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Advanced Mathematical Methods for Finance

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Cover of 'Advanced Mathematical Methods for Finance'

Table of Contents

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    Book Overview
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    Chapter 1 Dynamic Risk Measures
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    Chapter 2 Ambit Processes and Stochastic Partial Differential Equations
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    Chapter 3 Fractional Processes as Models in Stochastic Finance
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    Chapter 4 Credit Contagion in a Long Range Dependent Macroeconomic Factor Model
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    Chapter 5 Advanced Mathematical Methods for Finance
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    Chapter 6 An Overview of Comonotonicity and Its Applications in Finance and Insurance
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    Chapter 7 A General Maximum Principle for Anticipative Stochastic Control and Applications to Insider Trading
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    Chapter 8 Analyticity of the Wiener–Hopf Factors and Valuation of Exotic Options in Lévy Models
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    Chapter 9 Optimal Liquidation of a Pairs Trade
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    Chapter 10 A PDE-Based Approach for Pricing Mortgage-Backed Securities
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    Chapter 11 Nonparametric Methods for Volatility Density Estimation
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    Chapter 12 Fractional Smoothness and Applications in Finance
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    Chapter 13 Liquidity Models in Continuous and Discrete Time
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    Chapter 14 Some New BSDE Results for an Infinite-Horizon Stochastic Control Problem
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    Chapter 15 Functionals Associated with Gradient Stochastic Flows and Nonlinear SPDEs
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    Chapter 16 Pricing and Hedging of Rating-Sensitive Claims Modeled by $\mathbb{F}$ -doubly Stochastic Markov Chains
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    Chapter 17 Exotic Derivatives under Stochastic Volatility Models with Jumps
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    Chapter 18 Asymptotics of HARA Utility from Terminal Wealth under Proportional Transaction Costs with Decision Lag or Execution Delay and Obligatory Diversification
Attention for Chapter 16: Pricing and Hedging of Rating-Sensitive Claims Modeled by $\mathbb{F}$ -doubly Stochastic Markov Chains
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Chapter title
Pricing and Hedging of Rating-Sensitive Claims Modeled by $\mathbb{F}$ -doubly Stochastic Markov Chains
Chapter number 16
Book title
Advanced Mathematical Methods for Finance
Published by
Springer, Berlin, Heidelberg, January 2011
DOI 10.1007/978-3-642-18412-3_16
Book ISBNs
978-3-64-218411-6, 978-3-64-218412-3
Authors

Jacek Jakubowski, Mariusz Niewęgłowski

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 %
Student > Postgraduate 1 50%
Student > Master 1 50%
Readers by discipline Count As %
Agricultural and Biological Sciences 1 50%
Medicine and Dentistry 1 50%