Contemporary Quantitative Finance

Essays in Honour of Eckhard Platen

Editors: Chiarella, Carl, Novikov, Alexander (Eds.)

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  • -outlines contemporary advances in a number of key areas of mathematical finance
  • -authors are major contributors to these various areas
  • -dedicated to Professor Eckhard Platen to celebrate his 60th birthday, that occurred in 2009
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About this book

The contributors to this volume write a series of articles outlining contemporary advances in a number of key areas of mathematical finance such as, optimal control theory applied to finance, interest rate models, credit risk and credit derivatives, use of alternative stochastic processes, numerical solution of equations of mathematical finance, estimation of stochastic processes in finance. The list of authors includes many of the researchers who have made the major contributions to these various areas of mathematical finance.

This volume addresses both researchers and professionals in financial institutions, as well as regulators working in the above mentioned fields.

About the authors

Carl Chiarella is currently Professor of Quantitative Finance at the University of Technology, Sydney. He holds doctorates in both applied mathematics and economics. He is the author of over 150 research articles in international journals and edited volumes and the author/coauthor of 5 books. Carl is a Co-Editor of the Journal of Economic Dynamics and Control and Associate Editor of Quantitative Finance, Studies in Nonlinear Dynamics and Econometrics, Computational Economics and European Journal of Finance.

Alexander Novikov is Professor of Mathematics (Chair in Probability) at the Department of Mathematical Sciences, the University of Technology, Sydney. He received the Doctor of Science degree in mathematics from Steklov Mathematical Institute, Moscow. He has edited several proceedings and published more than 80 research papers in different areas of statistics of random processes, sequential analysis, random fields and mathematical finance. Alexander has been member of the Editorial Board of Statistics and Probability Letters, Bernoulli and Methods of Mathematical Statistics.

Table of contents (20 chapters)

Table of contents (20 chapters)
  • Probabilistic Aspects of Arbitrage

    Fernholz, Daniel (et al.)

    Pages 1-17

  • Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing

    Kardaras, Constantinos

    Pages 19-34

  • M6—On Minimal Market Models and Minimal Martingale Measures

    Hulley, Hardy (et al.)

    Pages 35-51

  • The Economic Plausibility of Strict Local Martingales in Financial Modelling

    Hulley, Hardy

    Pages 53-75

  • A Remarkable σ-finite Measure Associated with Last Passage Times and Penalisation Problems

    Najnudel, Joseph (et al.)

    Pages 77-97

Buy this book

eBook $84.99
price for USA in USD (gross)
  • ISBN 978-3-642-03479-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $109.99
price for USA in USD
  • ISBN 978-3-642-03478-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $109.99
price for USA in USD
  • ISBN 978-3-642-43858-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Contemporary Quantitative Finance
Book Subtitle
Essays in Honour of Eckhard Platen
Editors
  • Carl Chiarella
  • Alexander Novikov
Copyright
2010
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-03479-4
DOI
10.1007/978-3-642-03479-4
Hardcover ISBN
978-3-642-03478-7
Softcover ISBN
978-3-642-43858-5
Edition Number
1
Number of Pages
X, 423
Topics