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Contemporary Quantitative Finance

Essays in Honour of Eckhard Platen

  • Carl Chiarella
  • Alexander Novikov

Table of contents

  1. Front Matter
    Pages I-X
  2. Daniel Fernholz, Ioannis Karatzas
    Pages 1-17
  3. Hardy Hulley, Martin Schweizer
    Pages 35-51
  4. Xiaobo Bao, Freddy Delbaen, Ying Hu
    Pages 123-134
  5. Peter Imkeller, Gonçalo Dos Reis, Jianing Zhang
    Pages 159-182
  6. Dilip B. Madan
    Pages 183-194
  7. Marek Musiela, Thaleia Zariphopoulou
    Pages 195-216
  8. Damir Filipović, Thorsten Schmidt
    Pages 231-253
  9. Pavel V. Gapeev, Monique Jeanblanc, Libo Li, Marek Rutkowski
    Pages 255-280
  10. Min Dai, Hanqing Jin, Yifei Zhong, Xun Yu Zhou
    Pages 317-333
  11. Konstantin A. Borovkov, Andrew N. Downes, Alexander A. Novikov
    Pages 335-351
  12. John van der Hoek
    Pages 353-368
  13. In-Hwan Chung, Tim Dun, Erik Schlögl
    Pages 369-405
  14. Fernando Baltazar-Larios, Michael Sørensen
    Pages 407-423

About this book

Introduction

The contributors to this volume write a series of articles outlining contemporary advances in a number of key areas of mathematical finance such as, optimal control theory applied to finance, interest rate models, credit risk and credit derivatives, use of alternative stochastic processes, numerical solution of equations of mathematical finance, estimation of stochastic processes in finance. The list of authors includes many of the researchers who have made the major contributions to these various areas of mathematical finance.

This volume addresses both researchers and professionals in financial institutions, as well as regulators working in the above mentioned fields.

Keywords

Measure Sage Stochastic Differential Equations Stochastic Processes arbitrage credit risk filtering interest rate models modeling stochastic optimal control

Editors and affiliations

  • Carl Chiarella
    • 1
  • Alexander Novikov
    • 1
  1. 1.School of Finance and Economics Department of Mathematical SciencesThe University of TechnologySydneyAustralia

Bibliographic information