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Advanced Modelling in Mathematical Finance

In Honour of Ernst Eberlein

  • Conference proceedings
  • © 2016

Overview

Editors:
  1. Jan Kallsen

    1. Department of Mathematics, Christian-Albrechts-Universität zu Kiel, Kiel, Germany

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  2. Antonis Papapantoleon

    1. Institute of Mathematics, Technische Universität Berlin, Berlin, Germany

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Part of the book series: Springer Proceedings in Mathematics & Statistics (PROMS, volume 189)

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Table of contents (20 papers)

  1. Front Matter

    Pages i-xxiv
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  2. Flexible Levy-based Models

    1. Front Matter

      Pages 1-1
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    2. Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions

      • Ernst August v. Hammerstein
      Pages 3-40

    3. Gamma Kernels and BSS/LSS Processes

      • Ole E. Barndorff-Nielsen
      Pages 41-61

    4. Explicit Computations for Some Markov Modulated Counting Processes

      • Michel Mandjes, Peter Spreij
      Pages 63-89

  3. Statistics and Risk

    1. Front Matter

      Pages 91-91
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    2. Introducing Distances Between Commodity Markets: The Case of the US and UK Natural Gas

      • Hélyette Geman, Bo Liu
      Pages 93-105

    3. Three Non-Gaussian Models of Dependence in Returns

      • Dilip B. Madan
      Pages 107-130

    4. Estimation of Correlation Between Latent Processes

      • Akitoshi Kimura, Nakahiro Yoshida
      Pages 131-146

    5. Hunting for Black Swans in the European Banking Sector Using Extreme Value Analysis

      • Jan Beirlant, Wim Schoutens, Jan De Spiegeleer, Tom Reynkens, Klaus Herrmann
      Pages 147-166

    6. Collateralized Borrowing and Default Risk

      • Eva Lütkebohmert, Yajun Xiao
      Pages 167-187

    7. Model Uncertainty in a Holistic Perspective

      • Gerhard Stahl
      Pages 189-215

  4. Derivative Pricing, Hedging, and Optimisation

    1. Front Matter

      Pages 217-217
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    2. Option Pricing in Affine Generalized Merton Models

      • Christian Bayer, John Schoenmakers
      Pages 219-239

    3. Approximate Pricing of Call Options on the Quadratic Variation in Lévy Models

      • Giso Jahncke, Jan Kallsen
      Pages 241-256

    4. Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model

      • Aleš Černý
      Pages 257-275

    5. Forward Exponential Indifference Valuation in an Incomplete Binomial Model

      • M. Musiela, E. Sokolova, T. Zariphopoulou
      Pages 277-302

    6. Almost Surely Optimal Portfolios Under Proportional Transaction Costs

      • Mark-Roman Feodoria, Jan Kallsen
      Pages 303-312

    7. On the Optimal Investment

      • José Manuel Corcuera, José Fajardo, Olivier Menouken Pamen
      Pages 313-330

    8. Construction and Hedging of Optimal Payoffs in Lévy Models

      • Ludger Rüschendorf, Viktor Wolf
      Pages 331-377
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Keywords

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.

Editors and Affiliations

  • Department of Mathematics, Christian-Albrechts-Universität zu Kiel, Kiel, Germany

    Jan Kallsen

  • Institute of Mathematics, Technische Universität Berlin, Berlin, Germany

    Antonis Papapantoleon

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

  • DOI: https://doi.org/10.1007/978-3-319-45875-5

  • Publisher: Springer Cham

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

  • Copyright Information: Springer International Publishing Switzerland 2016

  • Hardcover ISBN: 978-3-319-45873-1Published: 06 December 2016

  • Softcover ISBN: 978-3-319-83390-3Published: 29 April 2018

  • eBook ISBN: 978-3-319-45875-5Published: 01 December 2016

  • Series ISSN: 2194-1009

  • Series E-ISSN: 2194-1017

  • Edition Number: 1

  • Number of Pages: XXIV, 496

  • Number of Illustrations: 10 b/w illustrations, 69 illustrations in colour

  • Topics: Quantitative Finance, Probability Theory and Stochastic Processes

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