Skip to main content
SpringerLink
Log in
Book cover

Contemporary Quantitative Finance

Essays in Honour of Eckhard Platen

  • Book
  • © 2010

Overview

Editors:
  1. Carl Chiarella

    1. School of Finance and Economics Department of Mathematical Sciences, The University of Technology, Sydney, Australia

    View editor publications

    You can also search for this editor in PubMed   Google Scholar

  2. Alexander Novikov

    1. School of Finance and Economics Department of Mathematical Sciences, The University of Technology, Sydney, Australia

    View editor publications

    You can also search for this editor in PubMed   Google Scholar

  • outlines contemporary advances in a number of key areas of mathematical finance

  • authors are major contributors to these various areas

  • dedicated to Professor Eckhard Platen to celebrate his 60th birthday, that occurred in 2009

  • Includes supplementary material: sn.pub/extras

This is a preview of subscription content, log in via an institution to check access.

Access this book

Log in via an institution
eBook USD 39.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 54.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book USD 54.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

Licence this eBook for your library

Institutional subscriptions

Table of contents (20 chapters)

  1. Front Matter

    Pages I-X
    Download chapter PDF

  2. Probabilistic Aspects of Arbitrage

    • Daniel Fernholz, Ioannis Karatzas
    Pages 1-17

  3. Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing

    • Constantinos Kardaras
    Pages 19-34

  4. M6—On Minimal Market Models and Minimal Martingale Measures

    • Hardy Hulley, Martin Schweizer
    Pages 35-51

  5. The Economic Plausibility of Strict Local Martingales in Financial Modelling

    • Hardy Hulley
    Pages 53-75

  6. A Remarkable σ-finite Measure Associated with Last Passage Times and Penalisation Problems

    • Joseph Najnudel, Ashkan Nikeghbali
    Pages 77-97

  7. Pricing Without Equivalent Martingale Measures Under Complete and Incomplete Observation

    • Giorgia Galesso, Wolfgang J. Runggaldier
    Pages 99-121

  8. Existence and Non-uniqueness of Solutions for BSDE

    • Xiaobo Bao, Freddy Delbaen, Ying Hu
    Pages 123-134

  9. Comparison Theorems for Finite State Backward Stochastic Differential Equations

    • Samuel N. Cohen, Robert J. Elliott
    Pages 135-158

  10. Results on Numerics for FBSDE with Drivers of Quadratic Growth

    • Peter Imkeller, Gonçalo Dos Reis, Jianing Zhang
    Pages 159-182

  11. Variance Swap Portfolio Theory

    • Dilip B. Madan
    Pages 183-194

  12. Stochastic Partial Differential Equations and Portfolio Choice

    • Marek Musiela, Thaleia Zariphopoulou
    Pages 195-216

  13. Issuers’ Commitments Would Add More Value than Any Rating Scheme Could Ever Do

    • Carlos Veiga, Uwe Wystup
    Pages 217-229

  14. Pricing and Hedging of CDOs: A Top Down Approach

    • Damir Filipović, Thorsten Schmidt
    Pages 231-253

  15. Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives

    • Pavel V. Gapeev, Monique Jeanblanc, Libo Li, Marek Rutkowski
    Pages 255-280

  16. Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms

    • Carl Chiarella, Andrew Ziogas, Jonathan Ziveyi
    Pages 281-315

  17. Buy Low and Sell High

    • Min Dai, Hanqing Jin, Yifei Zhong, Xun Yu Zhou
    Pages 317-333

  18. Continuity Theorems in Boundary Crossing Problems for Diffusion Processes

    • Konstantin A. Borovkov, Andrew N. Downes, Alexander A. Novikov
    Pages 335-351

  19. Binomial Models for Interest Rates

    • John van der Hoek
    Pages 353-368

  20. Lognormal Forward Market Model (LFM) Volatility Function Approximation

    • In-Hwan Chung, Tim Dun, Erik Schlögl
    Pages 369-405
Back to top

Keywords

About this book

This volume contains a collection of papers dedicated to Professor Eckhard Platen to celebrate his 60th birthday, which occurred in 2009. The contributions have been written by a number of his colleagues and co-authors. All papers have been - viewed and presented as keynote talks at the international conference “Quantitative Methods in Finance” (QMF) in Sydney in December 2009. The QMF Conference Series was initiated by Eckhard Platen in 1993 when he was at the Australian - tional University (ANU) in Canberra. Since joining UTS in 1997 the conference came to be organised on a much larger scale and has grown to become a signi?cant international event in quantitative ?nance. Professor Platen has held the Chair of Quantitative Finance at the University of Technology, Sydney (UTS) jointly in the Faculties of Business and Science since 1997. Prior to this appointment, he was the Founding Head of the Centre for Fin- cial Mathematics at the Institute of Advanced Studies at ANU, a position to which he was appointed in 1994. Eckhard completed a PhD in Mathematics at the Technical University in Dresden in 1975 and in 1985 obtained his Doctor of Science degree (Habilitation degree in the German system) from the Academy of Sciences in Berlin where he headed the Stochastics group at the Weierstrass Institute.

Editors and Affiliations

  • School of Finance and Economics Department of Mathematical Sciences, The University of Technology, Sydney, Australia

    Carl Chiarella, Alexander Novikov

About the editors

Carl Chiarella is currently Professor of Quantitative Finance at the University of Technology, Sydney. He holds doctorates in both applied mathematics and economics. He is the author of over 150 research articles in international journals and edited volumes and the author/coauthor of 5 books. Carl is a Co-Editor of the Journal of Economic Dynamics and Control and Associate Editor of Quantitative Finance, Studies in Nonlinear Dynamics and Econometrics, Computational Economics and European Journal of Finance.

Alexander Novikov is Professor of Mathematics (Chair in Probability) at the Department of Mathematical Sciences, the University of Technology, Sydney. He received the Doctor of Science degree in mathematics from Steklov Mathematical Institute, Moscow. He has edited several proceedings and published more than 80 research papers in different areas of statistics of random processes, sequential analysis, random fields and mathematical finance. Alexander has been member of the Editorial Board of Statistics and Probability Letters, Bernoulli and Methods of Mathematical Statistics.

Bibliographic Information

Publish with us

Policies and ethics

Back to top

Search

Navigation