Stochastic Finance

Editors: Shiryaev, A.N., Grossinho, M.d.R., Oliveira, P.E., Esquível, M.L. (Eds.)

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About this book

Ever since Black, Scholes, and Merton did their pioneering work in the field of financial mathematics, continuing research has led to the rapid development of a substantial body of knowledge, with numerous applications to the common functioning of the world’s financial institutions.

Mathematics, as the language of science, has always played a role in the development of knowledge and technology. Presently, the high-tech character of modern business has increased the need for advanced methods, which rely to a large extent on mathematical techniques. It has become essential for the financial analyst to possess a high degree of proficiency in these mathematical techniques. The essays in Stochastic Finance describe many of these techniques.

Audience

This book is intended for experts in mathematics, statistics, mathematical finances, and economics.

Table of contents (12 chapters)

Table of contents (12 chapters)
  • How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

    Pages 3-72

    Aït-Sahalia, Yacine (et al.)

  • Multipower Variation and Stochastic Volatility

    Pages 73-82

    Barndorff-Nielsen, Ole E. (et al.)

  • Completeness of a General Semimartingale Market under Constrained Trading

    Pages 83-106

    Bielecki, Tomasz R. (et al.)

  • Extremal behavior of stochastic volatility models

    Pages 107-155

    Fasen, Vicky (et al.)

  • Capital Asset Pricing for Markets with Intensity Based Jumps

    Pages 157-182

    Platen, Eckhard

Buy this book

eBook 117,69 €
price for Spain (gross)
  • ISBN 978-0-387-28359-3
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 155,99 €
price for Spain (gross)
Softcover 150,79 €
price for Spain (gross)
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Bibliographic Information

Bibliographic Information
Book Title
Stochastic Finance
Editors
  • Albert N. Shiryaev
  • Maria do Rosário Grossinho
  • Paulo E. Oliveira
  • Manuel Leote Esquível
Copyright
2006
Publisher
Springer US
Copyright Holder
Springer-Verlag US
eBook ISBN
978-0-387-28359-3
DOI
10.1007/0-387-28359-5
Hardcover ISBN
978-0-387-28262-6
Softcover ISBN
978-1-4419-3932-6
Edition Number
1
Number of Pages
XIV, 364
Topics