Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen

Book Overview

Probabilistic Aspects of Arbitrage.- Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing.- M6-On Minimal Market Models and Minimal Martingale Measures.- The Economic Plausibility of Strict Local Martingales in Financial Modelling.- A Remarkable ?-finite Measure Associated with Last Passage Times and Penalisation Problems.- Pricing Without Equivalent Martingale Measures Under Complete and Incomplete Observation.- Existence and Non-uniqueness of Solutions for BSDE.- Comparison Theorems for Finite State Backward Stochastic Differential Equations.- Results on Numerics for FBSDE with Drivers of Quadratic Growth.- Variance Swap Portfolio Theory.- Stochastic Partial Differential Equations and Portfolio Choice.- Issuers' Commitments Would Add More Value than Any Rating Scheme Could Ever Do.- Pricing and Hedging of CDOs: A Top Down Approach.- Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives.- Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms.- Buy Low and Sell High.- Continuity Theorems in Boundary Crossing Problems for Diffusion Processes.- Binomial Models for Interest Rates.- Lognormal Forward Market Model (LFM) Volatility Function Approximation.- Maximum Likelihood Estimation for Integrated Diffusion Processes.

• Format: Paperback
• Language: English
• ISBN: 364243858X
• ISBN13: 9783642438585
• Release Date: December 2014
• Publisher: Springer
• Length: 423 Pages
• Weight: 1.34 lbs.
• Dimensions: 0.9" x 6.1" x 9.2"