From Stochastic Calculus to Mathematical Finance

Table of Contents

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   Book Overview
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   Chapter 1 On Numerical Approximation of Stochastic Burgers' Equation
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   Chapter 2 Optimal Time to Invest under Tax Exemptions
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   Chapter 3 A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales
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   Chapter 4 Interplay between Distributional and Temporal Dependence. An Empirical Study with High-frequency Asset Returns
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   Chapter 5 Asymptotic Methods for Stability Analysis of Markov Dynamical Systems with Fast Variables
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   Chapter 6 Some Particular Problems of Martingale Theory
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   Chapter 7 On the Absolute Continuity and Singularity of Measures on Filtered Spaces: Separating Times
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   Chapter 8 Optimal Hedging with Basis Risk
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    Chapter 9 Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands
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    Chapter 10 Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization
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    Chapter 11 On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes
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    Chapter 12 A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets
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    Chapter 13 Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach
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    Chapter 14 A Minimax Result for f -Divergences
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    Chapter 15 Impulse and Absolutely Continuous Ergodic Control of One-Dimensional Itô Diffusions
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    Chapter 16 A Consumption–Investment Problem with Production Possibilities
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    Chapter 17 Multiparameter Generalizations of the Dalang–Morton– Willinger Theorem
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    Chapter 18 A Didactic Note on Affine Stochastic Volatility Models
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    Chapter 19 Uniform Optimal Transmission of Gaussian Messages
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    Chapter 20 A Note on the Brownian Motion
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    Chapter 21 Continuous Time Volatility Modelling: COGARCH versus Ornstein–Uhlenbeck Models
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    Chapter 22 Tail Distributions of Supremum and Quadratic Variation of Local Martingales
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    Chapter 23 Stochastic Differential Equations: A Wiener Chaos Approach
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    Chapter 24 A Martingale Equation of Exponential Type
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    Chapter 25 On Local Martingale and its Supremum: Harmonic Functions and beyond
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    Chapter 26 On the Fundamental Solution of the Kolmogorov–Shiryaev Equation
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    Chapter 27 Explicit Solution to an Irreversible Investment Model with a Stochastic Production Capacity
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    Chapter 28 Gittins Type Index Theorem for Randomly Evolving Graphs
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    Chapter 29 On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models
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    Chapter 30 The Optimal Stopping of a Markov Chain and Recursive Solution of Poisson and Bellman Equations
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    Chapter 31 On Lower Bounds for Mixing Coefficients of Markov Diffusions