Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann

Front Cover
Klaus Sandmann, Philip J. Schönbucher
Springer Science & Business Media, Apr 23, 2002 - Business & Economics - 312 pages
0 Reviews
In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. Advances in Finance and Stochastics contains a collection of original articles by a number of highly distinguished authors on research topics that are currently in the focus of interest of both academics and practitioners. The topics span risk management, portfolio theory and multi-asset derivatives, market imperfections, interest-rate modelling and exotic options.
 

What people are saying - Write a review

We haven't found any reviews in the usual places.

Selected pages

Contents

Coherent Risk Measures on General Probability Spaces
1
Robust Preferences and Convex Measures of Risk
39
Long HeadRuns and Long Match Patterns
57
Factor Pricing in Multidate Security Markets
71
Option Pricing for CoIntegrated Assets
85
Incomplete Diversification and Asset Pricing
101
Hedging of Contingent Claims under Transaction Costs
125
A Simulation Study
137
Estimation in Models of the Instantaneous Short Term Interest Rate by Use of a Dynamic Bayesian Algorithm
177
ArbitrageFree Interpolation in Models of Market Observable Interest Rates
197
The Fair Premium of an EquityLinked Life and Pension Insurance
219
On Bermudan Options
257
A Barrier Version of the Russian Option
271
Laplace Transforms and Suprema of Stochastic Processes
285
Solving the Poisson Disorder Problem
295
Copyright

A Simple Model of Liquidity Effects
161

Other editions - View all

Common terms and phrases

References to this book

Bibliographic information