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Title: Advanced Mathematical Methods for Finance edited by Giulia Di Nunno, Bernt Øksendal.
Main Entry: Di Nunno, Giulia.
Øksendal, Bernt.
SpringerLink (Online service)
Publisher: Springer Berlin Heidelberg,
Publication Date: 2011.
Publication Place: Berlin, Heidelberg :
ISBN: 9783642184123
Subject: Mathematics.
Finance.
Distribution (Probability theory).
Economics -- Statistics.
Macroeconomics.
Mathematics.
Quantitative Finance.
Probability Theory and Stochastic Processes.
Macroeconomics/Monetary Economics.
Financial economics.
Socio- and Econophysics, Population and Evolutionary Models.
Statistics for Business/Economics/Mathematical Finance/Insurance.
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 applications in 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.

Related Records: Springer eBooks
Printed edition: 9783642184116

Cover Image:

http://images.amazon.com/images/P/9783642184123.jpg

	Agency:	Collection:	Call No.:	Item Type:	Status:	Barcode:	Media Type:
	JUST Main Library	Electronic Resources	HB135-147	No Circulation	Available Online	-580466	Book