Titlebook: Mathematical Finance; Workshop of the Math Michael Kohlmann,Shanjian Tang Conference proceedings 2001 Springer Basel AG 2001 Finite.Mathema

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,Option Pricing and Hedging Under Regular Lévy Processes of Exponential Type,sses of Koponen’s family. We show that infinitesimal generators of these processes and corresponding generalized Black-Scholes equations enjoy common fairly favorable features from the point of view of the theory of pseudo-differential operators, and these properties are independent of a choice of a

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Installment Options and Static Hedging,nts are paid the holder receives the exercise value, but the holder has the right to terminate payments on any payment date, in which case the option lapses with no further payments on either side. We discuss pricing and risk management for these options, in particular the use of static hedges to ob

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Fractional Brownian Motion and Financial Modelling,r results extend recent contributions by Hu, Oksendal, Duncan, Pasik-Duncan and others. As an application we develop option pricing in a fractional Black-Scholas market with a noise process driven by a sum of fractional Brownian motions with various Hurst indices.

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Stochastic Volatility and Epsilon-Martingale Decomposition,volatility is stochastic but fast mean reverting Black-Scholes pricing theory can be corrected. The correction accounts for the effect of stochastic volatility and the associated market price of risk. For European derivatives it is given by explicit formulas which involve parsimonous parameters dire

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Mutual Debts Compensation as Graph Theory Problem,ors proposed graph theory application in solution of the problem. Creditor - debtor relationship is modelled by a digraf of unpayable debts..y), where the set of vertices V represents the firms and the set of edges E represents the creditor—debtor relationship. Function y assigns positive value of d

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圣歌

Passport Options Outside the Black Scholes World,lts have been proved for diffusion models. In this paper, we extend passport option theory to two areas where traditional constant volatility models are not sufficient. We first consider equity passport options using a stochastic volatility model and second, provide a new class of hedging strategies

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New Developments in Backward Stochastic Riccati Equations and Their Applications, The existence and uniqueness of a global adapted solution to a BSRDE has been open for the case Di # 0 for more than two decades. Recently, we have made a breakthrough on this problem. On this topic, the literature is reviewed, and our recent results are surveyed. Finally, applications are outlined