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· 분류 : 외국도서 > 경제경영 > 금융/재정 > 일반
· ISBN : 9783642184116
· 쪽수 : 536쪽
목차
Dynamic risk measures.- Ambit processes and stochastic partial differential equations.- Fractional processes as models in stochastic finance.- Credit contagion in a long range dependent macroeconomic factor model.- Modeling information flows in financial markets.- Comonotonicity applied in finance.- A general maximum principle for anticipative stochastic control and applications to insider trading.- Analyticity of the Wiener-Hopf factors and valuation of exotic options in Levy models.- Optimal liquidation of a pairs trade.- A PDE-based approach or pricing mortgage-backed securities.- Nonparametric methods for pricing mortgage-backed securities.- Fractional smoothness and applications in finance.- Liquidity models in continuous and discrete times.- Some new BSDE results for an infinite-horizon stochastic control problem.- Functionals associated with gradient stochastic flows and nonlinear SPDEs.- Fractional smoothness and applications in Finance modeled by F-doubly stochastic Markov chains.- Exotic derivatives in dense class of stochastic volatility models with jumps.- Asymptotics of HARA utility from terminal wealth under proportional transaction costs with decision lag or execution delay and obligatory diversification.