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From Stochastic Calculus to Mathematical Finance

The Shiryaev Festschrift

Editors: Kabanov, Yu., Liptser, R., Stoyanov, J. (Eds.)

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eBook $89.00
price for USA (gross)
  • ISBN 978-3-540-30788-4
  • Digitally watermarked, DRM-free
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  • Immediate eBook download after purchase
Hardcover $119.00
price for USA
  • ISBN 978-3-540-30782-2
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  • This title is currently reprinting. You can pre-order your copy now.
Softcover $119.00
price for USA
  • ISBN 978-3-642-06803-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

Dedicated to the eminent Russian mathematician Albert Shiryaev on the occasion of his 70th birthday, the Festschrift is a collection of papers, including several surveys, written by his former students, co-authors and colleagues. These reflect the wide range of scientific interests of the teacher and his Moscow school. The topics range from the disorder problems to stochastic calculus and their applications to mathematical economics and finance. A full biobibliography of Shiryaev’s works is included.

The book represents the modern state of art of many aspects of a quickly maturing theory and will be an essential source and reading for researchers in this area. The diversity of the topics and the comprehensive style of the papers make the book amenable and attractive for PhD students and young researchers.

Table of contents (8 chapters)

  • Optimal Time to Invest under Tax Exemptions

    Vadim I. Arkin, Alexander D. Slastnikov

    Pages 17-32

  • A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales

    Ole E. Barndorff–Nielsen, Svend Erik Graversen, Jean Jacod, Mark Podolskij, Neil Shephard

    Pages 33-68

  • Some Particular Problems of Martingale Theory

    Alexander Cherny

    Pages 109-124

  • On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes

    Hans-Jürgen Engelbert, Vladimir P. Kurenok, Adrian Zalinescu

    Pages 227-248

  • Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach

    Dario Gasbarra, Esko Valkeila, Lioudmila Vostrikova

    Pages 257-285

Buy this book

eBook $89.00
price for USA (gross)
  • ISBN 978-3-540-30788-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $119.00
price for USA
  • ISBN 978-3-540-30782-2
  • Free shipping for individuals worldwide
  • This title is currently reprinting. You can pre-order your copy now.
Softcover $119.00
price for USA
  • ISBN 978-3-642-06803-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
From Stochastic Calculus to Mathematical Finance
Book Subtitle
The Shiryaev Festschrift
Editors
  • Yu. Kabanov
  • R. Liptser
  • J. Stoyanov
Copyright
2006
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-30788-4
DOI
10.1007/978-3-540-30788-4
Hardcover ISBN
978-3-540-30782-2
Softcover ISBN
978-3-642-06803-4
Edition Number
1
Number of Pages
XXXVII, 633
Topics