Titlebook: Inspired by Finance; The Musiela Festschr Yuri Kabanov,Marek Rutkowski,Thaleia Zariphopoulou Book 2014 Springer International Publishing Sw

AGGER

残暴

,Some Extensions of Norros’ Lemma in Models with Several Defaults,erization of the filtration immersion properties in terms of the terminal values of compensators of the associated default processes. The method of proof is based on the analysis of properties of exponential martingales associated with the default times.

arrogant

978-3-319-35029-5Springer International Publishing Switzerland 2014

无表情

https://doi.org/10.1007/978-3-319-02069-391GXX, 91G10, 91G20, 91G30, 91G40, 91G80; arbitrage pricing; credit risk; exotic options; financial deri

OFF

Conflict

丑恶

Optimal Investment with Bounded VaR for Power Utility Functions,We consider an optimal investment problem for Black–Scholes type financial market with bounded VaR measure on the whole investment interval [0,.]. The explicit form for the optimal strategies is found.

BROOK

accordance

,Forward Start Foreign Exchange Options Under Heston’s Volatility and the CIR Interest Rates,d start foreign exchange European call option. As was argued in Ahlip and Rutkowski (Quant. Finance 13:955–966, .), the setup examined here is the only analytically tractable version of the foreign exchange market model that combines the Heston stochastic volatility model for the exchange rate with the CIR dynamics for interest rates.

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