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Contemporary quantitative finance. Essays in honour of Eckhard Platen. Papers based on the presentations at the international conference “Quantitative methods in finance”, Sydney, Australia, December 2009. (English) Zbl 1196.91010

Berlin: Springer (ISBN 978-3-642-03478-7/hbk). x, 423 p. (2010).

Show indexed articles as search result.

The articles of this volume will be reviewed individually.
Indexed articles:
Fernholz, Daniel; Karatzas, Ioannis, Probabilistic aspects of arbitrage, 1-17 [Zbl 1217.91218]
Kardaras, Constantinos, Finitely additive probabilities and the fundamental theorem of asset pricing, 19-34 [Zbl 1217.91221]
Hulley, Hardy; Schweizer, Martin, \(M^6\) – on minimal market models and minimal martingale measures, 35-51 [Zbl 1229.91376]
Hulley, Hardy, The economic plausibility of strict local martingales in financial modelling, 53-75 [Zbl 1217.91169]
Najnudel, Joseph; Nikeghbali, Ashkan, A remarkable \(\sigma\)-finite measure associated with last passage times and penalisation problems, 77-97 [Zbl 1217.91224]
Galesso, Giorgia; Runggaldier, Wolfgang J., Pricing without equivalent martingale measures under complete and incomplete observation, 99-121 [Zbl 1229.91132]
Bao, Xiaobo; Delbaen, Freddy; Hu, Ying, Existence and non-uniqueness of solutions for BSDE, 123-134 [Zbl 1218.60046]
Cohen, Samuel N.; Elliott, Robert J., Comparison theorems for finite state backward stochastic differential equations, 135-158 [Zbl 1236.60052]
Imkeller, Peter; dos Reis, Gonçalo; Zhang, Jianing, Results on numerics for FBSDE with drivers of quadratic growth, 159-182 [Zbl 1236.60068]
Musiela, Marek; Zariphopoulou, Thaleia, Stochastic partial differential equations and portfolio choice, 195-216 [Zbl 1217.91173]
Filipović, Damir; Schmidt, Thorsten, Pricing and hedging of CDOs: a top down approach, 231-253 [Zbl 1231.91431]
Gapeev, Pavel V.; Jeanblanc, Monique; Li, Libo; Rutkowski, Marek, Constructing random times with given survival processes and applications to valuation of credit derivatives, 255-280 [Zbl 1228.91070]
Chiarella, Carl; Ziogas, Andrew; Ziveyi, Jonathan, Representation of American option prices under Heston stochastic volatility dynamics using integral transforms, 281-315 [Zbl 1218.91152]
Dai, Min; Jin, Hanqing; Zhong, Yifei; Zhou, Xun Yu, Buy low and sell high, 317-333 [Zbl 1217.91167]
Borovkov, Konstantin A.; Downes, Andrew N.; Novikov, Alexander A., Continuity theorems in boundary crossing problems for diffusion processes, 335-351 [Zbl 1223.91036]
van der Hoek, John, Binomial models for interest rates, 353-368 [Zbl 1217.91193]
Chung, In-Hwan; Dun, Tim; Schlögl, Erik, Lognormal forward market model (LFM) volatility function approximation, 369-405 [Zbl 1230.91200]
Baltazar-Larios, Fernando; Sørensen, Michael, Maximum likelihood estimation for integrated diffusion processes, 407-423 [Zbl 1513.62161]

MSC:

91-06 Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance
00B30 Festschriften
91Gxx Actuarial science and mathematical finance
00B25 Proceedings of conferences of miscellaneous specific interest

Biographic References:

Platen, Eckhard
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