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Title Inspired by finance : the Musiela festschrift / Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou, editors.
Imprint Cham : Springer, [2014]

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Subject Musiela, Marek, 1950-
Finance -- Mathematical models.
Economics.
Alt Name Kabanov, Yuri,
Rutkowski, Marek, 1952-
Zariphopoulou, Thaleia, 1962-
Musiela, Marek, 1950-
Description 1 online resource (xxiii, 543 pages .)
Bibliography Note Includes bibliographical references.
Summary 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.
Contents Forward start foreign exchange options under Heston's volatility and the CIR interest rates / Rehez Ahlip and Marek Rutkowski -- Real options with competition and incomplete markets / Alain Bensoussan and SingRu (Celine) Hoe -- Dynamic hedging of counterparty exposure / Tomasz R. Bielecki and Stephane Crepey -- A note on market completeness with American put options / Luciano Campi -- An f-divergence approach for optimal portfolios in exponential Levy models / S. Cawston and L. Vostrikova -- Optimal investment with bounded VaR for power utility functions / Benamar Chouaf and Serguei Pergamenchtchikov -- Three essays on exponential hedging with variable exit times / Tahir Choulli, Junfeng Ma, and Marie-Amelie Morlais -- Mean square error and limit theorem for the modified Leland hedging strategy with a constant transaction costs coefficient / Sebastien Darses and Emmanuel Lepinette -- Conditional default probability and density / N. El Karoui, M. Jeanblanc, Y. Jiao, and B. Zargari -- Yield curve smoothing and residual variance of fixed income positions / Raphael Douady -- Maximally acceptable portfolios / Ernst Eberlein and Dilip B. Madan -- Some extensions of Norros' Lemma in models with several defaults / Pavel V. Gapeev -- On the pricing of perpetual American compound options / Pavel V. Gapeev and Neofytos Rodosthenous.
Machine generated contents note: 1. Introduction / Marek Rutkowski / Rehez Ahlip -- 2. Foreign Exchange Model / Marek Rutkowski / Rehez Ahlip -- 3. Forward Start Foreign Exchange Options / Marek Rutkowski / Rehez Ahlip -- 4. Bond Pricing and Forward Exchange Rate / Marek Rutkowski / Rehez Ahlip -- 5. Auxiliary Probability Measures / Marek Rutkowski / Rehez Ahlip -- 5.1. Bond Price Numeraire / Marek Rutkowski / Rehez Ahlip -- 5.2. Savings Account Numeraire / Marek Rutkowski / Rehez Ahlip -- 6. Preliminary Results / Marek Rutkowski / Rehez Ahlip -- 7. Valuation of Forward Start Foreign Exchange Options / Marek Rutkowski / Rehez Ahlip -- 7.1. Options Pricing Formula in the Bond Numeraire / Marek Rutkowski / Rehez Ahlip -- 7.2. Options Pricing Formula in the Savings Account Numeraire / Marek Rutkowski / Rehez Ahlip -- 8. Put-Call Parity for Forward Start Foreign Exchange Options / Marek Rutkowski / Rehez Ahlip -- References / Marek Rutkowski / Rehez Ahlip -- 1. Investment Game Problems and General Model Assumptions / SingRu Hoe / Alain Bensoussan -- 2. Follower's Problem and Solution / SingRu Hoe / Alain Bensoussan -- 2.1. Postinvestment Utility Maximization / SingRu Hoe / Alain Bensoussan -- 2.2. Preinvestment Utility Maximization / SingRu Hoe / Alain Bensoussan -- 2.3. Follower's Optimal Stopping Rule / SingRu Hoe / Alain Bensoussan -- 3. Leader's Problem and Solution / SingRu Hoe / Alain Bensoussan -- 3.1. Postinvestment Utility Maximization / SingRu Hoe / Alain Bensoussan -- 3.2. Leader's Optimal Stopping Rule / SingRu Hoe / Alain Bensoussan -- 4. Conclusion / SingRu Hoe / Alain Bensoussan -- References / SingRu Hoe / Alain Bensoussan -- 1. Introduction / Tomasz R. Bielecki / Stephane Crepey -- 1.1. General Set-up / Stephane Crepey / Tomasz R. Bielecki -- 2. Cashflows / Stephane Crepey / Tomasz R. Bielecki -- 2.1. Re-hypothecation Risk and Segregation / Stephane Crepey / Tomasz R. Bielecki -- 2.2. Cure Period / Stephane Crepey / Tomasz R. Bielecki -- 3. Pricing / Stephane Crepey / Tomasz R. Bielecki -- 3.1. CVA / Stephane Crepey / Tomasz R. Bielecki -- 3.2. Collateral Modeling / Stephane Crepey / Tomasz R. Bielecki -- 4. Common Shock Model of Counterparty Credit Risk / Stephane Crepey / Tomasz R. Bielecki -- 4.1. Unilateral Counterparty Credit Risk / Stephane Crepey / Tomasz R. Bielecki -- 4.2. Model of Default Times / Stephane Crepey / Tomasz R. Bielecki -- 4.3. Credit Derivatives Prices and Price Dynamics in the Common Shocks Model / Stephane Crepey / Tomasz R. Bielecki -- 5. Hedging Counterparty Credit Risk in the Common Shocks Model / Stephane Crepey / Tomasz R. Bielecki -- 5.1. Min-Variance Hedging by a Rolling CDS on the Counterparty / Stephane Crepey / Tomasz R. Bielecki -- 5.2. Multi-instruments Hedge / Stephane Crepey / Tomasz R. Bielecki -- References / Stephane Crepey / Tomasz R. Bielecki -- 1. Introduction / Luciano Campi -- 2. Model / Luciano Campi -- 3. Hedging with American Put Options / Luciano Campi -- 4. Counterexample to Hedging with European Call Options / Luciano Campi -- References / Luciano Campi -- 1. Introduction / L. Vostrikova / S. Cawston -- 2. Utility Maximization in Exponential Levy Models / L. Vostrikova / S. Cawston -- 3. Decomposition for Levy Preserving Equivalent Martingale Measures / L. Vostrikova / S. Cawston -- 4. Utility Maximizing Strategies / L. Vostrikova / S. Cawston -- References / L. Vostrikova / S. Cawston -- 1. Introduction / Serguei Pergamenchtchikov / Benamar Chouaf -- 2. Model / Serguei Pergamenchtchikov / Benamar Chouaf -- 3. Optimization Problems / Serguei Pergamenchtchikov / Benamar Chouaf -- 3.1. Unconstrained Problem / Serguei Pergamenchtchikov / Benamar Chouaf -- 3.2. Constrained Problem / Serguei Pergamenchtchikov / Benamar Chouaf -- 4. Proofs / Serguei Pergamenchtchikov / Benamar Chouaf -- 4.1. Proof of Theorem 3 / Serguei Pergamenchtchikov / Benamar Chouaf -- 4.2. Proof of Theorem 4 / Serguei Pergamenchtchikov / Benamar Chouaf -- Appendix Properties of the Function (35) / Serguei Pergamenchtchikov / Benamar Chouaf -- References / Serguei Pergamenchtchikov / Benamar Chouaf -- 1. Introduction / Tahir Choulli / Marie-Amelie Morlais / Junfeng Ma -- 2. Mathematical Model and Preliminaries / Tahir Choulli / Marie-Amelie Morlais / Junfeng Ma -- 3. Complete Parameterization of Exponential Forward Performances / Tahir Choulli / Marie-Amelie Morlais / Junfeng Ma -- 4. Horizon-Unbiased Exponential Hedging / Tahir Choulli / Marie-Amelie Morlais / Junfeng Ma -- 5. Optimal Portfolio and Investment Timing for Semimartingales / Tahir Choulli / Marie-Amelie Morlais / Junfeng Ma -- Appendix 1 Some Auxiliary Lemmas / Tahir Choulli / Marie-Amelie Morlais / Junfeng Ma -- Appendix 2 MEH σ-Martingale Density Under Change of Probability / Tahir Choulli / Marie-Amelie Morlais / Junfeng Ma -- References / Tahir Choulli / Marie-Amelie Morlais / Junfeng Ma -- 1. Introduction / Sebastien Darses / Emmanuel Lepinette -- 2. Notations and Models / Sebastien Darses / Emmanuel Lepinette -- 2.1. Black-Scholes Model and Hedging Strategy / Emmanuel Lepinette / Sebastien Darses -- 2.2. Reminder About Leland's Strategy / Emmanuel Lepinette / Sebastien Darses -- 2.3. Possible Modification of Leland's Strategy / Sebastien Darses / Emmanuel Lepinette -- 2.4. Assumptions and Notational Conventions / Emmanuel Lepinette / Sebastien Darses -- 3. Main Result / Sebastien Darses / Emmanuel Lepinette -- 4. Auxiliary Results / Sebastien Darses / Emmanuel Lepinette -- 4.1. Geometric Brownian Motion and Related Quantities / Sebastien Darses / Emmanuel Lepinette -- 4.2. Basic Results Concerning the Revision Dates / Emmanuel Lepinette / Sebastien Darses -- 5. Proof of the Limit Theorem / Sebastien Darses / Emmanuel Lepinette -- 5.1. Step 1: Splitting of the Hedging Error / Sebastien Darses / Emmanuel Lepinette -- 5.2. Step 2: The Mean Square Residue Tends to 0 with Rate n[]+2p / Sebastien Darses / Emmanuel Lepinette -- 5.3. Step 3: Asymptotic Distribution / Emmanuel Lepinette / Sebastien Darses -- 5.4. Conclusion / Sebastien Darses / Emmanuel Lepinette -- Appendix / Emmanuel Lepinette / Sebastien Darses -- A.1. Explicit Formulae / Sebastien Darses / Emmanuel Lepinette -- A.2. Estimates / Emmanuel Lepinette / Sebastien Darses -- A.3. Technical Lemmas / Emmanuel Lepinette / Sebastien Darses -- References / Sebastien Darses / Emmanuel Lepinette -- 1. Introduction / Y. Jiao / B. Zargari / M. Jeanblanc / N. El Karoui -- 2. Definitions / M. Jeanblanc / Y. Jiao / B. Zargari / N. El Karoui -- 3. Examples of Martingale Survival Processes / N. El Karoui / M. Jeanblanc / Y. Jiao / B. Zargari -- 3.1. Dynamic Gaussian Copula Model / M. Jeanblanc / B. Zargari / Y. Jiao / N. El Karoui -- 3.2. Gamma Model / N. El Karoui / B. Zargari / M. Jeanblanc / Y. Jiao -- 3.3. Markov Processes / N. El Karoui / M. Jeanblanc / Y. Jiao / B. Zargari -- 3.4. Diffusion-Based Model with Initial Value / Y. Jiao / B. Zargari / M. Jeanblanc / N. El Karoui -- 4. Density Models / B.
New approximations in local volatility models / E. Gobet and A. Suleiman -- Low-dimensional partial integro-differential equations for high-dimensional Asian options / Peter Hepperger -- A time before which insiders would not undertake risk / Constantinos Kardaras -- Sensitivity with respect to the yield curve : duration in a stochastic setting / Paul C. Kettler, Frank Proske, and Mark Rubtsov -- On the first passage time under regime-switching with jumps / Masaaki Kijima and Chi Chung Siu -- Strong consistency of the Bayesian estimator for the Ornstein-Uhlenbeck process / Arturo Kohatsu-Higa, Nicolas Vayatis, and Kazuhiro Yasuda -- Multiasset derivatives and joint distributions of asset prices / Ilya Molchanov and Michael Schmutz -- Pricing of volume-weighted average options : analytical approximations and numerical results / Alexander A. Novikov, Timothy G. Ling, and Nino Kordzakhia -- A class of homothetic forward investment performance processes with non-zero volatility / Sergey Nadtochiy and Thaleia Zariphopoulou -- Solution of optimal stopping problem based on a modification of payoff function / Ernst Presman -- A Stieltjes approach to static hedges / Michael Schmutz and Thomas Zurcher -- Optimal stopping of seasonal observations and projection of a Markov chain / Isaac M. Sonin.
Forward start foreign exchange options under Heston's volatility and the CIR interest rates / Rehez Ahlip and Marek Rutkowski -- Real options with competition and incomplete markets / Alain Bensoussan and SingRu (Celine) Hoe -- Dynamic hedging of counterparty exposure / Tomasz R. Bielecki and Stephane Crepey -- A note on market completeness with American put options / Luciano Campi -- An f-divergence approach for optimal portfolios in exponential Levy models / S. Cawston and L. Vostrikova -- Optimal investment with bounded VaR for power utility functions / Benamar Chouaf and Serguei Pergamenchtchikov -- Three essays on exponential hedging with variable exit times / Tahir Choulli, Junfeng Ma, and Marie-Amelie Morlais -- Mean square error and limit theorem for the modified Leland hedging strategy with a constant transaction costs coefficient / Sebastien Darses and Emmanuel Lepinette -- Conditional default probability and density / N. El Karoui, M. Jeanblanc, Y. Jiao, and B. Zargari -- Yield curve smoothing and residual variance of fixed income positions / Raphael Douady -- Maximally acceptable portfolios / Ernst Eberlein and Dilip B. Madan -- Some extensions of Norros' Lemma in models with several defaults / Pavel V. Gapeev -- On the pricing of perpetual American compound options / Pavel V. Gapeev and Neofytos Rodosthenous -- New approximations in local volatility models / E. Gobet and A. Suleiman -- Low-dimensional partial integro-differential equations for high-dimensional Asian options / Peter Hepperger -- A time before which insiders would not undertake risk / Constantinos Kardaras -- Sensitivity with respect to the yield curve : duration in a stochastic setting / Paul C. Kettler, Frank Proske, and Mark Rubtsov -- On the first passage time under regime-switching with jumps / Masaaki Kijima and Chi Chung Siu -- Strong consistency of the Bayesian estimator for the Ornstein-Uhlenbeck process / Arturo Kohatsu-Higa, Nicolas Vayatis, and Kazuhiro Yasuda -- Multiasset derivatives and joint distributions of asset prices / Ilya Molchanov and Michael Schmutz -- Pricing of volume-weighted average options : analytical approximations and numerical results / Alexander A. Novikov, Timothy G. Ling, and Nino Kordzakhia.
Note Print version record.
ISBN 9783319020693 (electronic bk.)
3319020692 (electronic bk.)
9783319020686
3319020684
ISBN/ISSN 10.1007/978-3-319-02069-3
OCLC # 864749897
Additional Format Print version: 3319020684 9783319020686


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