2014

Inspired by Finance

The Musiela Festschrift

Editors:

ISBN: 978-3-319-02068-6 (Print) 978-3-319-02069-3 (Online)

Table of contents (25 chapters)

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  1. Front Matter

    Pages I-XXIII

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    Book Chapter

    Pages 1-27

    Forward Start Foreign Exchange Options Under Heston’s Volatility and the CIR Interest Rates

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    Book Chapter

    Pages 29-45

    Real Options with Competition and Incomplete Markets

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    Book Chapter

    Pages 47-71

    Dynamic Hedging of Counterparty Exposure

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    Book Chapter

    Pages 73-82

    A Note on Market Completeness with American Put Options

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    Book Chapter

    Pages 83-101

    An f-Divergence Approach for Optimal Portfolios in Exponential Lévy Models

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    Book Chapter

    Pages 103-116

    Optimal Investment with Bounded VaR for Power Utility Functions

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    Book Chapter

    Pages 117-158

    Three Essays on Exponential Hedging with Variable Exit Times

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    Book Chapter

    Pages 159-199

    Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient

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    Book Chapter

    Pages 201-219

    Conditional Default Probability and Density

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    Book Chapter

    Pages 221-256

    Yield Curve Smoothing and Residual Variance of Fixed Income Positions

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    Book Chapter

    Pages 257-272

    Maximally Acceptable Portfolios

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    Book Chapter

    Pages 273-281

    Some Extensions of Norros’ Lemma in Models with Several Defaults

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    Book Chapter

    Pages 283-304

    On the Pricing of Perpetual American Compound Options

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    Book Chapter

    Pages 305-330

    New Approximations in Local Volatility Models

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    Book Chapter

    Pages 331-348

    Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options

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    Book Chapter

    Pages 349-362

    A Time Before Which Insiders Would not Undertake Risk

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    Book Chapter

    Pages 363-385

    Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting

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    Book Chapter

    Pages 387-410

    On the First Passage Time Under Regime-Switching with Jumps

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    Book Chapter

    Pages 411-437

    Strong Consistency of the Bayesian Estimator for the Ornstein–Uhlenbeck Process

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    Book Chapter

    Pages 439-459

    Multiasset Derivatives and Joint Distributions of Asset Prices

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