The Resource 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
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Resource Information
The item Inspired by finance : the Musiela festschrift, Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou, editors represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.
This item is available to borrow from 1 library branch.
 Summary
 The present volume is dedicated to Marek Musiela, the eminent scholar and practitioner, wellknown 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
 Language
 eng
 Extent
 1 online resource (xxiii, 543 pages .)
 Contents

 Luciano Campi
 An fdivergence approach for optimal portfolios in exponential Levy models
 S. Cawston and L. Vostrikova
 Optimal investment with bounded VaR for power utility functions
 Benamar Chouaf and Serguei Pergamenchtchikov
 Three essays on exponential hedging with variable exit times
 Tahir Choulli, Junfeng Ma, and MarieAmelie Morlais
 Mean square error and limit theorem for the modified Leland hedging strategy with a constant transaction costs coefficient
 Sebastien Darses and Emmanuel Lepinette
 Conditional default probability and density
 N. El Karoui, M. Jeanblanc, Y. Jiao, and B. Zargari
 Yield curve smoothing and residual variance of fixed income positions
 Raphael Douady
 Maximally acceptable portfolios
 Ernst Eberlein and Dilip B. Madan
 Some extensions of Norros' Lemma in models with several defaults
 Pavel V. Gapeev
 On the pricing of perpetual American compound options
 Pavel V. Gapeev and Neofytos Rodosthenous
 Forward start foreign exchange options under Heston's volatility and the CIR interest rates
 Rehez Ahlip and Marek Rutkowski
 Real options with competition and incomplete markets
 Alain Bensoussan and SingRu (Celine) Hoe
 Dynamic hedging of counterparty exposure
 Tomasz R. Bielecki and Stephane Crepey
 A note on market completeness with American put options
 On the first passage time under regimeswitching with jumps
 Masaaki Kijima and Chi Chung Siu
 Strong consistency of the Bayesian estimator for the OrnsteinUhlenbeck process
 Arturo KohatsuHiga, Nicolas Vayatis, and Kazuhiro Yasuda
 Multiasset derivatives and joint distributions of asset prices
 Ilya Molchanov and Michael Schmutz
 Pricing of volumeweighted average options : analytical approximations and numerical results
 Alexander A. Novikov, Timothy G. Ling, and Nino Kordzakhia
 A class of homothetic forward investment performance processes with nonzero volatility
 Sergey Nadtochiy and Thaleia Zariphopoulou
 New approximations in local volatility models
 Solution of optimal stopping problem based on a modification of payoff function
 Ernst Presman
 A Stieltjes approach to static hedges
 Michael Schmutz and Thomas Zurcher
 Optimal stopping of seasonal observations and projection of a Markov chain
 Isaac M. Sonin
 E. Gobet and A. Suleiman
 Lowdimensional partial integrodifferential equations for highdimensional Asian options
 Peter Hepperger
 A time before which insiders would not undertake risk
 Constantinos Kardaras
 Sensitivity with respect to the yield curve : duration in a stochastic setting
 Paul C. Kettler, Frank Proske, and Mark Rubtsov
 Forward start foreign exchange options under Heston's volatility and the CIR interest rates / Rehez Ahlip and Marek Rutkowski  Real options with competition and incomplete markets / Alain Bensoussan and SingRu (Celine) Hoe  Dynamic hedging of counterparty exposure / Tomasz R. Bielecki and Stephane Crepey  A note on market completeness with American put options / Luciano Campi  An fdivergence approach for optimal portfolios in exponential Levy models / S. Cawston and L. Vostrikova  Optimal investment with bounded VaR for power utility functions / Benamar Chouaf and Serguei Pergamenchtchikov  Three essays on exponential hedging with variable exit times / Tahir Choulli, Junfeng Ma, and MarieAmelie Morlais  Mean square error and limit theorem for the modified Leland hedging strategy with a constant transaction costs coefficient / Sebastien Darses and Emmanuel Lepinette  Conditional default probability and density / N. El Karoui, M. Jeanblanc, Y. Jiao, and B. Zargari  Yield curve smoothing and residual variance of fixed income positions / Raphael Douady  Maximally acceptable portfolios / Ernst Eberlein and Dilip B. Madan  Some extensions of Norros' Lemma in models with several defaults / Pavel V. Gapeev  On the pricing of perpetual American compound options / Pavel V. Gapeev and Neofytos Rodosthenous  New approximations in local volatility models / E. Gobet and A. Suleiman  Lowdimensional partial integrodifferential equations for highdimensional Asian options / Peter Hepperger  A time before which insiders would not undertake risk / Constantinos Kardaras  Sensitivity with respect to the yield curve : duration in a stochastic setting / Paul C. Kettler, Frank Proske, and Mark Rubtsov  On the first passage time under regimeswitching with jumps / Masaaki Kijima and Chi Chung Siu  Strong consistency of the Bayesian estimator for the OrnsteinUhlenbeck process / Arturo KohatsuHiga, Nicolas Vayatis, and Kazuhiro Yasuda  Multiasset derivatives and joint distributions of asset prices / Ilya Molchanov and Michael Schmutz  Pricing of volumeweighted average options : analytical approximations and numerical results / Alexander A. Novikov, Timothy G. Ling, and Nino Kordzakhia
 Isbn
 9783319020693
 Label
 Inspired by finance : the Musiela festschrift
 Title
 Inspired by finance
 Title remainder
 the Musiela festschrift
 Statement of responsibility
 Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou, editors
 Language
 eng
 Summary
 The present volume is dedicated to Marek Musiela, the eminent scholar and practitioner, wellknown 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
 Cataloging source
 YDXCP
 Dewey number
 332.015195
 Illustrations
 illustrations
 Index
 no index present
 Language note
 English
 LC call number
 HG106
 LC item number
 .I57 2014
 Literary form
 non fiction
 Nature of contents

 dictionaries
 bibliography
 NLM call number
 Online Book
 http://library.link/vocab/relatedWorkOrContributorDate

 1952
 1962
 1950
 http://library.link/vocab/relatedWorkOrContributorName

 Kabanov, Yuri
 Rutkowski, Marek
 Zariphopoulou, Thaleia
 Musiela, Marek
 http://library.link/vocab/subjectName

 Musiela, Marek
 Finance
 Economics
 Musiela, Marek
 Mathematics
 Quantitative Finance
 BUSINESS & ECONOMICS
 Finance
 Label
 Inspired by finance : the Musiela festschrift, Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou, editors
 Bibliography note
 Includes bibliographical references
 Carrier category
 online resource
 Carrier category code

 cr
 Carrier MARC source
 rdacarrier
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 Contents

 Luciano Campi
 An fdivergence approach for optimal portfolios in exponential Levy models
 S. Cawston and L. Vostrikova
 Optimal investment with bounded VaR for power utility functions
 Benamar Chouaf and Serguei Pergamenchtchikov
 Three essays on exponential hedging with variable exit times
 Tahir Choulli, Junfeng Ma, and MarieAmelie Morlais
 Mean square error and limit theorem for the modified Leland hedging strategy with a constant transaction costs coefficient
 Sebastien Darses and Emmanuel Lepinette
 Conditional default probability and density
 N. El Karoui, M. Jeanblanc, Y. Jiao, and B. Zargari
 Yield curve smoothing and residual variance of fixed income positions
 Raphael Douady
 Maximally acceptable portfolios
 Ernst Eberlein and Dilip B. Madan
 Some extensions of Norros' Lemma in models with several defaults
 Pavel V. Gapeev
 On the pricing of perpetual American compound options
 Pavel V. Gapeev and Neofytos Rodosthenous
 Forward start foreign exchange options under Heston's volatility and the CIR interest rates
 Rehez Ahlip and Marek Rutkowski
 Real options with competition and incomplete markets
 Alain Bensoussan and SingRu (Celine) Hoe
 Dynamic hedging of counterparty exposure
 Tomasz R. Bielecki and Stephane Crepey
 A note on market completeness with American put options
 On the first passage time under regimeswitching with jumps
 Masaaki Kijima and Chi Chung Siu
 Strong consistency of the Bayesian estimator for the OrnsteinUhlenbeck process
 Arturo KohatsuHiga, Nicolas Vayatis, and Kazuhiro Yasuda
 Multiasset derivatives and joint distributions of asset prices
 Ilya Molchanov and Michael Schmutz
 Pricing of volumeweighted average options : analytical approximations and numerical results
 Alexander A. Novikov, Timothy G. Ling, and Nino Kordzakhia
 A class of homothetic forward investment performance processes with nonzero volatility
 Sergey Nadtochiy and Thaleia Zariphopoulou
 New approximations in local volatility models
 Solution of optimal stopping problem based on a modification of payoff function
 Ernst Presman
 A Stieltjes approach to static hedges
 Michael Schmutz and Thomas Zurcher
 Optimal stopping of seasonal observations and projection of a Markov chain
 Isaac M. Sonin
 E. Gobet and A. Suleiman
 Lowdimensional partial integrodifferential equations for highdimensional Asian options
 Peter Hepperger
 A time before which insiders would not undertake risk
 Constantinos Kardaras
 Sensitivity with respect to the yield curve : duration in a stochastic setting
 Paul C. Kettler, Frank Proske, and Mark Rubtsov
 Forward start foreign exchange options under Heston's volatility and the CIR interest rates / Rehez Ahlip and Marek Rutkowski  Real options with competition and incomplete markets / Alain Bensoussan and SingRu (Celine) Hoe  Dynamic hedging of counterparty exposure / Tomasz R. Bielecki and Stephane Crepey  A note on market completeness with American put options / Luciano Campi  An fdivergence approach for optimal portfolios in exponential Levy models / S. Cawston and L. Vostrikova  Optimal investment with bounded VaR for power utility functions / Benamar Chouaf and Serguei Pergamenchtchikov  Three essays on exponential hedging with variable exit times / Tahir Choulli, Junfeng Ma, and MarieAmelie Morlais  Mean square error and limit theorem for the modified Leland hedging strategy with a constant transaction costs coefficient / Sebastien Darses and Emmanuel Lepinette  Conditional default probability and density / N. El Karoui, M. Jeanblanc, Y. Jiao, and B. Zargari  Yield curve smoothing and residual variance of fixed income positions / Raphael Douady  Maximally acceptable portfolios / Ernst Eberlein and Dilip B. Madan  Some extensions of Norros' Lemma in models with several defaults / Pavel V. Gapeev  On the pricing of perpetual American compound options / Pavel V. Gapeev and Neofytos Rodosthenous  New approximations in local volatility models / E. Gobet and A. Suleiman  Lowdimensional partial integrodifferential equations for highdimensional Asian options / Peter Hepperger  A time before which insiders would not undertake risk / Constantinos Kardaras  Sensitivity with respect to the yield curve : duration in a stochastic setting / Paul C. Kettler, Frank Proske, and Mark Rubtsov  On the first passage time under regimeswitching with jumps / Masaaki Kijima and Chi Chung Siu  Strong consistency of the Bayesian estimator for the OrnsteinUhlenbeck process / Arturo KohatsuHiga, Nicolas Vayatis, and Kazuhiro Yasuda  Multiasset derivatives and joint distributions of asset prices / Ilya Molchanov and Michael Schmutz  Pricing of volumeweighted average options : analytical approximations and numerical results / Alexander A. Novikov, Timothy G. Ling, and Nino Kordzakhia
 Control code
 864749897
 Dimensions
 unknown
 Extent
 1 online resource (xxiii, 543 pages .)
 Form of item
 online
 Isbn
 9783319020693
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other control number
 10.1007/9783319020693
 Specific material designation
 remote
 System control number
 (OCoLC)864749897
 Label
 Inspired by finance : the Musiela festschrift, Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou, editors
 Bibliography note
 Includes bibliographical references
 Carrier category
 online resource
 Carrier category code

 cr
 Carrier MARC source
 rdacarrier
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 Contents

 Luciano Campi
 An fdivergence approach for optimal portfolios in exponential Levy models
 S. Cawston and L. Vostrikova
 Optimal investment with bounded VaR for power utility functions
 Benamar Chouaf and Serguei Pergamenchtchikov
 Three essays on exponential hedging with variable exit times
 Tahir Choulli, Junfeng Ma, and MarieAmelie Morlais
 Mean square error and limit theorem for the modified Leland hedging strategy with a constant transaction costs coefficient
 Sebastien Darses and Emmanuel Lepinette
 Conditional default probability and density
 N. El Karoui, M. Jeanblanc, Y. Jiao, and B. Zargari
 Yield curve smoothing and residual variance of fixed income positions
 Raphael Douady
 Maximally acceptable portfolios
 Ernst Eberlein and Dilip B. Madan
 Some extensions of Norros' Lemma in models with several defaults
 Pavel V. Gapeev
 On the pricing of perpetual American compound options
 Pavel V. Gapeev and Neofytos Rodosthenous
 Forward start foreign exchange options under Heston's volatility and the CIR interest rates
 Rehez Ahlip and Marek Rutkowski
 Real options with competition and incomplete markets
 Alain Bensoussan and SingRu (Celine) Hoe
 Dynamic hedging of counterparty exposure
 Tomasz R. Bielecki and Stephane Crepey
 A note on market completeness with American put options
 On the first passage time under regimeswitching with jumps
 Masaaki Kijima and Chi Chung Siu
 Strong consistency of the Bayesian estimator for the OrnsteinUhlenbeck process
 Arturo KohatsuHiga, Nicolas Vayatis, and Kazuhiro Yasuda
 Multiasset derivatives and joint distributions of asset prices
 Ilya Molchanov and Michael Schmutz
 Pricing of volumeweighted average options : analytical approximations and numerical results
 Alexander A. Novikov, Timothy G. Ling, and Nino Kordzakhia
 A class of homothetic forward investment performance processes with nonzero volatility
 Sergey Nadtochiy and Thaleia Zariphopoulou
 New approximations in local volatility models
 Solution of optimal stopping problem based on a modification of payoff function
 Ernst Presman
 A Stieltjes approach to static hedges
 Michael Schmutz and Thomas Zurcher
 Optimal stopping of seasonal observations and projection of a Markov chain
 Isaac M. Sonin
 E. Gobet and A. Suleiman
 Lowdimensional partial integrodifferential equations for highdimensional Asian options
 Peter Hepperger
 A time before which insiders would not undertake risk
 Constantinos Kardaras
 Sensitivity with respect to the yield curve : duration in a stochastic setting
 Paul C. Kettler, Frank Proske, and Mark Rubtsov
 Forward start foreign exchange options under Heston's volatility and the CIR interest rates / Rehez Ahlip and Marek Rutkowski  Real options with competition and incomplete markets / Alain Bensoussan and SingRu (Celine) Hoe  Dynamic hedging of counterparty exposure / Tomasz R. Bielecki and Stephane Crepey  A note on market completeness with American put options / Luciano Campi  An fdivergence approach for optimal portfolios in exponential Levy models / S. Cawston and L. Vostrikova  Optimal investment with bounded VaR for power utility functions / Benamar Chouaf and Serguei Pergamenchtchikov  Three essays on exponential hedging with variable exit times / Tahir Choulli, Junfeng Ma, and MarieAmelie Morlais  Mean square error and limit theorem for the modified Leland hedging strategy with a constant transaction costs coefficient / Sebastien Darses and Emmanuel Lepinette  Conditional default probability and density / N. El Karoui, M. Jeanblanc, Y. Jiao, and B. Zargari  Yield curve smoothing and residual variance of fixed income positions / Raphael Douady  Maximally acceptable portfolios / Ernst Eberlein and Dilip B. Madan  Some extensions of Norros' Lemma in models with several defaults / Pavel V. Gapeev  On the pricing of perpetual American compound options / Pavel V. Gapeev and Neofytos Rodosthenous  New approximations in local volatility models / E. Gobet and A. Suleiman  Lowdimensional partial integrodifferential equations for highdimensional Asian options / Peter Hepperger  A time before which insiders would not undertake risk / Constantinos Kardaras  Sensitivity with respect to the yield curve : duration in a stochastic setting / Paul C. Kettler, Frank Proske, and Mark Rubtsov  On the first passage time under regimeswitching with jumps / Masaaki Kijima and Chi Chung Siu  Strong consistency of the Bayesian estimator for the OrnsteinUhlenbeck process / Arturo KohatsuHiga, Nicolas Vayatis, and Kazuhiro Yasuda  Multiasset derivatives and joint distributions of asset prices / Ilya Molchanov and Michael Schmutz  Pricing of volumeweighted average options : analytical approximations and numerical results / Alexander A. Novikov, Timothy G. Ling, and Nino Kordzakhia
 Control code
 864749897
 Dimensions
 unknown
 Extent
 1 online resource (xxiii, 543 pages .)
 Form of item
 online
 Isbn
 9783319020693
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other control number
 10.1007/9783319020693
 Specific material designation
 remote
 System control number
 (OCoLC)864749897
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