Advanced Mathematical Methods for Finance

By Julia Di Nunno

Dynamic risk measures.- Ambit processes and stochastic partial differential equations.- Fractional processes as models in stochastic finance.- Credit contagion in a long range dependent macroeconomic factor model.- Modeling information flows in financial markets.- An overview of comonotonicity and its applications in finance and insurance.- A general maximum principle for anticipative stochastic control and applications to insider trading.- Analyticity of the Wiener-Hopf factors and valuation of exotic options in Levy models.- Optimal liquidation of a pairs trade.- A PDE-based approach or pricing mortgage-backed securities.- Nonparametric methods for volatility density estimation.- Fractional smoothness and applications in finance.- Liquidity models in continuous and discrete times.- Some new BSDE results for an infinite-horizon stochastic control problem.- Functionals associated with gradient stochastic flows and nonlinear SPDEs.- Fractional smoothness and applications in Finance modeled by F-doubly stochastic Markov chains.- Exotic derivatives under stochastic volatility models with jumps.- Asymptotics of HARA utility from terminal wealth under proportional transaction costs with decision lag or execution delay and obligatory diversification.

• Format: Paperback
• Language: English
• ISBN: 3642435513
• ISBN13: 9783642435515
• Release Date: October 2014
• Publisher: Springer
• Length: 536 Pages
• Weight: 1.67 lbs.
• Dimensions: 1.1" x 6.1" x 9.2"