2011

Advanced Mathematical Methods for Finance

Editors:

ISBN: 978-3-642-18411-6 (Print) 978-3-642-18412-3 (Online)

Table of contents (18 chapters)

  1. Front Matter

    Pages I-VIII

  2. No Access

    Book Chapter

    Pages 1-34

    Dynamic Risk Measures

  3. No Access

    Book Chapter

    Pages 35-74

    Ambit Processes and Stochastic Partial Differential Equations

  4. No Access

    Book Chapter

    Pages 75-103

    Fractional Processes as Models in Stochastic Finance

  5. No Access

    Book Chapter

    Pages 105-132

    Credit Contagion in a Long Range Dependent Macroeconomic Factor Model

  6. No Access

    Book Chapter

    Pages 133-153

    Modelling Information Flows in Financial Markets

  7. No Access

    Book Chapter

    Pages 155-179

    An Overview of Comonotonicity and Its Applications in Finance and Insurance

  8. No Access

    Book Chapter

    Pages 181-221

    A General Maximum Principle for Anticipative Stochastic Control and Applications to Insider Trading

  9. No Access

    Book Chapter

    Pages 223-245

    Analyticity of the Wiener–Hopf Factors and Valuation of Exotic Options in Lévy Models

  10. No Access

    Book Chapter

    Pages 247-255

    Optimal Liquidation of a Pairs Trade

  11. No Access

    Book Chapter

    Pages 257-291

    A PDE-Based Approach for Pricing Mortgage-Backed Securities

  12. No Access

    Book Chapter

    Pages 293-312

    Nonparametric Methods for Volatility Density Estimation

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    Book Chapter

    Pages 313-331

    Fractional Smoothness and Applications in Finance

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    Book Chapter

    Pages 333-365

    Liquidity Models in Continuous and Discrete Time

  15. No Access

    Book Chapter

    Pages 367-395

    Some New BSDE Results for an Infinite-Horizon Stochastic Control Problem

  16. No Access

    Book Chapter

    Pages 397-415

    Functionals Associated with Gradient Stochastic Flows and Nonlinear SPDEs

  17. No Access

    Book Chapter

    Pages 417-453

    Pricing and Hedging of Rating-Sensitive Claims Modeled by $\mathbb{F}$ -doubly Stochastic Markov Chains

  18. No Access

    Book Chapter

    Pages 455-508

    Exotic Derivatives under Stochastic Volatility Models with Jumps

  19. No Access

    Book Chapter

    Pages 509-536

    Asymptotics of HARA Utility from Terminal Wealth under Proportional Transaction Costs with Decision Lag or Execution Delay and Obligatory Diversification