【2014好书】Inspired by Finance

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收藏 2014-06-22

图书名称：Inspired by Finance: The Musiela Festschrift
作者：Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou
出版社：spring
页数：543
出版时间：2014
语言：English
内容简介：

Written by experts
Provides methods ready for practical implementation
Opens perspectives for further studies in risk management

The present volume is dedicated to Marek Musiela, the eminent scholar and practitioner, well-known for his important contribution into problems of derivative pricing, theory of term structure of interest rates, theory of defaultable securities and other topics of modern mathematical finance. Under the cover the reader finds 25 research papers of 47 authors, famous or young, covering the whole range of the "hot" topics of the discipline. The contributed articles not only give a clear picture about what is going on in this fast developing field of knowledge but provide methods ready for practical implementation. They also open perspectives for further studies in risk management, portfolio optimization, and financial engineering.

Table of contents
Front Matter Pages I-XXIII
1、Forward Start Foreign Exchange Options Under Heston’s Volatility and the CIR Interest Rates Pages 1-27
2、Real Options with Competition and Incomplete Markets Pages 29-45
3、Dynamic Hedging of Counterparty Exposure Pages 47-71
4、A Note on Market Completeness with American Put Options Pages 73-82
5、An f-Divergence Approach for Optimal Portfolios in Exponential Lévy Models Pages 83-101
6、Optimal Investment with Bounded VaR for Power Utility Functions Pages 103-116
7、Three Essays on Exponential Hedging with Variable Exit Times Pages 117-158
8、Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient Pages 159-199
9、Conditional Default Probability and Density Pages 201-219
10、Yield Curve Smoothing and Residual Variance of Fixed Income Positions Pages 221-256
11、Maximally Acceptable Portfolios Pages 257-272
12、Some Extensions of Norros’ Lemma in Models with Several Defaults Pages 273-281
13、On the Pricing of Perpetual American Compound Options Pages 283-304
14、New Approximations in Local Volatility Models Pages 305-330
15、Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options Pages 331-348
16、A Time Before Which Insiders Would not Undertake Risk Pages 349-362
17、Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting Pages 363-385
18、On the First Passage Time Under Regime-Switching with Jumps Pages 387-410
19、Strong Consistency of the Bayesian Estimator for the Ornstein–Uhlenbeck Process Pages 411-437
20、Multiasset Derivatives and Joint Distributions of Asset Prices Pages 439-459
21、Pricing of Volume-Weighted Average Options: Analytical Approximations and Numerical Results Pages 461-474
22、A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility Pages 475-504
23、Solution of Optimal Stopping Problem Based on a Modification of Payoff Function Pages 505-517
24、A Stieltjes Approach to Static Hedges Pages 519-534
25、Optimal Stopping of Seasonal Observations and Projection of a Markov Chain Pages 535-543
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