Advances in Finance and Stochastics

1. Front Matter

   Pages I-XIX

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2. Coherent Risk Measures on General Probability Spaces

   • Freddy Delbaen

   Pages 1-37

3. Robust Preferences and Convex Measures of Risk

   • Hans Föllmer, Alexander Schied

   Pages 39-56

4. Long Head-Runs and Long Match Patterns

   • Paul Embrechts, Sergei Y. Novak

   Pages 57-69

5. Factor Pricing in Multidate Security Markets

   • Jan Werner

   Pages 71-84

6. Option Pricing for Co-Integrated Assets

   • Jin-Chuan Duan, Stanley R. Pliska

   Pages 85-99

7. Incomplete Diversification and Asset Pricing

   • Dilip B. Madan, Frank Milne, Robert J. Elliott

   Pages 101-124

8. Hedging of Contingent Claims under Transaction Costs

   • Yuri M. Kabanov, Christophe Stricker

   Pages 125-136

9. Risk Management for Derivatives in Illiquid Markets: A Simulation Study

   • Rüdiger Frey, Pierre Patie

   Pages 137-159

10. A Simple Model of Liquidity Effects

    • L.-C.-G. Rogers, Omar Zane

    Pages 161-176

11. Estimation in Models of the Instantaneous Short Term Interest Rate by Use of a Dynamic Bayesian Algorithm

    • Ramaprasad Bhar, Carl Chiarella, Wolfgang J. Runggaldier

    Pages 177-195

12. Arbitrage-Free Interpolation in Models of Market Observable Interest Rates

    • Erik Schlögl

    Pages 197-218

13. The Fair Premium of an Equity—Linked Life and Pension Insurance

    • J. Aase Nielsen, Klaus Sandmanne

    Pages 219-255

14. On Bermudan Options

    • Martin Schweizer

    Pages 257-270

15. A Barrier Version of the Russian Option

    • Larry A. Shepp, Albert N. Shiryaev, Agnes Sulem

    Pages 271-284

16. Laplace Transforms and Suprema of Stochastic Processes

    • Klaus Schürger

    Pages 285-294

17. Solving the Poisson Disorder Problem

    • Goran Peskir, Albert N. Shiryaev

    Pages 295-312

In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. Advances in Finance and Stochastics contains a collection of original articles by a number of highly distinguished authors on research topics that are currently in the focus of interest of both academics and practitioners. The topics span risk management, portfolio theory and multi-asset derivatives, market imperfections, interest-rate modelling and exotic options.

• Arbitrage
• Finance
• Hedging
• Measure
• Probability space
• Stochastic Processes
• disorder problem
• modeling
• stochastic process
• quantitative finance

From the reviews:

"This book marks the 65th birthday of Dieter Sondermann, the founding editor of the journal Finance and Stochastics. … There is a great variety of papers contained in this book and all at a high level. Certainly there is something for everyone interested in financial mathematics here, ranging from theoretical through to applied works and covering most of the branches in the field. … This is an excellent collection which I will enjoy making use of in the years to come." (Andrew Cairns, ASTIN Bulletin, Vol. 32 (2), 2002)

• Lehrstuhl für Bankbetriebslehre, Johannes Gutenberg-Universität Mainz, Mainz, Germany

  Klaus Sandmann

• Inst. f. Gesellschafts- u. Wirtschaftswissenschaften Statistische Abteilung, Rheinische Friedrich-Wilhelms-Universität Bonn, Bonn, Germany

  Philipp J. Schönbucher

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