Stochastic Finance
Published on 29. October 2010
Book
Paperback/Softback
XIV, 364 pages
978-1-4419-3932-6 (ISBN)
Description
Since the pioneering work of Black, Scholes, and Merton in the field of financial mathematics, research has led to the rapid development of a substantial body of knowledge, with plenty of applications to the common functioning of the world's financial institutions.
Mathematics, as the language of science, has always played a role in the development of knowledge and technology. Presently, the high-tech character of modern business has increased the need for advanced methods, which rely to a large extent on mathematical techniques. It has become essential for the financial analyst to possess a high degree of proficiency in these mathematical techniques.
More details
Edition
1st ed. Softcover of orig. ed. 2006
Language
English
Place of publication
New York
United States
Target group
Professional and scholarly
This book is intended for experts in mathematics, statistics, mathematical finances, and economics.
Illustrations
XIV, 364 p.
Dimensions
Height: 235 mm
Width: 155 mm
Thickness: 21 mm
Weight
575 gr
ISBN-13
978-1-4419-3932-6 (9781441939326)
DOI
10.1007/0-387-28359-5
Schweitzer Classification
Other editions
Additional editions
Albert N. Shiryaev | Maria do Rosário Grossinho | Paulo E. Oliveira
Stochastic Finance
Book
10/2005
Springer
€106.99
Shipment within 5-7 days
Content
Plenary and Invited Lectures.- How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise.- Multipower Variation and Stochastic Volatility.- Completeness of a General Semimartingale Market under Constrained Trading.- Extremal behavior of stochastic volatility models.- Capital Asset Pricing for Markets with Intensity Based Jumps.- Mortgage Valuation and Optimal Refinancing.- Computing efficient hedging strategies in discontinuous market models.- A Downside Risk Analysis based on Financial Index Tracking Models.- Contributed Talks.- Modelling electricity prices by the potential jump-diffusion.- Finite dimensional Markovian realizations for forward price term structure models.- Good Portfolio Strategies under Transaction Costs: A Renewal Theoretic Approach.- Power and Multipower Variation: inference for high frequency data.