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  • © 2014

Inspired by Finance

The Musiela Festschrift

  • Written by experts

  • Provides methods ready for practical implementation

  • Opens perspectives for further studies in risk management

  • Includes supplementary material: sn.pub/extras

Buying options

eBook USD 109.00
Price excludes VAT (USA)
  • ISBN: 978-3-319-02069-3
  • Instant PDF download
  • Readable on all devices
  • Own it forever
  • Exclusive offer for individuals only
  • Tax calculation will be finalised during checkout
Softcover Book USD 139.00
Price excludes VAT (USA)
Hardcover Book USD 159.99
Price excludes VAT (USA)

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Table of contents (25 chapters)

  1. Front Matter

    Pages I-XXIII
  2. Real Options with Competition and Incomplete Markets

    • Alain Bensoussan, SingRu (Celine) Hoe
    Pages 29-45
  3. Dynamic Hedging of Counterparty Exposure

    • Tomasz R. Bielecki, Stéphane Crépey
    Pages 47-71
  4. Optimal Investment with Bounded VaR for Power Utility Functions

    • Bénamar Chouaf, Serguei Pergamenchtchikov
    Pages 103-116
  5. Three Essays on Exponential Hedging with Variable Exit Times

    • Tahir Choulli, Junfeng Ma, Marie-Amélie Morlais
    Pages 117-158
  6. Conditional Default Probability and Density

    • N. El Karoui, M. Jeanblanc, Y. Jiao, B. Zargari
    Pages 201-219
  7. Maximally Acceptable Portfolios

    • Ernst Eberlein, Dilip B. Madan
    Pages 257-272
  8. On the Pricing of Perpetual American Compound Options

    • Pavel V. Gapeev, Neofytos Rodosthenous
    Pages 283-304
  9. New Approximations in Local Volatility Models

    • E. Gobet, A. Suleiman
    Pages 305-330
  10. A Time Before Which Insiders Would not Undertake Risk

    • Constantinos Kardaras
    Pages 349-362
  11. Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting

    • Paul C. Kettler, Frank Proske, Mark Rubtsov
    Pages 363-385
  12. On the First Passage Time Under Regime-Switching with Jumps

    • Masaaki Kijima, Chi Chung Siu
    Pages 387-410
  13. Strong Consistency of the Bayesian Estimator for the Ornstein–Uhlenbeck Process

    • Arturo Kohatsu-Higa, Nicolas Vayatis, Kazuhiro Yasuda
    Pages 411-437

About this book

​The present volume is dedicated to Marek Musiela, the eminent scholar and practitioner, well-known for his important contribution into problems of derivative pricing, theory of term structure of interest rates, theory of defaultable securities and other topics of modern mathematical finance. Under the cover the reader finds 25 research papers of 47 authors, famous or young, covering the whole range of the "hot" topics of the discipline. The contributed articles not only give a clear picture about what is going on in this fast developing field of knowledge but provide methods ready for practical implementation. They also open perspectives for further studies in risk management, portfolio optimization, and financial engineering.​

Keywords

  • 91GXX, 91G10, 91G20, 91G30, 91G40, 91G80
  • arbitrage pricing
  • credit risk
  • exotic options
  • financial derivatives
  • portfolio optimization
  • quantitative finance

Editors and Affiliations

  • Labo. Mathématiques U.F.R. des Sciences et Technologie, Université de Franche-Comté, Besancon, France

    Yuri Kabanov

  • School of Mathematics & Statistics, University of Sydney, Sydney, Australia

    Marek Rutkowski

  • Depts. of Mathematics and IROM, McCombs School of Business, The University of Texas at Austin, Austin, USA

    Thaleia Zariphopoulou

Bibliographic Information

  • Book Title: Inspired by Finance

  • Book Subtitle: The Musiela Festschrift

  • Editors: Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou

  • DOI: https://doi.org/10.1007/978-3-319-02069-3

  • Publisher: Springer Cham

  • eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)

  • Copyright Information: Springer International Publishing Switzerland 2014

  • Hardcover ISBN: 978-3-319-02068-6

  • Softcover ISBN: 978-3-319-35029-5

  • eBook ISBN: 978-3-319-02069-3

  • Edition Number: 1

  • Number of Pages: XXIII, 543

  • Number of Illustrations: 19 b/w illustrations, 14 illustrations in colour

  • Topics: Mathematics in Business, Economics and Finance

Buying options

eBook USD 109.00
Price excludes VAT (USA)
  • ISBN: 978-3-319-02069-3
  • Instant PDF download
  • Readable on all devices
  • Own it forever
  • Exclusive offer for individuals only
  • Tax calculation will be finalised during checkout
Softcover Book USD 139.00
Price excludes VAT (USA)
Hardcover Book USD 159.99
Price excludes VAT (USA)