Springer Proceedings in Mathematics & Statistics - Advanced Modelling in Mathematical Finance
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Published By Springer International Publishing

9783319458731, 9783319458755

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Approximate Option Pricing in the Lévy Libor Model

Springer Proceedings in Mathematics & Statistics - Advanced Modelling in Mathematical Finance ◽

10.1007/978-3-319-45875-5_19 ◽

2016 ◽

pp. 453-476

Author(s):

Zorana Grbac ◽

David Krief ◽

Peter Tankov

Keyword(s):

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Model Uncertainty in a Holistic Perspective

Springer Proceedings in Mathematics & Statistics - Advanced Modelling in Mathematical Finance ◽

10.1007/978-3-319-45875-5_9 ◽

2016 ◽

pp. 189-215 ◽

Author(s):

Gerhard Stahl

Keyword(s):

Model Uncertainty ◽

Holistic Perspective

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Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model

Springer Proceedings in Mathematics & Statistics - Advanced Modelling in Mathematical Finance ◽

10.1007/978-3-319-45875-5_12 ◽

2016 ◽

pp. 257-275

Author(s):

Aleš Černý

Keyword(s):

Discrete Time ◽

Barrier Options ◽

Quadratic Hedging

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Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions

Springer Proceedings in Mathematics & Statistics - Advanced Modelling in Mathematical Finance ◽

10.1007/978-3-319-45875-5_1 ◽

2016 ◽

pp. 3-40 ◽

Author(s):

Ernst August v. Hammerstein

Keyword(s):

Tail Dependence ◽

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Introducing Distances Between Commodity Markets: The Case of the US and UK Natural Gas

Springer Proceedings in Mathematics & Statistics - Advanced Modelling in Mathematical Finance ◽

10.1007/978-3-319-45875-5_4 ◽

2016 ◽

pp. 93-105

Author(s):

Hélyette Geman ◽

Bo Liu

Keyword(s):

Natural Gas ◽

Commodity Markets ◽

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Almost Surely Optimal Portfolios Under Proportional Transaction Costs

Springer Proceedings in Mathematics & Statistics - Advanced Modelling in Mathematical Finance ◽

10.1007/978-3-319-45875-5_14 ◽

2016 ◽

pp. 303-312

Author(s):

Mark-Roman Feodoria ◽

Jan Kallsen

Keyword(s):

Transaction Costs ◽

Optimal Portfolios ◽

Proportional Transaction Costs

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Explicit Computations for Some Markov Modulated Counting Processes

Springer Proceedings in Mathematics & Statistics - Advanced Modelling in Mathematical Finance ◽

10.1007/978-3-319-45875-5_3 ◽

2016 ◽

pp. 63-89 ◽

Author(s):

Michel Mandjes ◽

Peter Spreij

Keyword(s):

Counting Processes ◽

Markov Modulated

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Gamma Kernels and BSS/LSS Processes

Springer Proceedings in Mathematics & Statistics - Advanced Modelling in Mathematical Finance ◽

10.1007/978-3-319-45875-5_2 ◽

2016 ◽

pp. 41-61

Author(s):

Ole E. Barndorff-Nielsen

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Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework

Springer Proceedings in Mathematics & Statistics - Advanced Modelling in Mathematical Finance ◽

10.1007/978-3-319-45875-5_20 ◽

2016 ◽

pp. 477-496 ◽

Author(s):

Fred Espen Benth

Keyword(s):

Commodity Markets ◽

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Estimation of Correlation Between Latent Processes

Springer Proceedings in Mathematics & Statistics - Advanced Modelling in Mathematical Finance ◽

10.1007/978-3-319-45875-5_6 ◽

2016 ◽

pp. 131-146 ◽

Author(s):

Akitoshi Kimura ◽

Nakahiro Yoshida

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