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Advances in Finance and Stochastics

Essays in Honour of Dieter Sondermann

  • Book
  • © 2002

Overview

Editors:
  1. Klaus Sandmann

    1. Lehrstuhl für Bankbetriebslehre, Johannes Gutenberg-Universität Mainz, Mainz, Germany

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  2. Philipp J. Schönbucher

    1. Inst. f. Gesellschafts- u. Wirtschaftswissenschaften Statistische Abteilung, Rheinische Friedrich-Wilhelms-Universität Bonn, Bonn, Germany

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Table of contents (16 chapters)

  1. Front Matter

    Pages I-XIX
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  2. Coherent Risk Measures on General Probability Spaces

    • Freddy Delbaen
    Pages 1-37

  3. Robust Preferences and Convex Measures of Risk

    • Hans Föllmer, Alexander Schied
    Pages 39-56

  4. Long Head-Runs and Long Match Patterns

    • Paul Embrechts, Sergei Y. Novak
    Pages 57-69

  5. Factor Pricing in Multidate Security Markets

    • Jan Werner
    Pages 71-84

  6. Option Pricing for Co-Integrated Assets

    • Jin-Chuan Duan, Stanley R. Pliska
    Pages 85-99

  7. Incomplete Diversification and Asset Pricing

    • Dilip B. Madan, Frank Milne, Robert J. Elliott
    Pages 101-124

  8. Hedging of Contingent Claims under Transaction Costs

    • Yuri M. Kabanov, Christophe Stricker
    Pages 125-136

  9. Risk Management for Derivatives in Illiquid Markets: A Simulation Study

    • Rüdiger Frey, Pierre Patie
    Pages 137-159

  10. A Simple Model of Liquidity Effects

    • L.-C.-G. Rogers, Omar Zane
    Pages 161-176

  11. Estimation in Models of the Instantaneous Short Term Interest Rate by Use of a Dynamic Bayesian Algorithm

    • Ramaprasad Bhar, Carl Chiarella, Wolfgang J. Runggaldier
    Pages 177-195

  12. Arbitrage-Free Interpolation in Models of Market Observable Interest Rates

    • Erik Schlögl
    Pages 197-218

  13. The Fair Premium of an Equity—Linked Life and Pension Insurance

    • J. Aase Nielsen, Klaus Sandmanne
    Pages 219-255

  14. On Bermudan Options

    • Martin Schweizer
    Pages 257-270

  15. A Barrier Version of the Russian Option

    • Larry A. Shepp, Albert N. Shiryaev, Agnes Sulem
    Pages 271-284

  16. Laplace Transforms and Suprema of Stochastic Processes

    • Klaus Schürger
    Pages 285-294

  17. Solving the Poisson Disorder Problem

    • Goran Peskir, Albert N. Shiryaev
    Pages 295-312
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Keywords

About this book

In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. Advances in Finance and Stochastics contains a collection of original articles by a number of highly distinguished authors on research topics that are currently in the focus of interest of both academics and practitioners. The topics span risk management, portfolio theory and multi-asset derivatives, market imperfections, interest-rate modelling and exotic options.

Reviews

From the reviews:

"This book marks the 65th birthday of Dieter Sondermann, the founding editor of the journal Finance and Stochastics. … There is a great variety of papers contained in this book and all at a high level. Certainly there is something for everyone interested in financial mathematics here, ranging from theoretical through to applied works and covering most of the branches in the field. … This is an excellent collection which I will enjoy making use of in the years to come." (Andrew Cairns, ASTIN Bulletin, Vol. 32 (2), 2002)

Editors and Affiliations

  • Lehrstuhl für Bankbetriebslehre, Johannes Gutenberg-Universität Mainz, Mainz, Germany

    Klaus Sandmann

  • Inst. f. Gesellschafts- u. Wirtschaftswissenschaften Statistische Abteilung, Rheinische Friedrich-Wilhelms-Universität Bonn, Bonn, Germany

    Philipp J. Schönbucher

Bibliographic Information

  • Book Title: Advances in Finance and Stochastics

  • Book Subtitle: Essays in Honour of Dieter Sondermann

  • Editors: Klaus Sandmann, Philipp J. Schönbucher

  • DOI: https://doi.org/10.1007/978-3-662-04790-3

  • Publisher: Springer Berlin, Heidelberg

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag Berlin Heidelberg 2002

  • Hardcover ISBN: 978-3-540-43464-1Published: 23 April 2002

  • Softcover ISBN: 978-3-642-07792-0Published: 04 December 2010

  • eBook ISBN: 978-3-662-04790-3Published: 18 April 2013

  • Edition Number: 1

  • Number of Pages: XX, 312

  • Topics: Public Economics, Probability Theory and Stochastic Processes, Quantitative Finance

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