Description 
1 online resource (viii, 536 pages) 
Contents 
Dynamic risk measures  Ambit processes and stochastic partial differential equations  Fractional processes as models in stochastic finance  Credit contagion in a long range dependent macroeconomic factor model  Modeling information flows in financial markets  An overview of comonotonicity and its applicationsin finance and insurance  A general maximum principle for anticipative stochastic control and applications to insider trading  Analyticity of the WienerHopf factors and valuation of exotic options in Levy models  Optimal liquidation of a pairs trade  A PDEbased approach or pricing mortgagebacked securities  Nonparametric methods for volatility density estimation  Fractional smoothness and applications in finance  Liquidity models in continuous and discrete times  Some new BSDE results for an infinitehorizon stochastic control problem  Functionals associated with gradient stochastic flows and nonlinear SPDEs  Fractional smoothness and applications in Finance modeled by Fdoubly stochastic Markov chains  Exotic derivatives under stochastic volatility models with jumps  Asymptotics of HARA utility from terminal wealth under proportional transaction costs with decision lag or execution delay and obligatory diversification 
Summary 
"The title of this volume 'Advanced Mathematical Methods for Finance, ' AMaMeF for short, originates from the European network of the European Science Foundation with the same name that started its activity in 2005. The goals of its program have been the development and the use of advanced mathematical tools for finance, from theory to practice. This book was born in the same spirit of the program. It presents innovations in the mathematical methods in various research areas representing the broad spectrum of AMaMeF itself. It covers the mathematical foundations of financial analysis, numerical methods, and the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blending of topics gives a large view of the uptodate frontiers of the mathematics for finance. This volume represents the joint work of European experts in the various fields and linked to the program AMaMeF."Preface 
Analysis 
wiskunde 

mathematics 

finance 

stochastische processen 

stochastic processes 

macroeconomics 

economie 

economics 

waarschijnlijkheidstheorie 

probability theory 

toegepaste statistiek 

applied statistics 

modellen 

models 

Mathematics (General) 

Wiskunde (algemeen) 
Bibliography 
Includes bibliographical references 
Notes 
Print version record 
Subject 
Business mathematics.


Finance  Mathematical models.


BUSINESS & ECONOMICS  Finance.


Business mathematics.


Finance  Mathematical models.


Finanzmathematik


Finanzanalyse


Risikoanalyse


Stochastisches Modell


Controleleer.


Statistische methoden.


Wiskundige methoden.


Financiering.


Financieel management.


Stochastische processen.


Risicobeheersing.


Econometrie.


Finanzmathematik.


Kapitaltheorie.

Form 
Electronic book

Author 
Di Nunno, Giulia


Øksendal, B. K. (Bernt Karsten), 1945

ISBN 
9783642184123 

364218412X 

9783642435515 

3642435513 

9783642184130 

3642184138 
