Synopses & Reviews
The contributors to this volume write a series of articles outlining contemporary advances in a number of key areas of mathematical finance such as, optimal control theory applied to finance, interest rate models, credit risk and credit derivatives, use of alternative stochastic processes, numerical solution of equations of mathematical finance, estimation of stochastic processes in finance. The list of authors includes many of the researchers who have made the major contributions to these various areas of mathematical finance. This volume addresses both researchers and professionals in financial institutions, as well as regulators working in the above mentioned fields.
Synopsis
This volume contains a collection of papers dedicated to Professor Eckhard Platen to celebrate his 60th birthday, which occurred in 2009. The contributions have been written by a number of his colleagues and co-authors. All papers have been - viewed and presented as keynote talks at the international conference "Quantitative Methods in Finance" (QMF) in Sydney in December 2009. The QMF Conference Series was initiated by Eckhard Platen in 1993 when he was at the Australian - tional University (ANU) in Canberra. Since joining UTS in 1997 the conference came to be organised on a much larger scale and has grown to become a signi?cant international event in quantitative ?nance. Professor Platen has held the Chair of Quantitative Finance at the University of Technology, Sydney (UTS) jointly in the Faculties of Business and Science since 1997. Prior to this appointment, he was the Founding Head of the Centre for Fin- cial Mathematics at the Institute of Advanced Studies at ANU, a position to which he was appointed in 1994. Eckhard completed a PhD in Mathematics at the Technical University in Dresden in 1975 and in 1985 obtained his Doctor of Science degree (Habilitation degree in the German system) from the Academy of Sciences in Berlin where he headed the Stochastics group at the Weierstrass Institute.
Synopsis
This book details contemporary advances in a number of key areas of mathematical finance, such as optimal control theory applied to finance, interest rate models, credit risk and credit derivatives and numerical solution of equations of mathematical finance.
About the Author
Carl Chiarella is currently Professor of Quantitative Finance at the University of Technology, Sydney. He holds doctorates in both applied mathematics and economics. He is the author of over 150 research articles in international journals and edited volumes and the author/coauthor of 5 books. Carl is a Co-Editor of the Journal of Economic Dynamics and Control and Associate Editor of Quantitative Finance, Studies in Nonlinear Dynamics and Econometrics, Computational Economics and European Journal of Finance. Alexander Novikov is Professor of Mathematics (Chair in Probability) at the Department of Mathematical Sciences, the University of Technology, Sydney. He received the Doctor of Science degree in mathematics from Steklov Mathematical Institute, Moscow. He has edited several proceedings and published more than 80 research papers in different areas of statistics of random processes, sequential analysis, random fields and mathematical finance. Alexander has been member of the Editorial Board of Statistics and Probability Letters, Bernoulli and Methods of Mathematical Statistics.
Table of Contents
C. Chiarella and A. Novikov: Introduction.- D. Fernholz and I. Karatzas: Probabilistic aspects of arbitrage.- C. Kardaras: Finitely additive probabilities and the fundamental theorem of asset pricing.- H. Hulley and M. Schweizer: M6 - On minimal market models and minimal martingale measures.- H. Hulley: The economic plausibility of strict local martingales in financial modelling.- J. Najnudel and A. Nikeghbali: A remarkable $\sigma$-finite measure associated with last passage times and penalisation problems.- G. Galesso and W. Runggaldier: Pricing without equivalent martingale measures under complete and incomplete observation.- X. Bao, F. Delbaen and Y. Hu: Existence and non-uniqueness of solutions for BSDE.- S. N. Cohen and R. J. Elliott: Comparison theorems for finite state backward stochastic differential equations.- P. Imkeller, G. D. Reis and J. Zhang: Results on numerics for FBSDE with drivers of quadratic growth.- D. B. Madan: Variance Swap Portfolio Theory.- M. Musiela and T. Zariphopoulou: Stochastic partial differential equations and portfolio choice.- C. Veiga and U. Wystup: Issuers' commitments would add more value than any rating scheme could ever do.- D. Filipovic and T. Schmidt: Pricing and hedging of CDOs: A top down approach.- P. V. Gapeev, M. Jeanblanc, L. Li and M. Rutkowski: Constructing random times with given survival processes and applications to valuation of credit derivatives.- C. Chiarella, A. Ziogas and J. Ziveyi: Representation or American option prices under Heston stochastic volatility dynamics using integral transforms.- M. Dai, H. Jin, Y. Zhong and X. Y. Zhou: Buy low and Sell high.- K. A. Borovkov, A. N. Downes and A. Novikov: Continuity theorems in boundary crossing problems for diffusion processes.- J. Van der Hoek: Binomial models for interest rates.- I. H. Chung, T. Dun and E. Schlögl: Lognormal Forward Market Model (LFM) volatility function approximation.- F. Baltazar-Larios and M. Sørensen: Maximum likelihood estimation for integrated diffusion processes.