Inspired by Finance

The Musiela Festschrift

  • Yuri Kabanov
  • Marek Rutkowski
  • Thaleia Zariphopoulou
Book

Table of contents

  1. Front Matter
    Pages I-XXIII
    PDF
  2. Forward Start Foreign Exchange Options Under Heston’s Volatility and the CIR Interest Rates
    Rehez Ahlip, Marek Rutkowski
    Pages 1-27
  3. Real Options with Competition and Incomplete Markets
    Alain Bensoussan, SingRu (Celine) Hoe
    Pages 29-45
  4. Dynamic Hedging of Counterparty Exposure
    Tomasz R. Bielecki, Stéphane Crépey
    Pages 47-71
  5. A Note on Market Completeness with American Put Options
    Luciano Campi
    Pages 73-82
  6. An f-Divergence Approach for Optimal Portfolios in Exponential Lévy Models
    S. Cawston, L. Vostrikova
    Pages 83-101
  7. Optimal Investment with Bounded VaR for Power Utility Functions
    Bénamar Chouaf, Serguei Pergamenchtchikov
    Pages 103-116
  8. Three Essays on Exponential Hedging with Variable Exit Times
    Tahir Choulli, Junfeng Ma, Marie-Amélie Morlais
    Pages 117-158
  9. Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient
    Sébastien Darses, Emmanuel Lépinette
    Pages 159-199
  10. Conditional Default Probability and Density
    N. El Karoui, M. Jeanblanc, Y. Jiao, B. Zargari
    Pages 201-219
  11. Yield Curve Smoothing and Residual Variance of Fixed Income Positions
    Raphaël Douady
    Pages 221-256
  12. Maximally Acceptable Portfolios
    Ernst Eberlein, Dilip B. Madan
    Pages 257-272
  13. Some Extensions of Norros’ Lemma in Models with Several Defaults
    Pavel V. Gapeev
    Pages 273-281
  14. On the Pricing of Perpetual American Compound Options
    Pavel V. Gapeev, Neofytos Rodosthenous
    Pages 283-304
  15. New Approximations in Local Volatility Models
    E. Gobet, A. Suleiman
    Pages 305-330
  16. Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options
    Peter Hepperger
    Pages 331-348
  17. A Time Before Which Insiders Would not Undertake Risk
    Constantinos Kardaras
    Pages 349-362
  18. Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting
    Paul C. Kettler, Frank Proske, Mark Rubtsov
    Pages 363-385
  19. On the First Passage Time Under Regime-Switching with Jumps
    Masaaki Kijima, Chi Chung Siu
    Pages 387-410
  20. Strong Consistency of the Bayesian Estimator for the Ornstein–Uhlenbeck Process
    Arturo Kohatsu-Higa, Nicolas Vayatis, Kazuhiro Yasuda
    Pages 411-437

About this book

Introduction

​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.​

Keywords

91GXX, 91G10, 91G20, 91G30, 91G40, 91G80 arbitrage pricing credit risk exotic options financial derivatives portfolio optimization

Editors and affiliations

  • Yuri Kabanov
    • 1
  • Marek Rutkowski
    • 2
  • Thaleia Zariphopoulou
    • 3
  1. 1.Labo. Mathématiques U.F.R. des Sciences et TechnologieUniversité de Franche-ComtéBesanconFrance
  2. 2.School of Mathematics & StatisticsUniversity of SydneySydneyAustralia
  3. 3.Depts. of Mathematics and IROM, McCombs School of BusinessThe University of Texas at AustinAustinUSA

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-02069-3
  • Copyright Information Springer International Publishing Switzerland 2014
  • Publisher Name Springer, Cham
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-319-02068-6
  • Online ISBN 978-3-319-02069-3
  • About this book
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