## Advances in Finance and Stochastics: Essays in Honour of Dieter SondermannKlaus Sandmann, Philip J. Schönbucher 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. |

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### 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 |

A Simple Model of Liquidity Effects | 161 |

### Other editions - View all

Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann Klaus Sandmann,Philip J. Schönbucher No preview available - 2010 |

Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann Klaus Sandmann,Philip J. Schönbucher No preview available - 2014 |

### Common terms and phrases

arbitrage asset pricing models assume assumption Bermudan option Black-Scholes bond bounded co-integration coherent measure coherent risk measure condition constant convergence convex game convex measure convex set defined Delbaen denote derivative discrete tenor distribution dynamics Economics equal equation equilibrium equity-linked exact factor pricing example fair premium Fatou property Finance and Stochastics finitely additive follows forward LIBORs forward rates given guaranteed hedging strategy Hence implied volatilities interest rate interpolation investor specific Journal of Financial Lemma LIBOR linear liquidity lognormal martingale Mathematical Finance maturity measure of risk multidate nonlinear nonnegative null function obtain optimal stopping option pricing parameter pension insurance pension policy Poisson process portfolio positive probability measures probability space problem Proof Proposition put option random variables risk exposures risk premium Sandmann satisfies sequence solution suppose term structure theorem theory Theta tracking error vector zero zero coupon bond