Mathematical finance

DOI10.1007/978-3-030-26106-1MaRDI QIDQ5233545zbMATH OpenOpenAlexFDO

Authors Ernst Eberlein, Jan Kallsen

Publication date 11 September 2019

Published in Springer Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-26106-1

zbMATH Keywords

mathematical financesemimartingalesstochastic analysiscalculus and control

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial applications of other theories (91G80)

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Cited in

(35)

• Review Paper. A survey of mathematical finance
• Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
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• scientific article; zbMATH DE number 1104309 (Why is no real title available?)
• Mean-variance hedging in the presence of estimation risk
• A multiple curve Lévy swap market model
• Mathematical methods for financial markets.
• scientific article; zbMATH DE number 7127342 (Why is no real title available?)
• Stochastic calculus of variations for jump processes
• Theoretical Foundations for Quantitative Finance
• Ranked masses in two-parameter Fleming–Viot diffusions
• Diffusion processes, jump processes, and stochastic differential equations
• Quantitative analysis in financial markets. Collected papers of the New York University Mathematical Finance Seminar. Vol. 3
• From probability to finance. Lecture notes of BICMR summer school on financial mathematics, Beijing International Center for Mathematical Research, Beijing, China, May 29 -- June 9, 2017
• scientific article; zbMATH DE number 847292 (Why is no real title available?)
• Mathematical Asset Management
• Optimal investment and consumption for financial markets with jumps under transaction costs
• scientific article; zbMATH DE number 5181830 (Why is no real title available?)
• scientific article; zbMATH DE number 1051049 (Why is no real title available?)
• Modern Problems of Financial Mathematics
• Financial Modelling with Jump Processes
• Fourier based methods for the management of complex life insurance products
• Handbooks in operations research and management science: Financial engineering
• The bilateral Gamma motion: calibration and option pricing
• Semimartingale price systems in models with transaction costs beyond efficient friction
• A general multivariate lifetime model with a multivariate additive process as conditional hazard rate increment process
• Ruin probabilities for a Sparre Andersen model with investments
• Finance, economics, and mathematics. With a foreword by Robert C. Merton
• ETF basket-adjusted covariance estimation
• Smiles \& smirks: volatility and leverage by jumps
• Asset Pricing, Financial Markets, and Linear Algebra
• Variable annuities in a Lévy-based hybrid model with surrender risk
• Lévy-Ito models in finance
• On uniqueness of solutions to martingale problems -- counterexamples and sufficient criteria
• Financial mathematics in discrete time

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