Contemporary Quantitative Finance : Essays in Honour of Eckhard Platen

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. Front Matter....Pages I-X Probabilistic Aspects of Arbitrage....Pages 1-17 Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing....Pages 19-34 M 6 —On Minimal Market Models and Minimal Martingale Measures....Pages 35-51 The Economic Plausibility of Strict Local Martingales in Financial Modelling....Pages 53-75 A Remarkable σ -finite Measure Associated with Last Passage Times and Penalisation Problems....Pages 77-97 Pricing Without Equivalent Martingale Measures Under Complete and Incomplete Observation....Pages 99-121 Existence and Non-uniqueness of Solutions for BSDE....Pages 123-134 Comparison Theorems for Finite State Backward Stochastic Differential Equations....Pages 135-158 Results on Numerics for FBSDE with Drivers of Quadratic Growth....Pages 159-182 Variance Swap Portfolio Theory....Pages 183-194 Stochastic Partial Differential Equations and Portfolio Choice....Pages 195-216 Issuers’ Commitments Would Add More Value than Any Rating Scheme Could Ever Do....Pages 217-229 Pricing and Hedging of CDOs: A Top Down Approach....Pages 231-253 Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives....Pages 255-280 Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms....Pages 281-315 Buy Low and Sell High....Pages 317-333 Continuity Theorems in Boundary Crossing Problems for Diffusion Processes....Pages 335-351 Binomial Models for Interest Rates....Pages 353-368 Lognormal Forward Market Model (LFM) Volatility Function Approximation....Pages 369-405 Maximum Likelihood Estimation for Integrated Diffusion Processes....Pages 407-423 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. The contributors to this volume have written a series of articles outlining contemporary advances in a number of key areas of mathematical finance such as, optimal control theory applied to finance, interests 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 contains 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. --Book Jacket