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Inspired by finance : the Musiela festschrift / / Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou, editors
| Inspired by finance : the Musiela festschrift / / Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou, editors |
| Edizione | [1st ed. 2014.] |
| Pubbl/distr/stampa | Cham, Switzerland : , : Springer, , 2014 |
| Descrizione fisica | 1 online resource (xxiii, 543 pages) : illustrations (some color) |
| Disciplina | 658 |
| Collana | Gale eBooks |
| Soggetto topico | Finance - Mathematical models |
| ISBN | 3-319-02069-2 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | R. 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. |
| Record Nr. | UNINA-9910300142703321 |
| Cham, Switzerland : , : Springer, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Inspired by finance : the Musiela festschrift / Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou editors
| Inspired by finance : the Musiela festschrift / Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou editors |
| Pubbl/distr/stampa | Cham, : Springer, 2014 |
| Descrizione fisica | XXIII, 543 p. : ill. ; 24 cm |
| Soggetto topico | 91Gxx - Actuarial science and mathematical finance [MSC 2020] |
| Soggetto non controllato |
Arbitrage pricing
Credit risk Exotic Options Financial derivatives Portfolio optimization Quantitative Finance |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0103224 |
| Cham, : Springer, 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Inspired by finance : the Musiela festschrift / Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou editors
| Inspired by finance : the Musiela festschrift / Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou editors |
| Pubbl/distr/stampa | Cham, : Springer, 2014 |
| Descrizione fisica | XXIII, 543 p. : ill. ; 24 cm |
| Soggetto topico | 91Gxx - Actuarial science and mathematical finance [MSC 2020] |
| Soggetto non controllato |
Arbitrage pricing
Credit risk Exotic Options Financial derivatives Portfolio optimization Quantitative Finance |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN00103224 |
| Cham, : Springer, 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Inspired by finance : the Musiela festschrift / Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou editors
| Inspired by finance : the Musiela festschrift / Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou editors |
| Edizione | [Cham : Springer, 2014] |
| Pubbl/distr/stampa | XXIII, 543 p., : ill. ; 24 cm |
| Descrizione fisica | Pubblicazione in formato elettronico |
| Soggetto topico | 91Gxx - Actuarial science and mathematical finance [MSC 2020] |
| ISBN | 8-3-319-02068-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-SUN0103224 |
| XXIII, 543 p., : ill. ; 24 cm | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||