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Springer Proceedings in Mathematics & Statistics

Advanced Modelling in Mathematical Finance

In Honour of Ernst Eberlein

Editors: Kallsen, Jan, Papapantoleon, Antonis (Eds.)

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eBook $109.00
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  • ISBN 978-3-319-45875-5
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Hardcover $139.00
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About this book

This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students.

Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.

Table of contents (20 chapters)

  • Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions

    Hammerstein, Ernst August v.

    Pages 3-40

  • Gamma Kernels and BSS/LSS Processes

    Barndorff-Nielsen, Ole E.

    Pages 41-61

  • Explicit Computations for Some Markov Modulated Counting Processes

    Mandjes, Michel (et al.)

    Pages 63-89

  • Introducing Distances Between Commodity Markets: The Case of the US and UK Natural Gas

    Geman, Hélyette (et al.)

    Pages 93-105

  • Three Non-Gaussian Models of Dependence in Returns

    Madan, Dilip B.

    Pages 107-130

Buy this book

eBook $109.00
price for Brazil (gross)
  • ISBN 978-3-319-45875-5
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $139.00
price for Brazil
  • ISBN 978-3-319-45873-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Advanced Modelling in Mathematical Finance
Book Subtitle
In Honour of Ernst Eberlein
Editors
  • Jan Kallsen
  • Antonis Papapantoleon
Series Title
Springer Proceedings in Mathematics & Statistics
Series Volume
189
Copyright
2016
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing Switzerland
eBook ISBN
978-3-319-45875-5
DOI
10.1007/978-3-319-45875-5
Hardcover ISBN
978-3-319-45873-1
Series ISSN
2194-1009
Edition Number
1
Number of Pages
XXIV, 496
Number of Illustrations and Tables
10 b/w illustrations, 69 illustrations in colour
Topics