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Stochastic finance. Selected papers based on the presentations at the international conference on stochastic finance 2004, Lisbon, Portugal, September 26–30, 2004. (English) Zbl 1134.60005

New York, NY: Springer (ISBN 0-387-28262-9/hbk; 978-1-4419-3932-6/pbk; 0-387-28359-5/ebook). xiv, 364 p. (2006).

Show indexed articles as search result.

The articles of this volume will be reviewed individually.
Indexed articles:
Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan, How often to sample a continuous-time process in the presence of market microstructure noise, 3-72 [Zbl 1151.62365]
Barndorff-Nielsen, Ole E.; Shephard, Neil, Multipower variation and stochastic volatility, 73-82 [Zbl 1144.60314]
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek, Completeness of a general semimartingale market under constrained trading, 83-106 [Zbl 1143.91330]
Fasen, Vicky; Klüppelberg, Claudia; Lindner, Alexander, Extremal behavior of stochastic volatility models, 107-155 [Zbl 1159.62068]
Platen, Eckhard, Capital asset pricing for markets with intensity based jumps, 157-182 [Zbl 1156.60051]
Pliska, Stanley R., Mortgage valuation and optimal refinancing, 183-196 [Zbl 1143.91351]
Runggaldier, Wolfgang J.; di Emidio, Sara, Computing efficient hedging strategies in discontinuous market models, 197-212 [Zbl 1143.60043]
Yu, Lian; Zhang, Shuzhong; Zhou, Xun Yu, A downside risk analysis based on financial index tracking models, 213-236 [Zbl 1143.91348]
Borovka, Svetlana; Permana, Ferry Jaya, Modelling electricity prices by the potential jump-diffusion, 239-263 [Zbl 1154.60055]
Gaspar, Raquel M., Finite dimensional Markovian realizations for forward price term structure models, 265-320 [Zbl 1153.60041]
Irle, Albrecht; Sass, Jörn, Good portfolio strategies under transaction costs: a renewal theoretic approach, 321-341 [Zbl 1143.91017]
Woerner, Jeannette H. C., Power and multipower variation: inference for high frequency data, 343-364 [Zbl 1142.62095]

MSC:

60-06 Proceedings, conferences, collections, etc. pertaining to probability theory
91-06 Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance
00B25 Proceedings of conferences of miscellaneous specific interest
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