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© LIBERO v6.4.1sp220816
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Catalogue Information
Field name
Details
Dewey Class
332.6 (DDC 22)
Title
Stochastic Finance ([Ebook]) / edited by A. N. Shiryaev, M. R. Grossinho, P. E. Oliveira, M. L. Esquível.
Added Personal Name
Grossinho, Maria do Rosário , 1956-
Esquível, M. L.
Oliveira, P. E.
Shiryaev, Albert N.
Other name(s)
SpringerLink (Online service)
Publication
Boston, MA : Springer , 2006.
Physical Details
: v.: digital
ISBN
9780387283593
Summary Note
Preface PART I. PLENARY AND INVITED LECTURES 1. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (Yacine Ait-Sahalia, Per A. Mykland, Lan Zhang) 2. Multipower Variation and Stochastic Volatility (Ole E. Barndorff-Nielsen, Neil Shephard) 3. Completeness of a General Semimartingale Market under Constrained Trading (Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski) 4. Extremal behavior of stochastic volatility models (Vicky Fasen, Claudia Kluppelberg, Alexander Lindner) 5. Capital Asset Pricing for Markets with Intensity Based Jumps (Eckhard Platen) 6. Mortgage Valuation and Optimal Refinancing (Stanley R. Pliska) 7. Computing efficient hedging strategies in discontinuous market models (Wolfgang J.Runggaldier, Sara Di Emidio) 8. A Downside Risk Analysis based on Financial Index Tracking Models (Lian Yu, Shuzhong Zhang, Xun Yu Zhou) PART II. CONTRIBUTED TALKS 9. Modelling electricity prices by the potential jump-diffusion (Svetlana Borovkova, Ferry Jaya Permana) 10. Finite dimensional Markovian realizations for forward price term structure models (Raquel M. Gaspa) 11. Good Portfolio Strategies under Transaction Costs: A Renewal Theoretic Approach (Albrecht Irle, Jorn Sass) 12. Power and Multipower Variation: inference for high frequency data (Jeannette H.C. Woerner):
System details note
Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users)
Internet Site
http://dx.doi.org/10.1007/0-387-28359-5
Links to Related Works
Subject References:
Business Mathematics
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Distribution (Probability theory)
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Finance
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Probability theory and stochastic processes
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Stochastic Analysis
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Stochastic Processes
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Authors:
Esquível, M. L.
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Grossinho, Maria do Rosário 1956-
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Oliveira, P. E.
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Shiryaev, Albert N.
.
See Also:
Širjaev, Alʹbert N.
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Širjaev, Alʹbert N., 1934-
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Corporate Authors:
SpringerLink (Online service)
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Classification:
332.6 (DDC 22)
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