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.
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Plenary and Invited Lectures.- How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise.- Multipower Variation and Stochastic Volatility.- Completeness of a General Semimartingale Market under Constrained Trading.- Extremal behavior of stochastic volatility models.- Capital Asset Pricing for Markets with Intensity Based Jumps.- Mortgage Valuation and Optimal Refinancing.- Computing efficient hedging strategies in discontinuous market models.- A Downside Risk Analysis based on Financial Index Tracking Models.- Contributed Talks.- Modelling electricity prices by the potential jump-diffusion.- Finite dimensional Markovian realizations for forward price term structure models.- Good Portfolio Strategies under Transaction Costs: A Renewal Theoretic Approach.- Power and Multipower Variation: inference for high frequency data.¡Compre este libro electrónico y obtenga 1 más GRATIS!
Idioma Inglés ● Formato PDF ● Páginas 364 ● ISBN 9780387283593 ● Tamaño de archivo 16.6 MB ● Editor Albert N. Shiryaev & Maria do Rosário Grossinho ● Editorial Springer US ● Ciudad NY ● País US ● Publicado 2006 ● Descargable 24 meses ● Divisa EUR ● ID 2144465 ● Protección de copia DRM social
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