Ebook: Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann

In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. Advances in Finance and Stochastics contains a collection of original articles by a number of highly distinguished authors on research topics that are currently in the focus of interest of both academics and practitioners. The topics span risk management, portfolio theory and multi-asset derivatives, market imperfections, interest-rate modelling and exotic options.

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In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. Advances in Finance and Stochastics contains a collection of original articles by a number of highly distinguished authors on research topics that are currently in the focus of interest of both academics and practitioners. The topics span risk management, portfolio theory and multi-asset derivatives, market imperfections, interest-rate modelling and exotic options.

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In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. Advances in Finance and Stochastics contains a collection of original articles by a number of highly distinguished authors on research topics that are currently in the focus of interest of both academics and practitioners. The topics span risk management, portfolio theory and multi-asset derivatives, market imperfections, interest-rate modelling and exotic options.
Content:
Front Matter....Pages I-XIX
Coherent Risk Measures on General Probability Spaces....Pages 1-37
Robust Preferences and Convex Measures of Risk....Pages 39-56
Long Head-Runs and Long Match Patterns....Pages 57-69
Factor Pricing in Multidate Security Markets....Pages 71-84
Option Pricing for Co-Integrated Assets....Pages 85-99
Incomplete Diversification and Asset Pricing....Pages 101-124
Hedging of Contingent Claims under Transaction Costs....Pages 125-136
Risk Management for Derivatives in Illiquid Markets: A Simulation Study....Pages 137-159
A Simple Model of Liquidity Effects....Pages 161-176
Estimation in Models of the Instantaneous Short Term Interest Rate by Use of a Dynamic Bayesian Algorithm....Pages 177-195
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates....Pages 197-218
The Fair Premium of an Equity—Linked Life and Pension Insurance....Pages 219-255
On Bermudan Options....Pages 257-270
A Barrier Version of the Russian Option....Pages 271-284
Laplace Transforms and Suprema of Stochastic Processes....Pages 285-294
Solving the Poisson Disorder Problem....Pages 295-312

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In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. Advances in Finance and Stochastics contains a collection of original articles by a number of highly distinguished authors on research topics that are currently in the focus of interest of both academics and practitioners. The topics span risk management, portfolio theory and multi-asset derivatives, market imperfections, interest-rate modelling and exotic options.
Content:
Front Matter....Pages I-XIX
Coherent Risk Measures on General Probability Spaces....Pages 1-37
Robust Preferences and Convex Measures of Risk....Pages 39-56
Long Head-Runs and Long Match Patterns....Pages 57-69
Factor Pricing in Multidate Security Markets....Pages 71-84
Option Pricing for Co-Integrated Assets....Pages 85-99
Incomplete Diversification and Asset Pricing....Pages 101-124
Hedging of Contingent Claims under Transaction Costs....Pages 125-136
Risk Management for Derivatives in Illiquid Markets: A Simulation Study....Pages 137-159
A Simple Model of Liquidity Effects....Pages 161-176
Estimation in Models of the Instantaneous Short Term Interest Rate by Use of a Dynamic Bayesian Algorithm....Pages 177-195
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates....Pages 197-218
The Fair Premium of an Equity—Linked Life and Pension Insurance....Pages 219-255
On Bermudan Options....Pages 257-270
A Barrier Version of the Russian Option....Pages 271-284
Laplace Transforms and Suprema of Stochastic Processes....Pages 285-294
Solving the Poisson Disorder Problem....Pages 295-312
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