| 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 Wiener-Hopf factors and valuation of exotic options in Levy models -- Optimal liquidation of a pairs trade -- A PDE-based approach or pricing mortgage-backed 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 infinite-horizon stochastic control problem -- Functionals associated with gradient stochastic flows and nonlinear SPDEs -- Fractional smoothness and applications in Finance modeled by F-doubly 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 up-to-date 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 |
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mathematics |
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finance |
|
stochastische processen |
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stochastic processes |
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macroeconomics |
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economie |
|
economics |
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waarschijnlijkheidstheorie |
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probability theory |
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toegepaste statistiek |
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applied statistics |
|
modellen |
|
models |
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Mathematics (General) |
|
Wiskunde (algemeen) |
| Bibliography |
Includes bibliographical references |
| Notes |
Print version record |
| Subject |
Business mathematics.
|
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Finance -- Mathematical models.
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BUSINESS & ECONOMICS -- Finance.
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Business mathematics
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Finance -- Mathematical models
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Finanzmathematik
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Finanzanalyse
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Risikoanalyse
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Stochastisches Modell
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Controleleer.
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Statistische methoden.
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Wiskundige methoden.
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Financiering.
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Financieel management.
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Stochastische processen.
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Risicobeheersing.
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Econometrie.
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Finanzmathematik.
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Kapitaltheorie.
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| Form |
Electronic book
|
| Author |
Di Nunno, Giulia
|
|
Øksendal, B. K. (Bernt Karsten), 1945-
|
| ISBN |
9783642184123 |
|
364218412X |
|
9783642435515 |
|
3642435513 |
|
9783642184130 |
|
3642184138 |
|
