Advanced Modelling in Mathematical Finance

In Honour of Ernst Eberlein

  • Jan Kallsen
  • Antonis Papapantoleon
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 189)

Table of contents

  1. Front Matter
    Pages i-xxiv
  2. Flexible Levy-based Models

    1. Front Matter
      Pages 1-1
    2. Ole E. Barndorff-Nielsen
      Pages 41-61
  3. Statistics and Risk

    1. Front Matter
      Pages 91-91
    2. Akitoshi Kimura, Nakahiro Yoshida
      Pages 131-146
    3. Jan Beirlant, Wim Schoutens, Jan De Spiegeleer, Tom Reynkens, Klaus Herrmann
      Pages 147-166
    4. Eva Lütkebohmert, Yajun Xiao
      Pages 167-187
    5. Gerhard Stahl
      Pages 189-215
  4. Derivative Pricing, Hedging, and Optimisation

    1. Front Matter
      Pages 217-217
    2. Christian Bayer, John Schoenmakers
      Pages 219-239
    3. M. Musiela, E. Sokolova, T. Zariphopoulou
      Pages 277-302
    4. Mark-Roman Feodoria, Jan Kallsen
      Pages 303-312
    5. José Manuel Corcuera, José Fajardo, Olivier Menouken Pamen
      Pages 313-330
    6. Ludger Rüschendorf, Viktor Wolf
      Pages 331-377

About these proceedings

Introduction

This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students.

Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.

Keywords

91G20, 91G30, 91G70, 60G44, 60G51 advanced stochastic models mathematical finance option pricing and hedging processes with jumps term structure models Ernst Eberlein Festschrift statistics

Editors and affiliations

  • Jan Kallsen
    • 1
  • Antonis Papapantoleon
    • 2
  1. 1.Department of MathematicsChristian-Albrechts-Universität zu KielKielGermany
  2. 2.Institute of MathematicsTechnische Universität BerlinBerlinGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-45875-5
  • Copyright Information Springer International Publishing Switzerland 2016
  • Publisher Name Springer, Cham
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-319-45873-1
  • Online ISBN 978-3-319-45875-5
  • Series Print ISSN 2194-1009
  • Series Online ISSN 2194-1017
  • About this book