2010

Contemporary Quantitative Finance

Essays in Honour of Eckhard Platen

Editors:

ISBN: 978-3-642-03478-7 (Print) 978-3-642-03479-4 (Online)

Table of contents (20 chapters)

  1. Front Matter

    Pages I-X

  2. No Access

    Book Chapter

    Pages 1-17

    Probabilistic Aspects of Arbitrage

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    Book Chapter

    Pages 19-34

    Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing

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    Book Chapter

    Pages 35-51

    M6—On Minimal Market Models and Minimal Martingale Measures

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    Book Chapter

    Pages 53-75

    The Economic Plausibility of Strict Local Martingales in Financial Modelling

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    Book Chapter

    Pages 77-97

    A Remarkable σ-finite Measure Associated with Last Passage Times and Penalisation Problems

  7. No Access

    Book Chapter

    Pages 99-121

    Pricing Without Equivalent Martingale Measures Under Complete and Incomplete Observation

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    Book Chapter

    Pages 123-134

    Existence and Non-uniqueness of Solutions for BSDE

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    Book Chapter

    Pages 135-158

    Comparison Theorems for Finite State Backward Stochastic Differential Equations

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    Book Chapter

    Pages 159-182

    Results on Numerics for FBSDE with Drivers of Quadratic Growth

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    Book Chapter

    Pages 183-194

    Variance Swap Portfolio Theory

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    Book Chapter

    Pages 195-216

    Stochastic Partial Differential Equations and Portfolio Choice

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    Book Chapter

    Pages 217-229

    Issuers’ Commitments Would Add More Value than Any Rating Scheme Could Ever Do

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    Book Chapter

    Pages 231-253

    Pricing and Hedging of CDOs: A Top Down Approach

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    Book Chapter

    Pages 255-280

    Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives

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    Book Chapter

    Pages 281-315

    Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms

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    Book Chapter

    Pages 317-333

    Buy Low and Sell High

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    Book Chapter

    Pages 335-351

    Continuity Theorems in Boundary Crossing Problems for Diffusion Processes

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    Book Chapter

    Pages 353-368

    Binomial Models for Interest Rates

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    Book Chapter

    Pages 369-405

    Lognormal Forward Market Model (LFM) Volatility Function Approximation

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    Book Chapter

    Pages 407-423

    Maximum Likelihood Estimation for Integrated Diffusion Processes