Format:
Online-Ressource (XXIII, 543 p. 33 illus., 14 illus. in color, online resource)
ISBN:
9783319020693
Series Statement:
SpringerLink
Content:
R. Ahlip and M. Rutkowski: Forward Start Foreign Exchange Options under Heston’s Volatility and the CIR Interest R -- A. Bensoussan and S. R. Hoe:Real Options with Competition and Incomplete Market -- T. R. Bielecki and S. Crépey: Dynamic Hedging of Counterparty Exposure -- L. Campi:A Note on Market Completeness with American Put Options -- S. Cawston and L. Vostrikova: An f -Divergence Approach for Optimal Portfolios in Exponential Lévy Models -- B. Chouaf and S. Pergamenchtchikov: Optimal Investment with Bounded VaR for Power Utility Functions -- T. Choulli, J. Ma and M.-A. Morlais:Three Essays on Exponential Hedging with Variable Exit Times -- S. Darses and E.l Lépinette: Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient -- N. El Karoui, M. Jeanblanc, Y. Jiao, B. Zargari:Conditional Default Probability and Density -- R. Douady:Yield Curve Smoothing and Residual Variance of Fixed Income Positions -- E. Eberlein and D. B. Madan: Maximally Acceptable Portfolios -- P. V. Gapeev: Some Extensions of Norros’ Lemma in Models with Several Defaults -- P. V. Gapeev and N. Rodosthenous:On the Pricing of Perpetual American Compound Options -- E. Gobet and A. Suleiman: New Approximations in Local Volatility Models -- P. Hepperger: Low-Dimensional Partial Integro-Differential Equations for High-Dimensional Asian Options -- C. Kardaras: A Time BeforeWhich Insiders Would Not Undertake Risk -- P.l C. Kettler, F. Proske, M. Rubtsov: Sensitivity with Respect to the Yield Curve:Duration in a Stochastic Setting -- M. Kijima and C. Ch. Siu:On the First Passage Time under Regime-Switching with Jumps -- A. Kohatsu-Higa, N. Vayatis, K. Yasuda: Strong Consistency of the Bayesian Estimator for the Ornstein-Uhlenbeck Process -- I. Molchanov and M. Schmutz:Multiasset Derivatives and Joint Distributions of Asset Prices -- A. A. Novikov, T. G. Ling and N. Kordzakhia: Pricing of Volume-Weighted Average Options: Analytical Approximations and Numerical Results -- S. Nadtochiy and Th. Zariphopoulou: A Class of Homothetic Forward Investment Performance Processes with Non-Zero Volatility -- E. Presman: Solution of Optimal Stopping Problem Based on a Modification of Payoff Function -- M. Schmutz and Th. Zürcher:A Stieltjes Approach to Static Hedges -- I. M. Sonin:Optimal Stopping of Seasonal Observations and Projection of a Markov Chain
Content:
The present volume is dedicated to Marek Musiela, the eminent scholar and practitioner, well-known for his important contribution into problems of derivative pricing, theory of term structure of interest rates, theory of defaultable securities and other topics of modern mathematical finance. Under the cover the reader finds 25 research papers of 47 authors, famous or young, covering the whole range of the "hot" topics of the discipline. The contributed articles not only give a clear picture about what is going on in this fast developing field of knowledge but provide methods ready for practical implementation. They also open perspectives for further studies in risk management, portfolio optimization, and financial engineering
Note:
Description based upon print version of record
,
Inspired by Finance; Introduction; Inspired by Finance; References; Contents; Forward Start Foreign Exchange Options Under Heston's Volatility and the CIR Interest Rates; 1 Introduction; 2 Foreign Exchange Model; 3 Forward Start Foreign Exchange Options; 4 Bond Pricing and Forward Exchange Rate; 5 Auxiliary Probability Measures; 5.1 Bond Price Numéraire; 5.2 Savings Account Numéraire; 6 Preliminary Results; 7 Valuation of Forward Start Foreign Exchange Options; 7.1 Options Pricing Formula in the Bond Numéraire; 7.2 Options Pricing Formula in the Savings Account Numéraire
,
8 Put-Call Parity for Forward Start Foreign Exchange OptionsReferences; Real Options with Competition and Incomplete Markets; 1 Investment Game Problems and General Model Assumptions; 2 Follower's Problem and Solution; 2.1 Postinvestment Utility Maximization; 2.2 Preinvestment Utility Maximization; 2.3 Follower's Optimal Stopping Rule; 3 Leader's Problem and Solution; 3.1 Postinvestment Utility Maximization; 3.1.1 The Leader's Pre-investment Utility Maximization; 3.2 Leader's Optimal Stopping Rule; 4 Conclusion; References; Dynamic Hedging of Counterparty Exposure; 1 Introduction
,
1.1 General Set-up2 Cashflows; 2.1 Re-hypothecation Risk and Segregation; 2.2 Cure Period; 3 Pricing; 3.1 CVA; 3.1.1 CVA Dynamics; 3.2 Collateral Modeling; 4 Common Shock Model of Counterparty Credit Risk; 4.1 Unilateral Counterparty Credit Risk; 4.2 Model of Default Times; 4.2.1 Markov Copula Properties; 4.3 Credit Derivatives Prices and Price Dynamics in the Common Shocks Model; 5 Hedging Counterparty Credit Risk in the Common Shocks Model; 5.1 Min-Variance Hedging by a Rolling CDS on the Counterparty; 5.1.1 Case of One CDS; 5.2 Multi-instruments Hedge; References
,
A Note on Market Completeness with American Put Options1 Introduction; 2 The Model; 3 Hedging with American Put Options; 4 A Counterexample to Hedging with European Call Options; References; An f-Divergence Approach for Optimal Portfolios in Exponential Lévy Models; 1 Introduction; 2 Utility Maximization in Exponential Lévy Models; 3 A Decomposition for Lévy Preserving Equivalent Martingale Measures; 4 Utility Maximizing Strategies; References; Optimal Investment with Bounded VaR for Power Utility Functions; 1 Introduction; 2 The Model; 3 Optimization Problems; 3.1 The Unconstrained Problem
,
3.2 The Constrained Problem4 Proofs; 4.1 Proof of Theorem 3; 4.2 Proof of Theorem 4; Appendix: Properties of the Function (35); References; Three Essays on Exponential Hedging with Variable Exit Times; 1 Introduction; 2 Mathematical Model and Preliminaries; 3 Complete Parameterization of Exponential Forward Performances; 4 Horizon-Unbiased Exponential Hedging; 5 Optimal Portfolio and Investment Timing for Semimartingales; Appendix 1: Some Auxiliary Lemmas; Appendix 2: MEH sigma-Martingale Density Under Change of Probability; References
,
Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient
Additional Edition:
ISBN 9783319020686
Additional Edition:
Erscheint auch als Druck-Ausgabe Inspired by finance Cham : Springer, 2014 ISBN 9783319020686
Language:
English
Subjects:
Mathematics
DOI:
10.1007/978-3-319-02069-3
