Advanced Mathematical Methods for Finance

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Advanced Mathematical Methods for FinanceGiulia Di Nunno (Editor), Bernt Øksendal (Editor)







Product Description
This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance.

From the Back CoverThis book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance.

About the AuthorGiulia Di Nunno and Bernt Øksendal are professors at the University of Oslo. Their work in stochastic analysis, control, and mathematical finance is internationally highly appreciated. They have been chairing the leadership of the large European ESF funded networking program AMaMeF in financial mathematics.

Product Details

• Hardcover: 350 pages
• Publisher: Springer; 1st Edition. edition (April 29, 2011)
• Language: English
• ISBN-10: 3642184111

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关键词：Mathematical mathematica Mathematic Thematic Advanced Finance Methods Mathematical Advanced

看着不错，下一个了，谢谢楼主啊！

有没有目录啊

1 Dynamic Risk Measures . . . . . . . . . . . . . . . . . . . . . . . . . 1
Beatrice Acciaio and Irina Penner
2 Ambit Processes and Stochastic Partial Differential Equations . . . . 35
Ole E. Barndorff-Nielsen, Fred Espen Benth, and Almut E.D. Veraart
3 Fractional Processes as Models in Stochastic Finance . . . . . . . . . 75
Christian Bender, Tommi Sottinen, and Esko Valkeila
4 Credit Contagion in a Long Range Dependent Macroeconomic
Factor Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105
Francesca Biagini, Serena Fuschini, and Claudia Klüppelberg
5 Modelling Information Flows in Financial Markets . . . . . . . . . . 133
Dorje C. Brody, Lane P. Hughston, and Andrea Macrina
6 An Overview of Comonotonicity and Its Applications in Finance
and Insurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 155
Griselda Deelstra, Jan Dhaene, and Michèle Vanmaele
7 A General Maximum Principle for Anticipative Stochastic Control
and Applications to Insider Trading . . . . . . . . . . . . . . . . . . 181
Giulia Di Nunno, Olivier Menoukeu Pamen, Bernt Øksendal, and
Frank Proske
8 Analyticity of the Wiener–Hopf Factors and Valuation of Exotic
Options in Lévy Models . . . . . . . . . . . . . . . . . . . . . . . . . 223
Ernst Eberlein, Kathrin Glau, and Antonis Papapantoleon
9 Optimal Liquidation of a Pairs Trade . . . . . . . . . . . . . . . . . . 247
Erik Ekström, Carl Lindberg, and Johan Tysk
10 A PDE-Based Approach for Pricing Mortgage-Backed Securities . . 257
Marco Papi and Maya Briani
vii
viii Contents
11 Nonparametric Methods for Volatility Density Estimation . . . . . . 293
Bert van Es, Peter Spreij, and Harry van Zanten
12 Fractional Smoothness and Applications in Finance . . . . . . . . . . 313
Stefan Geiss and Emmanuel Gobet
13 Liquidity Models in Continuous and Discrete Time . . . . . . . . . . 333
Selim Gökay, Alexandre F. Roch, and H. Mete Soner
14 Some New BSDE Results for an Infinite-Horizon Stochastic Control
Problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 367
Ying Hu and Martin Schweizer
15 Functionals Associated with Gradient Stochastic Flows and
Nonlinear SPDEs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 397
B. Iftimie, M. Marinescu, and C. Vârsan
16 Pricing and Hedging of Rating-Sensitive Claims Modeled
by F-doubly Stochastic Markov Chains . . . . . . . . . . . . . . . . . 417
Jacek Jakubowski and Mariusz Niew˛egłowski
17 Exotic Derivatives under Stochastic Volatility Models with Jumps . . 455
Aleksandar Mijatovi´c and Martijn Pistorius
18 Asymptotics of HARA Utility from Terminal Wealth
under Proportional Transaction Costs with Decision Lag
or Execution Delay and Obligatory Diversification . . . . . . . . . . 509
Lukasz Stettner

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挺难得书 谢谢了

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