Coverart for item
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

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
Contributor
Editor
Honouree
Subject
Language
eng
Summary
The 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
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
Instantiates
Publication
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 f-divergence 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 Marie-Amelie 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 regime-switching with jumps
  • Masaaki Kijima and Chi Chung Siu
  • Strong consistency of the Bayesian estimator for the Ornstein-Uhlenbeck process
  • Arturo Kohatsu-Higa, Nicolas Vayatis, and Kazuhiro Yasuda
  • Multiasset derivatives and joint distributions of asset prices
  • Ilya Molchanov and Michael Schmutz
  • Pricing of volume-weighted 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 non-zero 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
  • Low-dimensional partial integro-differential equations for high-dimensional 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 f-divergence 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 Marie-Amelie 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 -- Low-dimensional partial integro-differential equations for high-dimensional 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 regime-switching with jumps / Masaaki Kijima and Chi Chung Siu -- Strong consistency of the Bayesian estimator for the Ornstein-Uhlenbeck process / Arturo Kohatsu-Higa, Nicolas Vayatis, and Kazuhiro Yasuda -- Multiasset derivatives and joint distributions of asset prices / Ilya Molchanov and Michael Schmutz -- Pricing of volume-weighted 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
10.1007/978-3-319-02069-3
Specific material designation
remote
System control number
(OCoLC)864749897
Label
Inspired by finance : the Musiela festschrift, Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou, editors
Publication
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 f-divergence 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 Marie-Amelie 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 regime-switching with jumps
  • Masaaki Kijima and Chi Chung Siu
  • Strong consistency of the Bayesian estimator for the Ornstein-Uhlenbeck process
  • Arturo Kohatsu-Higa, Nicolas Vayatis, and Kazuhiro Yasuda
  • Multiasset derivatives and joint distributions of asset prices
  • Ilya Molchanov and Michael Schmutz
  • Pricing of volume-weighted 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 non-zero 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
  • Low-dimensional partial integro-differential equations for high-dimensional 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 f-divergence 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 Marie-Amelie 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 -- Low-dimensional partial integro-differential equations for high-dimensional 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 regime-switching with jumps / Masaaki Kijima and Chi Chung Siu -- Strong consistency of the Bayesian estimator for the Ornstein-Uhlenbeck process / Arturo Kohatsu-Higa, Nicolas Vayatis, and Kazuhiro Yasuda -- Multiasset derivatives and joint distributions of asset prices / Ilya Molchanov and Michael Schmutz -- Pricing of volume-weighted 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
10.1007/978-3-319-02069-3
Specific material designation
remote
System control number
(OCoLC)864749897

Library Locations

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      38.944491 -92.326012
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