Stochastic Finance

Since the pioneering work of Black, Scholes, and Merton in the field of financial mathematics, research has led to the rapid development of a substantial body of knowledge, with plenty of 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.

List of contents

Plenary and Invited Lectures.- How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise.- Multipower Variation and Stochastic Volatility.- Completeness of a General Semimartingale Market under Constrained Trading.- Extremal behavior of stochastic volatility models.- Capital Asset Pricing for Markets with Intensity Based Jumps.- Mortgage Valuation and Optimal Refinancing.- Computing efficient hedging strategies in discontinuous market models.- A Downside Risk Analysis based on Financial Index Tracking Models.- Contributed Talks.- Modelling electricity prices by the potential jump-diffusion.- Finite dimensional Markovian realizations for forward price term structure models.- Good Portfolio Strategies under Transaction Costs: A Renewal Theoretic Approach.- Power and Multipower Variation: inference for high frequency data.

Summary

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

Product details

• Assisted by: Mari do Rosário Grossinho (Editor), Maria Do Rosário Grossinho (Editor), Paul E Oliveira et al (Editor), Manuel L. Esquivel (Editor), Manuel L. Esquível (Editor), Manuel Leote Esquível (Editor), Maria do Rosario Grossinho (Editor), Maria do Rosário Grossinho (Editor), Paulo E. Oliveira (Editor), Albert N. Shiryaev (Editor)
• Publisher: Springer, Berlin
• Languages: English
• Product format: Hardback
• Released: 13.01.2006
• EAN: 9780387282626
• ISBN: 978-0-387-28262-6
• No. of pages: 364
• Dimensions: 156 mm x 24 mm x 235 mm
• Weight: 752 g
• Illustrations: XIV, 364 p.
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics; Social sciences, law, business > Business > Business administration; Stochastik, C, Mathematics and Statistics, Probability Theory and Stochastic Processes, Probabilities, Stochastics, Probability Theory, stochastic volatility, Semimartingale