Descripción del título
Advanced Modelling in Mathe...
This Festschrift resulted from a workshop on \201CAdvanced Modelling in Mathematical Finance\201D held in honour of Ernst Eberlein\2019s 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\2019s 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
Monografía
monografia Rebiun18286117 https://catalogo.rebiun.org/rebiun/record/Rebiun18286117 cr nn 008mamaa 161201s2016 gw | s |||| 0|eng d 9783319458755 10.1007/978-3-319-45875-5 doi UPNA0467922 UR0399408 KF bicssc MAT003000 bisacsh BUS027000 bisacsh 519 23 Advanced Modelling in Mathematical Finance Recurso electrónico-En línea] In Honour of Ernst Eberlein edited by Jan Kallsen, Antonis Papapantoleon Cham Springer International Publishing Imprint: Springer 2016 Cham Cham Springer International Publishing Imprint: Springer XXIV, 496 p. 79 illus., 69 illus. in color. online resource XXIV, 496 p. 79 illus., 69 illus. in color. Text txt rdacontent computer c rdamedia online resource cr rdacarrier Springer Proceedings in Mathematics & Statistics 2194-1009 189 Mathematics and Statistics (Springer-11649) Preface -- An Interview with Ernst Eberlein -- Part I: Flexible Lévy-based models. E. A. v. Hammerstein: Tail behaviour and tail dependence of generalized hyperbolic distributions -- O. Barndorff-Nielsen: Gamma kernels and BSS/LSS processes -- M. Mandjes and P. Spreij: Explicit computations for some Markov modulated counting processes -- Part II: Statistics and risk -- H. Geman and B. Liu: The outlook of energy markets in 2015: introducing distances between forward curves -- D. Madan: Three non-Gaussian models of dependence in returns -- A. Kimura and N. Yoshida: Estimation of correlation between latent processes -- J. Beirlant, W. Schoutens, J. De Spiegeleer, T. Reynkens, and K. Herrmann: Hunting for black swans in the European banking sector using extreme value analysis -- E. Lütkebohmert-Holtz and Y. Xiao: Collateralized borrowing and default risk -- G. Stahl: Model uncertainty in a holistic perspective -- Part III: Derivative pricing, hedging, and optimization -- Ch. Bayer and J. Schoenmakers: Option pricing in affine generalized Merton models -- G. Jahncke and J. Kallsen: Approximate pricing of call options on the quadratic variation in Lévy models -- A. Cerný: Dynamic discrete-time hedging of barrier options under leptokurtic returns driven by an exponential Lévy model -- M. Musiela, E. Sokolova, and Th. Zariphopoulou: Exponential forward indifference prices in incomplete binomial models -- M. Feodoria and J. Kallsen: Almost surely optimal portfolios under propotional transaction costs -- J. M. Corcuera, J. Fajardo, and O. Pamen: On the optimal payoffs -- L. Rüschendorf and V. Wolf: Construction and hedging of optimal payoffs in Lévy Models -- Part IV: Term-structure modelling -- I. Klein, Th. Schmidt, and J. Teichmann: No arbitrage theory for bond markets -- K. Glau, Z. Grbac, and Antonis Papapantoleon: A unified view of LIBOR models -- Z. Grbac, D. Krief, and P. Tankov: Approximate option pricing in the Lévy LIBOR model -- F. E. Benth: Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework Accesible sólo para usuarios de la UPV Recurso a texto completo This Festschrift resulted from a workshop on \201CAdvanced Modelling in Mathematical Finance\201D held in honour of Ernst Eberlein\2019s 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\2019s 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 Reproducción electrónica Forma de acceso: Web Mathematics Economics, Mathematical Probabilities Mathematics Quantitative Finance Probability Theory and Stochastic Processes Kallsen, Jan. editor Papapantoleon, Antonis. editor SpringerLink (Servicio en línea) Springer eBooks Springer eBooks Printed edition 9783319458731 Springer Proceedings in Mathematics & Statistics 2194-1009 189