From Stochastic Calculus to Mathematical Finance
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Abstract
Individual chapters are listed in the "Chapters" tab
Suggested Citation
DOI: 10.1007/978-3-540-30788-4
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Book Chapters
The following chapters of this book are listed in IDEAS- Aureli Alabert & István Gyongy, 2006. "On Numerical Approximation of Stochastic Burgers' Equation," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 1-15, Springer.
- Vadim I. Arkin & Alexander D. Slastnikov, 2006. "Optimal Time to Invest under Tax Exemptions," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 17-32, Springer.
- Ole E. Barndorff–Nielsen & Svend Erik Graversen & Jean Jacod & Mark Podolskij & Neil Shephard, 2006. "A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 33-68, Springer.
- Nick H. Bingham & Rafael Schmidt, 2006. "Interplay between Distributional and Temporal Dependence. An Empirical Study with High-frequency Asset Returns," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 69-90, Springer.
- Jevgenijs Carkovs & Jordan Stoyanov, 2006. "Asymptotic Methods for Stability Analysis of Markov Dynamical Systems with Fast Variables," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 91-108, Springer.
- Alexander Cherny, 2006. "Some Particular Problems of Martingale Theory," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 109-124, Springer.
- Alexander Cherny & Mikhail Urusov, 2006. "On the Absolute Continuity and Singularity of Measures on Filtered Spaces: Separating Times," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 125-168, Springer.
- Mark H. A. Davis, 2006. "Optimal Hedging with Basis Risk," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 169-187, Springer.
- Bernard Delyon & Anatoly Juditsky & Robert Liptser, 2006. "Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 189-209, Springer.
- Giovanni B. Di Masi & Lukasz Stettner, 2006. "Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 211-226, Springer.
- Hans-Jürgen Engelbert & Vladimir P. Kurenok & Adrian Zalinescu, 2006. "On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 227-248, Springer.
- José Fajardo & Ernesto Mordecki, 2006. "A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 249-256, Springer.
- Dario Gasbarra & Esko Valkeila & Lioudmila Vostrikova, 2006. "Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 257-285, Springer.
- Alexander A. Gushchin & Denis A. Zhdanov, 2006. "A Minimax Result for f-Divergences," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 287-294, Springer.
- Andrew Jack & Mihail Zervos, 2006. "Impulse and Absolutely Continuous Ergodic Control of One-Dimensional Itô Diffusions," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 295-314, Springer.
- Yuri Kabanov & Masaaki Kijima, 2006. "A Consumption–Investment Problem with Production Possibilities," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 315-332, Springer.
- Yuri Kabanov & Yuliya Mishura & Ludmila Sakhno, 2006. "Multiparameter Generalizations of the Dalang–Morton– Willinger Theorem," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 333-341, Springer.
- Jan Kallsen, 2006. "A Didactic Note on Affine Stochastic Volatility Models," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 343-368, Springer.
- Pavel K. Katyshev, 2006. "Uniform Optimal Transmission of Gaussian Messages," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 369-383, Springer.
- Kiyoshi Kawazu, 2006. "A Note on the Brownian Motion," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 385-392, Springer.
- Claudia Klüppelberg & Alexander Lindner & Ross Maller, 2006. "Continuous Time Volatility Modelling: COGARCH versus Ornstein–Uhlenbeck Models," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 393-419, Springer.
- Robert Liptser & Alexander Novikov, 2006. "Tail Distributions of Supremum and Quadratic Variation of Local Martingales," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 421-432, Springer.
- Sergey Lototsky & Boris Rozovskii, 2006. "Stochastic Differential Equations: A Wiener Chaos Approach," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 433-506, Springer.
- Michael Mania & Revaz Tevzadze, 2006. "A Martingale Equation of Exponential Type," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 507-516, Springer.
- Jan Oblój & Marc Yor, 2006. "On Local Martingale and its Supremum: Harmonic Functions and beyond," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 517-533, Springer.
- Goran Peskir, 2006. "On the Fundamental Solution of the Kolmogorov–Shiryaev Equation," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 535-546, Springer.
- Huyên Pham, 2006. "Explicit Solution to an Irreversible Investment Model with a Stochastic Production Capacity," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 547-565, Springer.
- Ernst Presman & Isaac Sonin, 2006. "Gittins Type Index Theorem for Randomly Evolving Graphs," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 567-588, Springer.
- Miklós Résonyi & Lukasz Stettner, 2006. "On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 589-608, Springer.
- Isaac M. Sonin, 2006. "The Optimal Stopping of a Markov Chain and Recursive Solution of Poisson and Bellman Equations," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 609-621, Springer.
- A.Yu. Veretennikov, 2006. "On Lower Bounds for Mixing Coefficients of Markov Diffusions," Springer Books, in: From Stochastic Calculus to Mathematical Finance, pages 623-633, Springer.
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