069-3 035 $a(OCoLC)864749897 035 $a(MiFhGG)GVRL6VCC 035 $a(EXLCZ)992550000001152781 100 $a20131021d2014 uy 0 101 0 $aeng 135 $aurun|---uuuua 181 $ctxt 182 $cc 183 $acr 200 00$aInspired by finance $ethe Musiela festschrift /$fYuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou, editors 205 $a1st ed. 2014. 210 1$aCham, Switzerland :$cSpringer,$d2014. 215 $a1 online resource (xxiii, 543 pages) $cillustrations (some color) 225 0 $aGale eBooks 300 $aDescription based upon print version of record. 311 $a3-319-02068-4 320 $aIncludes bibliographical references and index. 327 $aR. Ahlip and M. Rutkowski: Forward Start Foreign Exchange Options under Heston?s Volatility and the CIR Interest R -- A. Bensoussan and S. R. Hoe:Real Options with Competition and Incomplete Market -- T. R. Bielecki and S. Crépey: Dynamic Hedging of Counterparty Exposure -- L. Campi:A Note on Market Completeness with American Put Options -- S. Cawston and L. Vostrikova: An f -Divergence Approach for Optimal Portfolios in Exponential Lévy Models -- B. Chouaf and S. Pergamenchtchikov: Optimal Investment with Bounded VaR for Power Utility Functions -- T. Choulli, J. Ma and M.-A. Morlais:Three Essays on Exponential Hedging with Variable Exit Times -- S. Darses and E.l Lépinette: Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient -- N. El Karoui, M. Jeanblanc, Y. Jiao, B. Zargari:Conditional Default Probability and Density -- R. Douady:Yield Curve Smoothing and Residual Variance of Fixed Income Positions -- E. Eberlein and D. B. Madan: Maximally Acceptable Portfolios -- P. V. Gapeev: Some Extensions of Norros? Lemma in Models with Several Defaults -- P. V. Gapeev and N. Rodosthenous:On the Pricing of Perpetual American Compound Options -- E. Gobet and A. Suleiman: New Approximations in Local Volatility Models -- P. Hepperger: Low-Dimensional Partial Integro-Differential Equations for High-Dimensional Asian Options -- C. Kardaras: A Time BeforeWhich Insiders Would Not Undertake Risk -- P.l C. Kettler, F. Proske, M. Rubtsov: Sensitivity with Respect to the Yield Curve:Duration in a Stochastic Setting -- M. Kijima and C. Ch. Siu:On the First Passage Time under Regime-Switching with Jumps -- A. Kohatsu-Higa, N. Vayatis, K. Yasuda: Strong Consistency of the Bayesian Estimator for the Ornstein?Uhlenbeck Process -- I. Molchanov and M. Schmutz:Multiasset Derivatives and Joint Distributions of Asset Prices -- A. A. Novikov, T. G. Ling and N. Kordzakhia: Pricing of Volume-Weighted Average Options: Analytical Approximations and Numerical Results -- S. Nadtochiy and Th. Zariphopoulou: A Class of Homothetic Forward Investment Performance Processes with Non-Zero Volatility -- E. Presman: Solution of Optimal Stopping Problem Based on a Modification of Payoff Function -- M. Schmutz and Th. Zürcher:A Stieltjes Approach to Static Hedges -- I. M. Sonin:Optimal Stopping of Seasonal Observations and Projection of a Markov Chain. 330 $aThe present volume is dedicated to Marek Musiela, the eminent scholar and practitioner, well-known for his important contribution into problems of derivative pricing, theory of term structure of interest rates, theory of defaultable securities and other topics of modern mathematical finance. Under the cover the reader finds 25 research papers of 47 authors, famous or young, covering the whole range of the "hot" topics of the discipline. The contributed articles not only give a clear picture about what is going on in this fast developing field of knowledge but provide methods ready for practical implementation. They also open perspectives for further studies in risk management, portfolio optimization, and financial engineering. 606 $aFinance$xMathematical models 615 0$aFinance$xMathematical models. 676 $a658 702 $aKabanov$b Yuri 702 $aRutkowski$b Marek$f1952- 702 $aZariphopoulou$b Thaleia$f1962- 801 0$bMiFhGG 801 1$bMiFhGG 906 $aBOOK 912 $a9910300142703321 996 $aInspired by finance$91410206 997 $aUNINA