Description 
1 online resource (xxiii, 543 pages .) 
Contents 
Forward start foreign exchange options under Heston's volatility and the CIR interest rates / Rehez Ahlip and Marek Rutkowski  Real options with competition and incomplete markets / Alain Bensoussan and SingRu (Celine) Hoe  Dynamic hedging of counterparty exposure / Tomasz R. Bielecki and Stephane Crepey  A note on market completeness with American put options / Luciano Campi  An fdivergence approach for optimal portfolios in exponential Levy models / S. Cawston and L. Vostrikova  Optimal investment with bounded VaR for power utility functions / Benamar Chouaf and Serguei Pergamenchtchikov  Three essays on exponential hedging with variable exit times / Tahir Choulli, Junfeng Ma, and MarieAmelie Morlais  Mean square error and limit theorem for the modified Leland hedging strategy with a constant transaction costs coefficient / Sebastien Darses and Emmanuel Lepinette  Conditional default probability and density / N. El Karoui, M. Jeanblanc, Y. Jiao, and B. Zargari  Yield curve smoothing and residual variance of fixed income positions / Raphael Douady  Maximally acceptable portfolios / Ernst Eberlein and Dilip B. Madan  Some extensions of Norros' Lemma in models with several defaults / Pavel V. Gapeev  On the pricing of perpetual American compound options / Pavel V. Gapeev and Neofytos Rodosthenous 

New approximations in local volatility models / E. Gobet and A. Suleiman  Lowdimensional partial integrodifferential equations for highdimensional Asian options / Peter Hepperger  A time before which insiders would not undertake risk / Constantinos Kardaras  Sensitivity with respect to the yield curve : duration in a stochastic setting / Paul C. Kettler, Frank Proske, and Mark Rubtsov  On the first passage time under regimeswitching with jumps / Masaaki Kijima and Chi Chung Siu  Strong consistency of the Bayesian estimator for the OrnsteinUhlenbeck process / Arturo KohatsuHiga, Nicolas Vayatis, and Kazuhiro Yasuda  Multiasset derivatives and joint distributions of asset prices / Ilya Molchanov and Michael Schmutz  Pricing of volumeweighted average options : analytical approximations and numerical results / Alexander A. Novikov, Timothy G. Ling, and Nino Kordzakhia  A class of homothetic forward investment performance processes with nonzero volatility / Sergey Nadtochiy and Thaleia Zariphopoulou  Solution of optimal stopping problem based on a modification of payoff function / Ernst Presman  A Stieltjes approach to static hedges / Michael Schmutz and Thomas Zurcher  Optimal stopping of seasonal observations and projection of a Markov chain / Isaac M. Sonin 

Forward start foreign exchange options under Heston's volatility and the CIR interest rates / Rehez Ahlip and Marek Rutkowski  Real options with competition and incomplete markets / Alain Bensoussan and SingRu (Celine) Hoe  Dynamic hedging of counterparty exposure / Tomasz R. Bielecki and Stephane Crepey  A note on market completeness with American put options / Luciano Campi  An fdivergence approach for optimal portfolios in exponential Levy models / S. Cawston and L. Vostrikova  Optimal investment with bounded VaR for power utility functions / Benamar Chouaf and Serguei Pergamenchtchikov  Three essays on exponential hedging with variable exit times / Tahir Choulli, Junfeng Ma, and MarieAmelie Morlais  Mean square error and limit theorem for the modified Leland hedging strategy with a constant transaction costs coefficient / Sebastien Darses and Emmanuel Lepinette  Conditional default probability and density / N. El Karoui, M. Jeanblanc, Y. Jiao, and B. Zargari  Yield curve smoothing and residual variance of fixed income positions / Raphael Douady  Maximally acceptable portfolios / Ernst Eberlein and Dilip B. Madan  Some extensions of Norros' Lemma in models with several defaults / Pavel V. Gapeev  On the pricing of perpetual American compound options / Pavel V. Gapeev and Neofytos Rodosthenous  New approximations in local volatility models / E. Gobet and A. Suleiman  Lowdimensional partial integrodifferential equations for highdimensional Asian options / Peter Hepperger  A time before which insiders would not undertake risk / Constantinos Kardaras  Sensitivity with respect to the yield curve : duration in a stochastic setting / Paul C. Kettler, Frank Proske, and Mark Rubtsov  On the first passage time under regimeswitching with jumps / Masaaki Kijima and Chi Chung Siu  Strong consistency of the Bayesian estimator for the OrnsteinUhlenbeck process / Arturo KohatsuHiga, Nicolas Vayatis, and Kazuhiro Yasuda  Multiasset derivatives and joint distributions of asset prices / Ilya Molchanov and Michael Schmutz  Pricing of volumeweighted average options : analytical approximations and numerical results / Alexander A. Novikov, Timothy G. Ling, and Nino Kordzakhia 
Summary 
The present volume is dedicated to Marek Musiela, the eminent scholar and practitioner, wellknown for his important contribution into problems of derivative pricing, theory of term structure of interest rates, theory of defaultable securities and other topics of modern mathematical finance. Under the cover the reader finds 25 research papers of 47 authors, famous or young, covering the whole range of the "hot" topics of the discipline. The contributed articles not only give a clear picture about what is going on in this fast developing field of knowledge but provide methods ready for practical implementation. They also open perspectives for further studies in risk management, portfolio optimization, and financial engineering 
Bibliography 
Includes bibliographical references 
Notes 
Print version record 
Subject 
Musiela, Marek, 1950


Finance  Mathematical models.


Economics.

Genre/Form 
Festschriften.

Form 
Electronic book

Author 
Kabanov, Yuri, editor


Rutkowski, Marek, 1952 editor


Zariphopoulou, Thaleia, 1962 editor


Musiela, Marek, 1950 honoree

ISBN 
3319020692 (electronic bk.) 

9783319020693 (electronic bk.) 
