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Advances in Finance and Stochastics

Overview of attention for book
Cover of 'Advances in Finance and Stochastics'

Table of Contents

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    Book Overview
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    Chapter 1 Coherent Risk Measures on General Probability Spaces
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    Chapter 2 Robust Preferences and Convex Measures of Risk
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    Chapter 3 Long Head-Runs and Long Match Patterns
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    Chapter 4 Factor Pricing in Multidate Security Markets
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    Chapter 5 Option Pricing for Co-Integrated Assets
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    Chapter 6 Incomplete Diversification and Asset Pricing
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    Chapter 7 Hedging of Contingent Claims under Transaction Costs
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    Chapter 8 Risk Management for Derivatives in Illiquid Markets: A Simulation Study
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    Chapter 9 A Simple Model of Liquidity Effects
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    Chapter 10 Estimation in Models of the Instantaneous Short Term Interest Rate by Use of a Dynamic Bayesian Algorithm
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    Chapter 11 Arbitrage-Free Interpolation in Models of Market Observable Interest Rates
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    Chapter 12 The Fair Premium of an Equity—Linked Life and Pension Insurance
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    Chapter 13 On Bermudan Options
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    Chapter 14 A Barrier Version of the Russian Option
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    Chapter 15 Laplace Transforms and Suprema of Stochastic Processes
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    Chapter 16 Solving the Poisson Disorder Problem
Attention for Chapter 5: Option Pricing for Co-Integrated Assets
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Citations

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Chapter title
Option Pricing for Co-Integrated Assets
Chapter number 5
Book title
Advances in Finance and Stochastics
Published by
Springer, Berlin, Heidelberg, January 2002
DOI 10.1007/978-3-662-04790-3_5
Book ISBNs
978-3-64-207792-0, 978-3-66-204790-3
Authors

Jin-Chuan Duan, Stanley R. Pliska, Duan, Jin-Chuan, Pliska, Stanley R.

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Mendeley readers

Mendeley readers

The data shown below were compiled from readership statistics for 2 Mendeley readers of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
Unknown 2 100%

Demographic breakdown

Readers by professional status Count As %
Professor 2 100%
Readers by discipline Count As %
Mathematics 2 100%

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