Stochastic FinanceAlbert N. Shiryaev, Maria do Rosário Grossinho, Paulo E. Oliveira, Manuel L. Esquível Since the pioneering work of Black, Scholes, and Merton in the field of financial mathematics, research has led to the rapid development of a substantial body of knowledge, with plenty of applications to the common functioning of the world’s financial institutions. Mathematics, as the language of science, has always played a role in the development of knowledge and technology. Presently, the high-tech character of modern business has increased the need for advanced methods, which rely to a large extent on mathematical techniques. It has become essential for the financial analyst to possess a high degree of proficiency in these mathematical techniques. |
Contents
| 3 | |
| 8 | |
Multipower Variation and Stochastic Volatility | 73 |
Sciences University of Aarhus Tomasz R Bielecki | 83 |
Extremal behavior of stochastic volatility models | 107 |
Gaspar | 113 |
Capital Asset Pricing for Markets with Intensity Based | 156 |
Mortgage Valuation and Optimal Refinancing | 183 |
Computing efficient hedging strategies in discontinuous | 197 |
A Downside Risk Analysis based on Financial Index | 213 |
Modelling electricity prices by the potential jumpdiffusion | 239 |
Finite dimensional Markovian realizations for forward | 264 |
inference for high | 343 |
Other editions - View all
Stochastic Finance Albert N. Shiryaev,Maria do Rosário Grossinho,Paulo E. Oliveira,Manuel Leote Esquível No preview available - 2010 |
Common terms and phrases
arbitrage-free assume assumption asymptotic variance Barndorff-Nielsen based jumps benchmark bid/ask spread Björk Brownian motion COGARCH component compound Poisson process compute Corollary Cum4 defined denote derivative deterministic diffusion distribution downside dynamics equation estimator Etrue exists exponential extremal behavior F-predictable processes financial index finite follows forward prices Gaussian given Hence interest rates jump-diffusion jumps Lemma Lévy process log-returns market microstructure market portfolio Markovian martingale matrix mean-reversion measure microstructure noise mortgage rate norming constants numeraire obtain optimal portfolio parameters Platen price model price process primary assets problem Proof Proposition regularly varying result risk neutral risky fraction sampling satisfies Section semimartingales Shephard solution stationary stochastic volatility subexponential tails Theorem C.1 trading strategies V₁ V₁₁ V₁₂ vector volatility process Wiener process ΟΣ ΟΣΟ მძ