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.

Includes supplementary material: sn.pub/extras

Autorentext
Philipp J. Schönbucher is Assistant Professor for Risk Management in the Mathematics Department at ETH Zurich. He has been an active researcher in the areas of credit risk modelling and credit derivatives pricing for the past seven years. His contributions include models for the term structure of credit spreads and the dynamic copula-approach for portfolio credit risk. Through his activities in training and consulting on credit derivatives he has gained valuable insights into the usability, strengths and weaknesses of the different credit derivatives pricing models in a practical context.
Dr. Schönbucher holds a M.Sc. in mathematics from Oxford University, and diploma and a Ph.D in economics from Bonn University.

Inhalt
Coherent Risk Measures on General Probability Spaces.- Robust Preferences and Convex Measures of Risk.- Long HeadRuns and Long Match Patterns.- Factor Pricing in Multidate Security Markets.- Option Pricing for Co-Integrated Assets.- Incomplete Diversification and Asset Pricing.- Hedging of Contingent Claims under Transaction Costs.- Risk Management for Derivatives in Illiquid Markets: A Simulation Study.- A Simple Model of Liquidity Effects.- Estimation in Models of the Instantaneous Short Term Interest Rate by Use of a Dynamic Bayesian Algorithm.- ArbitrageFree Interpolation in Models of Market Observable Interest Rates.- The Fair Premium of an EquityLinked Life and Pension Insurance.- On Bermudan Options.- A Barrier Version of the Russian Option.- Laplace Transforms and Suprema of Stochastic Processes.- Solving the Poisson Disorder Problem.