Inspired by finance : the Musiela festschrift, Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou, editors

Resource Information

The instance Inspired by finance : the Musiela festschrift, Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou, editors represents a material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries. This resource is a combination of several types including: Instance, Electronic.

Image

http://images.btol.com/ContentCafe/Jacket.aspx?UserID=ebsco-test&Password=ebsco-test&Return=T&Value=9783319020693&Type=L

Label

Inspired by finance : the Musiela festschrift, Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou, editors

Title remainder

the Musiela festschrift

Statement of responsibility

Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou, editors

Instantiates

• Inspired by finance : the Musiela festschrift

Publication

• Cham, Springer, 2014

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

Record ID

.b130078128

Specific material designation

remote

System control number

(OCoLC)864749897