Advanced Mathematical Methods for Finance
Editor
- Giulia Di Nunno(University of Oslo, CMA, Department of Mathematics)Bernt Øksendal(University of Oslo, CMA, Department of Mathematics)
Abstract
Individual chapters are listed in the "Chapters" tab
Suggested Citation
DOI: 10.1007/978-3-642-18412-3
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Book Chapters
The following chapters of this book are listed in IDEAS- Beatrice Acciaio & Irina Penner, 2011. "Dynamic Risk Measures," Springer Books, in: Giulia Di Nunno & Bernt Øksendal (ed.), Advanced Mathematical Methods for Finance, chapter 0, pages 1-34, Springer.
- Ole E. Barndorff-Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2011. "Ambit Processes and Stochastic Partial Differential Equations," Springer Books, in: Giulia Di Nunno & Bernt Øksendal (ed.), Advanced Mathematical Methods for Finance, chapter 0, pages 35-74, Springer.
- Christian Bender & Tommi Sottinen & Esko Valkeila, 2011. "Fractional Processes as Models in Stochastic Finance," Springer Books, in: Giulia Di Nunno & Bernt Øksendal (ed.), Advanced Mathematical Methods for Finance, chapter 0, pages 75-103, Springer.
- Francesca Biagini & Serena Fuschini & Claudia Klüppelberg, 2011. "Credit Contagion in a Long Range Dependent Macroeconomic Factor Model," Springer Books, in: Giulia Di Nunno & Bernt Øksendal (ed.), Advanced Mathematical Methods for Finance, chapter 0, pages 105-132, Springer.
- Dorje C. Brody & Lane P. Hughston & Andrea Macrina, 2011. "Modelling Information Flows in Financial Markets," Springer Books, in: Giulia Di Nunno & Bernt Øksendal (ed.), Advanced Mathematical Methods for Finance, chapter 0, pages 133-153, Springer.
- Griselda Deelstra & Jan Dhaene & Michèle Vanmaele, 2011. "An Overview of Comonotonicity and Its Applications in Finance and Insurance," Springer Books, in: Giulia Di Nunno & Bernt Øksendal (ed.), Advanced Mathematical Methods for Finance, chapter 0, pages 155-179, Springer.
- Giulia Di Nunno & Olivier Menoukeu Pamen & Bernt Øksendal & Frank Proske, 2011. "A General Maximum Principle for Anticipative Stochastic Control and Applications to Insider Trading," Springer Books, in: Giulia Di Nunno & Bernt Øksendal (ed.), Advanced Mathematical Methods for Finance, chapter 0, pages 181-221, Springer.
- Ernst Eberlein & Kathrin Glau & Antonis Papapantoleon, 2011. "Analyticity of the Wiener–Hopf Factors and Valuation of Exotic Options in Lévy Models," Springer Books, in: Giulia Di Nunno & Bernt Øksendal (ed.), Advanced Mathematical Methods for Finance, chapter 0, pages 223-245, Springer.
- Erik Ekström & Carl Lindberg & Johan Tysk, 2011. "Optimal Liquidation of a Pairs Trade," Springer Books, in: Giulia Di Nunno & Bernt Øksendal (ed.), Advanced Mathematical Methods for Finance, chapter 0, pages 247-255, Springer.
- Marco Papi & Maya Briani, 2011. "A PDE-Based Approach for Pricing Mortgage-Backed Securities," Springer Books, in: Giulia Di Nunno & Bernt Øksendal (ed.), Advanced Mathematical Methods for Finance, chapter 0, pages 257-291, Springer.
- Bert van Es & Peter Spreij & Harry van Zanten, 2011. "Nonparametric Methods for Volatility Density Estimation," Springer Books, in: Giulia Di Nunno & Bernt Øksendal (ed.), Advanced Mathematical Methods for Finance, chapter 0, pages 293-312, Springer.
- Stefan Geiss & Emmanuel Gobet, 2011. "Fractional Smoothness and Applications in Finance," Springer Books, in: Giulia Di Nunno & Bernt Øksendal (ed.), Advanced Mathematical Methods for Finance, chapter 0, pages 313-331, Springer.
- Selim Gökay & Alexandre F. Roch & H. Mete Soner, 2011. "Liquidity Models in Continuous and Discrete Time," Springer Books, in: Giulia Di Nunno & Bernt Øksendal (ed.), Advanced Mathematical Methods for Finance, chapter 0, pages 333-365, Springer.
- Ying Hu & Martin Schweizer, 2011. "Some New BSDE Results for an Infinite-Horizon Stochastic Control Problem," Springer Books, in: Giulia Di Nunno & Bernt Øksendal (ed.), Advanced Mathematical Methods for Finance, chapter 0, pages 367-395, Springer.
- B. Iftimie & M. Marinescu & C. Vârsan, 2011. "Functionals Associated with Gradient Stochastic Flows and Nonlinear SPDEs," Springer Books, in: Giulia Di Nunno & Bernt Øksendal (ed.), Advanced Mathematical Methods for Finance, chapter 0, pages 397-415, Springer.
- Jacek Jakubowski & Mariusz Niewęgłowski, 2011. "Pricing and Hedging of Rating-Sensitive Claims Modeled by $\mathbb{F}$ -doubly Stochastic Markov Chains," Springer Books, in: Giulia Di Nunno & Bernt Øksendal (ed.), Advanced Mathematical Methods for Finance, chapter 0, pages 417-453, Springer.
- Aleksandar Mijatović & Martijn Pistorius, 2011. "Exotic Derivatives under Stochastic Volatility Models with Jumps," Springer Books, in: Giulia Di Nunno & Bernt Øksendal (ed.), Advanced Mathematical Methods for Finance, chapter 0, pages 455-508, Springer.
- Lukasz Stettner, 2011. "Asymptotics of HARA Utility from Terminal Wealth under Proportional Transaction Costs with Decision Lag or Execution Delay and Obligatory Diversification," Springer Books, in: Giulia Di Nunno & Bernt Øksendal (ed.), Advanced Mathematical Methods for Finance, chapter 0, pages 509-536, Springer.
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