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Description of Advances in Finance and Stochastics |
In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973.
Advances in Finance and Stochastics contains a collection of original articles by a number of highly distinguished authors on research topics that are currently in the focus of interest of both academics and practitioners.
The topics span risk management, portfolio theory and multi-asset derivatives, market imperfections, interest-rate modelling and exotic options.
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Contents of Advances in Finance and Stochastics |
F. Delbaen: Coherent Risk Measures on General Probability Spaces
H. Föllmer/A. Schied: Robust Preferences and Convex Measures of Risk
P. Embrechts/S.Y. Novak: Long Head-Runs and Long Match Patterns
J. Werner: Factor Pricing in Multidate Security Markets
J.-C. Duan/S.R. Pliska: Option Pricing for Co-Integrated Assets
D.B. Madan/F. Milne/R.J. Elliott: Incomplete Diversification and Asset Pricing
Y.M. Kabanov/C. Stricker: Hedging of Contingent Claims under Transaction Costs
R. Frey/P. Patie: Risk Management for Derivatives in Illiquid Markets: A Simulation Study
L.-C.-G. Rogers/O. Zane: A Simple Model of Liquidity Effects
R. Bhar/C. Chiarella/W. Runggaldier: Estimation in Models of the Instantaneous Short Term Interest Rate by Use of a Dynamic Bayesian Algorithm
E. Schlögl: Arbitrage-Free Interpolation in Models of Market Observable Interest Rates
J. A. Nielsen/K. Sandmann: The Fair Premium of an Equity-Linked Life and Pension Insurance
M. Schweizer: On Bermudan Options
L.A. Shepp/A.N. Shiryaev/A. Sulem: A Barrier Version of the Russian Option
K. Schürger: Laplace Transforms and Suprema of Stochastic Processes
G. Peskir/A.N. Shiryaev: Solving the Poisson Disorder Problem
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