Banach center publications. Vol.104: Advances in mathematics of finance / ed. by A.Palczewski, Ł.Stettner - Warszawa: Inst. mat. PAN, 2015. - 199 p.: ill. - Bibliogr. at the end of the art. - ISBN 978-83-86806-27-0; ISSN 0137-6934  Место хранения:   02 | Отделение ГПНТБ СО РАН | Новосибирск

Оглавление / Contents

S. Ankirchner and T. Kruse, Optimal position targeting with stochastic linear-quadratic costs ......................... 9-24 О.E. Barndorff-Nielsen, F.E. Benth and A.E.D. Veraart, Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency ........ 25-60 M. Barski, Incompleteness of the bond market with Levy noise under the physical measure ......................... 61-84 S. Gerhold, J.F. Morgenbesser and A. Zrunek, Refined wing asymptotics for the Merton and Kou jump diffusion models ................................................... 85-94 E. Hoyle, L.P. Hughston and A. Macrina, Stable-1/2 bridges and insurance ................................... 95-120 M. Jeanblanc, R. M. łochowski and W. Szatzschneider, Full cooperation applied to environmental improvements ...... 121-131 O. Kley, С. Klüppelberg and L. Reichel, Systemic risk through contagion in a core-periphery structured banking network ........................................ 133-149 Yu. Mishura, The rate of convergence of option prices when general martingale discrete-time scheme approximates the Black-Scholes model ................... 151-165 M. Rásonyi and J.G. Rodríguez-Villarreal, Optimal investment under behavioural criteria - a dual approach ............................................... 167-180 P. Salminen and B.Q. Ta, Differentiability of excessive functions of one-dimensional diffusions and the principle of smooth fit ................................ 181-199