Shiryaev / Grossinho / Oliveira Stochastic Finance

1. Auflage 2006
ISBN: 978-0-387-28359-3
Verlag: Springer US
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 364 Seiten, eBook

Since the pioneering work of Black, Scholes, and Merton in the field of financial mathematics, research has led to the rapid development of a substantial body of knowledge, with plenty of applications to the common functioning of the world’s financial institutions.

Mathematics, as the language of science, has always played a role in the development of knowledge and technology. Presently, the high-tech character of modern business has increased the need for advanced methods, which rely to a large extent on mathematical techniques. It has become essential for the financial analyst to possess a high degree of proficiency in these mathematical techniques.

Zielgruppe

Research

Autoren/Hrsg.

Shiryaev, Albert N.

Grossinho, Maria do Rosário

Oliveira, Paulo E.

Esquível, Manuel L.

Inhaltsverzeichnis

Plenary and Invited Lectures.- How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise.- Multipower Variation and Stochastic Volatility.- Completeness of a General Semimartingale Market under Constrained Trading.- Extremal behavior of stochastic volatility models.- Capital Asset Pricing for Markets with Intensity Based Jumps.- Mortgage Valuation and Optimal Refinancing.- Computing efficient hedging strategies in discontinuous market models.- A Downside Risk Analysis based on Financial Index Tracking Models.- Contributed Talks.- Modelling electricity prices by the potential jump-diffusion.- Finite dimensional Markovian realizations for forward price term structure models.- Good Portfolio Strategies under Transaction Costs: A Renewal Theoretic Approach.- Power and Multipower Variation: inference for high frequency data.