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Inspired by Finance

The Musiela Festschrift

  • Book
  • © 2014

Overview

Editors:
  1. Yuri Kabanov

    1. Labo. Mathématiques U.F.R. des Sciences et Technologie, Université de Franche-Comté, Besancon, France

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  2. Marek Rutkowski

    1. School of Mathematics & Statistics, University of Sydney, Sydney, Australia

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  3. Thaleia Zariphopoulou

    1. Depts. of Mathematics and IROM, McCombs School of Business, The University of Texas at Austin, Austin, USA

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  • Written by experts

  • Provides methods ready for practical implementation

  • Opens perspectives for further studies in risk management

  • Includes supplementary material: sn.pub/extras

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Table of contents (25 chapters)

  1. Front Matter

    Pages I-XXIII
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  2. Forward Start Foreign Exchange Options Under Heston’s Volatility and the CIR Interest Rates

    • Rehez Ahlip, Marek Rutkowski
    Pages 1-27

  3. Real Options with Competition and Incomplete Markets

    • Alain Bensoussan, SingRu (Celine) Hoe
    Pages 29-45

  4. Dynamic Hedging of Counterparty Exposure

    • Tomasz R. Bielecki, Stéphane Crépey
    Pages 47-71

  5. A Note on Market Completeness with American Put Options

    • Luciano Campi
    Pages 73-82

  6. An f-Divergence Approach for Optimal Portfolios in Exponential Lévy Models

    • S. Cawston, L. Vostrikova
    Pages 83-101

  7. Optimal Investment with Bounded VaR for Power Utility Functions

    • Bénamar Chouaf, Serguei Pergamenchtchikov
    Pages 103-116

  8. Three Essays on Exponential Hedging with Variable Exit Times

    • Tahir Choulli, Junfeng Ma, Marie-Amélie Morlais
    Pages 117-158

  9. Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient

    • Sébastien Darses, Emmanuel Lépinette
    Pages 159-199

  10. Conditional Default Probability and Density

    • N. El Karoui, M. Jeanblanc, Y. Jiao, B. Zargari
    Pages 201-219

  11. Yield Curve Smoothing and Residual Variance of Fixed Income Positions

    • Raphaël Douady
    Pages 221-256

  12. Maximally Acceptable Portfolios

    • Ernst Eberlein, Dilip B. Madan
    Pages 257-272

  13. Some Extensions of Norros’ Lemma in Models with Several Defaults

    • Pavel V. Gapeev
    Pages 273-281

  14. On the Pricing of Perpetual American Compound Options

    • Pavel V. Gapeev, Neofytos Rodosthenous
    Pages 283-304

  15. New Approximations in Local Volatility Models

    • E. Gobet, A. Suleiman
    Pages 305-330

  16. Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options

    • Peter Hepperger
    Pages 331-348

  17. A Time Before Which Insiders Would not Undertake Risk

    • Constantinos Kardaras
    Pages 349-362

  18. Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting

    • Paul C. Kettler, Frank Proske, Mark Rubtsov
    Pages 363-385

  19. On the First Passage Time Under Regime-Switching with Jumps

    • Masaaki Kijima, Chi Chung Siu
    Pages 387-410

  20. Strong Consistency of the Bayesian Estimator for the Ornstein–Uhlenbeck Process

    • Arturo Kohatsu-Higa, Nicolas Vayatis, Kazuhiro Yasuda
    Pages 411-437
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Keywords

About this book

The present volume is dedicated to Marek Musiela, an eminent scholar and practitioner who is perhaps best-known for his important contributions to problems of derivative pricing, theory of term structure of interest rates, theory of defaultable securities and other topics in modern mathematical finance. It includes 25 research papers by 47 authors, established experts and newcomers alike, that cover the whole range of the "hot" topics in the discipline. The contributed articles not only give a clear picture about what is going on in this rapidly developing field of knowledge but provide methods ready for practical implementation. They also open new prospects for further studies in risk management, portfolio optimization and financial engineering.

Editors and Affiliations

  • Labo. Mathématiques U.F.R. des Sciences et Technologie, Université de Franche-Comté, Besancon, France

    Yuri Kabanov

  • School of Mathematics & Statistics, University of Sydney, Sydney, Australia

    Marek Rutkowski

  • Depts. of Mathematics and IROM, McCombs School of Business, The University of Texas at Austin, Austin, USA

    Thaleia Zariphopoulou

Bibliographic Information

  • Book Title: Inspired by Finance

  • Book Subtitle: The Musiela Festschrift

  • Editors: Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou

  • DOI: https://doi.org/10.1007/978-3-319-02069-3

  • Publisher: Springer Cham

  • eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)

  • Copyright Information: Springer International Publishing Switzerland 2014

  • Hardcover ISBN: 978-3-319-02068-6Published: 06 November 2013

  • Softcover ISBN: 978-3-319-35029-5Published: 23 August 2016

  • eBook ISBN: 978-3-319-02069-3Published: 23 October 2013

  • Edition Number: 1

  • Number of Pages: XXIII, 543

  • Number of Illustrations: 19 b/w illustrations, 14 illustrations in colour

  • Topics: Quantitative Finance

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