LEADER 05030nam 22005415 450 001 9910155301603321 005 20200629135724.0 024 7 $a10.1007/978-3-319-45875-5 035 $a(CKB)3710000000964792 035 $a(DE-He213)978-3-319-45875-5 035 $a(MiAaPQ)EBC4755495 035 $a(PPN)197456472 035 $a(EXLCZ)993710000000964792 100 $a20161201d2016 u| 0 101 0 $aeng 135 $aurnn|008mamaa 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aAdvanced Modelling in Mathematical Finance$b[electronic resource] $eIn Honour of Ernst Eberlein /$fedited by Jan Kallsen, Antonis Papapantoleon 205 $a1st ed. 2016. 210 1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2016. 215 $a1 online resource (XXIV, 496 p. 79 illus., 69 illus. in color.) 225 1 $aSpringer Proceedings in Mathematics & Statistics,$x2194-1009 ;$v189 311 $a3-319-45873-6 311 $a3-319-45875-2 320 $aIncludes bibliographical references at the end of each chapters. 327 $aPreface -- An Interview with Ernst Eberlein -- Part I: Flexible Lévy-based models. E. A. v. Hammerstein: Tail behaviour and tail dependence of generalized hyperbolic distributions -- O. Barndorff-Nielsen: Gamma kernels and BSS/LSS processes -- M. Mandjes and P. Spreij: Explicit computations for some Markov modulated counting processes -- Part II: Statistics and risk -- H. Geman and B. Liu: The outlook of energy markets in 2015: introducing distances between forward curves -- D. Madan: Three non-Gaussian models of dependence in returns -- A. Kimura and N. Yoshida: Estimation of correlation between latent processes -- J. Beirlant, W. Schoutens, J. De Spiegeleer, T. Reynkens, and K. Herrmann: Hunting for black swans in the European banking sector using extreme value analysis -- E. Lütkebohmert-Holtz and Y. Xiao: Collateralized borrowing and default risk -- G. Stahl: Model uncertainty in a holistic perspective -- Part III: Derivative pricing, hedging, and optimization -- Ch. Bayer and J. Schoenmakers: Option pricing in affine generalized Merton models -- G. Jahncke and J. Kallsen: Approximate pricing of call options on the quadratic variation in Lévy models -- A. ?erný: Dynamic discrete-time hedging of barrier options under leptokurtic returns driven by an exponential Lévy model -- M. Musiela, E. Sokolova, and Th. Zariphopoulou: Exponential forward indifference prices in incomplete binomial models -- M. Feodoria and J. Kallsen: Almost surely optimal portfolios under propotional transaction costs -- J. M. Corcuera, J. Fajardo, and O. Pamen: On the optimal payoffs -- L. Rüschendorf and V. Wolf: Construction and hedging of optimal payoffs in Lévy Models -- Part IV: Term-structure modelling -- I. Klein, Th. Schmidt, and J. Teichmann: No arbitrage theory for bond markets -- K. Glau, Z. Grbac, and Antonis Papapantoleon: A unified view of LIBOR models -- Z. Grbac, D. Krief, and P. Tankov: Approximate option pricing in the Lévy LIBOR model -- F. E. Benth: Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework. 330 $aThis Festschrift resulted from a workshop on ?Advanced Modelling in Mathematical Finance? held in honour of Ernst Eberlein?s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein?s long-standing collaborators and former students. Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments. 410 0$aSpringer Proceedings in Mathematics & Statistics,$x2194-1009 ;$v189 606 $aEconomics, Mathematical  606 $aProbabilities 606 $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062 606 $aProbability Theory and Stochastic Processes$3https://scigraph.springernature.com/ontologies/product-market-codes/M27004 615 0$aEconomics, Mathematical . 615 0$aProbabilities. 615 14$aQuantitative Finance. 615 24$aProbability Theory and Stochastic Processes. 676 $a332.60151 702 $aKallsen$b Jan$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aPapapantoleon$b Antonis$4edt$4http://id.loc.gov/vocabulary/relators/edt 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910155301603321 996 $aAdvanced modelling in mathematical finance$91523064 997 $aUNINA