Skip to main content
SpringerLink
Log in

Advanced Mathematical Methods for Finance

  • Book
  • © 2011

Overview

Editors:
  1. Giulia Di Nunno

    1. CMA, Department of Mathematics, University of Oslo, Oslo, Norway

    View editor publications

    You can also search for this editor in PubMed   Google Scholar

  2. Bernt Øksendal

    1. CMA, Department of Mathematics, University of Oslo, Oslo, Norway

    View editor publications

    You can also search for this editor in PubMed   Google Scholar

  • Presents new models, new methods and new results in quantitative finance

  • Includes an analysis of new financial products such as exotic derivatives and liquidity models

  • Shows an application-oriented presentation of mathematical finance

  • Covers hot topics such as pricing and hedging

  • Develops models of risk and risk contagion

  • Includes supplementary material: sn.pub/extras

This is a preview of subscription content, log in via an institution to check access.

Access this book

Log in via an institution
eBook USD 84.99
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 109.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book USD 109.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

Licence this eBook for your library

Institutional subscriptions

Table of contents (18 chapters)

  1. Front Matter

    Pages I-VIII
    Download chapter PDF

  2. Dynamic Risk Measures

    • Beatrice Acciaio, Irina Penner
    Pages 1-34

  3. Ambit Processes and Stochastic Partial Differential Equations

    • Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart
    Pages 35-74

  4. Fractional Processes as Models in Stochastic Finance

    • Christian Bender, Tommi Sottinen, Esko Valkeila
    Pages 75-103

  5. Credit Contagion in a Long Range Dependent Macroeconomic Factor Model

    • Francesca Biagini, Serena Fuschini, Claudia Klüppelberg
    Pages 105-132

  6. Modelling Information Flows in Financial Markets

    • Dorje C. Brody, Lane P. Hughston, Andrea Macrina
    Pages 133-153

  7. An Overview of Comonotonicity and Its Applications in Finance and Insurance

    • Griselda Deelstra, Jan Dhaene, Michèle Vanmaele
    Pages 155-179

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

    • Giulia Di Nunno, Olivier Menoukeu Pamen, Bernt Øksendal, Frank Proske
    Pages 181-221

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

    • Ernst Eberlein, Kathrin Glau, Antonis Papapantoleon
    Pages 223-245

  10. Optimal Liquidation of a Pairs Trade

    • Erik Ekström, Carl Lindberg, Johan Tysk
    Pages 247-255

  11. A PDE-Based Approach for Pricing Mortgage-Backed Securities

    • Marco Papi, Maya Briani
    Pages 257-291

  12. Nonparametric Methods for Volatility Density Estimation

    • Bert van Es, Peter Spreij, Harry van Zanten
    Pages 293-312

  13. Fractional Smoothness and Applications in Finance

    • Stefan Geiss, Emmanuel Gobet
    Pages 313-331

  14. Liquidity Models in Continuous and Discrete Time

    • Selim Gökay, Alexandre F. Roch, H. Mete Soner
    Pages 333-365

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

    • Ying Hu, Martin Schweizer
    Pages 367-395

  16. Functionals Associated with Gradient Stochastic Flows and Nonlinear SPDEs

    • B. Iftimie, M. Marinescu, C. Vârsan
    Pages 397-415

  17. Pricing and Hedging of Rating-Sensitive Claims Modeled by \(\mathbb{F}\)-doubly Stochastic Markov Chains

    • Jacek Jakubowski, Mariusz NiewÄ™gÅ‚owski
    Pages 417-453

  18. Exotic Derivatives under Stochastic Volatility Models with Jumps

    • Aleksandar Mijatović, Martijn Pistorius
    Pages 455-508

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

    • Lukasz Stettner
    Pages 509-536
Back to top

Keywords

About this book

This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance.

Editors and Affiliations

  • CMA, Department of Mathematics, University of Oslo, Oslo, Norway

    Giulia Di Nunno, Bernt Øksendal

About the editors

Giulia Di Nunno and Bernt Øksendal are professors at the University of Oslo. Their work in stochastic analysis, control, and mathematical finance is internationally highly appreciated. They have been chairing the leadership of the large European ESF funded networking program AMaMeF in financial mathematics.

Bibliographic Information

Publish with us

Policies and ethics

Back to top

Search

Navigation