Advanced Modelling in Mathematical Finance
In Honour of Ernst Eberlein
Editors: Kallsen, Jan, Papapan-Toleon, Antonis (Eds.)
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- About this book
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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.
- Table of contents (20 chapters)
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Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions
Pages 3-40
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Gamma Kernels and BSS/LSS Processes
Pages 41-61
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Explicit Computations for Some Markov Modulated Counting Processes
Pages 63-89
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Introducing Distances Between Commodity Markets: The Case of the US and UK Natural Gas
Pages 93-105
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Three Non-Gaussian Models of Dependence in Returns
Pages 107-130
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Table of contents (20 chapters)
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Bibliographic Information
- Bibliographic Information
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- Book Title
- Advanced Modelling in Mathematical Finance
- Book Subtitle
- In Honour of Ernst Eberlein
- Editors
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- Jan Kallsen
- Antonis Papapan-Toleon
- Series Title
- Springer Proceedings in Mathematics & Statistics
- Series Volume
- 189
- Copyright
- 2016
- Publisher
- Springer International Publishing
- Copyright Holder
- Springer International Publishing Switzerland
- eBook ISBN
- 978-3-319-45875-5
- DOI
- 10.1007/978-3-319-45875-5
- Hardcover ISBN
- 978-3-319-45873-1
- Softcover ISBN
- 978-3-319-83390-3
- Series ISSN
- 2194-1009
- Edition Number
- 1
- Number of Pages
- XXIV, 496
- Number of Illustrations
- 10 b/w illustrations, 69 illustrations in colour
- Topics
