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This Festschrift resulted from a workshop on "Advanced Modelling in
Mathematical Finance" held in honour of Ernst Eberlein's 70th
birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes
contributions by several invited speakers at the workshop,
including several of Ernst Eberlein's long-standing collaborators
and former students. Advanced mathematical techniques play an
ever-increasing role in modern quantitative finance. Written by
leading experts from academia and financial practice, this book
offers state-of-the-art papers on the application of jump processes
in mathematical finance, on term-structure modelling, and on
statistical aspects of financial modelling. It is aimed at graduate
students and researchers interested in mathematical finance, as
well as practitioners wishing to learn about the latest
developments.
Taking continuous-time stochastic processes allowing for jumps as
its starting and focal point, this book provides an accessible
introduction to the stochastic calculus and control of
semimartingales and explains the basic concepts of Mathematical
Finance such as arbitrage theory, hedging, valuation principles,
portfolio choice, and term structure modelling. It bridges thegap
between introductory texts and the advanced literature in the
field. Most textbooks on the subject are limited to diffusion-type
models which cannot easily account for sudden price movements. Such
abrupt changes, however, can often be observed in real markets. At
the same time, purely discontinuous processes lead to a much wider
variety of flexible and tractable models. This explains why
processes with jumps have become an established tool in the
statistics and mathematics of finance. Graduate students,
researchers as well as practitioners will benefit from this
monograph.
This Festschrift resulted from a workshop on "Advanced Modelling in
Mathematical Finance" held in honour of Ernst Eberlein's 70th
birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes
contributions by several invited speakers at the workshop,
including several of Ernst Eberlein's long-standing collaborators
and former students. Advanced mathematical techniques play an
ever-increasing role in modern quantitative finance. Written by
leading experts from academia and financial practice, this book
offers state-of-the-art papers on the application of jump processes
in mathematical finance, on term-structure modelling, and on
statistical aspects of financial modelling. It is aimed at graduate
students and researchers interested in mathematical finance, as
well as practitioners wishing to learn about the latest
developments.
Taking continuous-time stochastic processes allowing for jumps as
its starting and focal point, this book provides an accessible
introduction to the stochastic calculus and control of
semimartingales and explains the basic concepts of Mathematical
Finance such as arbitrage theory, hedging, valuation principles,
portfolio choice, and term structure modelling. It bridges thegap
between introductory texts and the advanced literature in the
field. Most textbooks on the subject are limited to diffusion-type
models which cannot easily account for sudden price movements. Such
abrupt changes, however, can often be observed in real markets. At
the same time, purely discontinuous processes lead to a much wider
variety of flexible and tractable models. This explains why
processes with jumps have become an established tool in the
statistics and mathematics of finance. Graduate students,
researchers as well as practitioners will benefit from this
monograph.
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