Stochastic Finance

Ever since Black, Scholes, and Merton did their pioneering work in the field of financial mathematics, continuing research has led to the rapid development of a substantial body of knowledge, with numerous applications to the common functioning of the world's financial institutions. Mathematics...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor Corporativo: SpringerLink (Online service)
Otros Autores: Shiryaev, Albert N. (Editor ), Grossinho, Maria do Rosário (Editor ), Oliveira, Paulo E. (Editor ), Esquível, Manuel L. (Editor )
Formato: Electrónico eBook
Idioma:Inglés
Publicado: New York, NY : Springer US : Imprint: Springer, 2006.
Edición:1st ed. 2006.
Temas:
Probabilities.
Probability Theory.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • Plenary and Invited Lectures
  • How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
  • Multipower Variation and Stochastic Volatility
  • Completeness of a General Semimartingale Market under Constrained Trading
  • Extremal behavior of stochastic volatility models
  • Capital Asset Pricing for Markets with Intensity Based Jumps
  • Mortgage Valuation and Optimal Refinancing
  • Computing efficient hedging strategies in discontinuous market models
  • A Downside Risk Analysis based on Financial Index Tracking Models
  • Contributed Talks
  • Modelling electricity prices by the potential jump-diffusion
  • Finite dimensional Markovian realizations for forward price term structure models
  • Good Portfolio Strategies under Transaction Costs: A Renewal Theoretic Approach
  • Power and Multipower Variation: inference for high frequency data.

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