Stochastic Finance [electronic resource] / edited by A. N. Shiryaev, M. R. Grossinho, P. E. Oliveira, M. L. Esquível.

Plenary and Invited Lectures -- How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise -- Multipower Variation and Stochastic Volatility -- Completeness of a General Semimartingale Market under Constrained Trading -- Extremal behavior of stochastic volatility models -- Capital Asset Pricing for Markets with Intensity Based Jumps -- Mortgage Valuation and Optimal Refinancing -- Computing efficient hedging strategies in discontinuous market models -- A Downside Risk Analysis based on Financial Index Tracking Models -- Contributed Talks -- Modelling electricity prices by the potential jump-diffusion -- Finite dimensional Markovian realizations for forward price term structure models -- Good Portfolio Strategies under Transaction Costs: A Renewal Theoretic Approach -- Power and Multipower Variation: inference for high frequency data.

Ever since Black, Scholes, and Merton did their pioneering work in the field of financial mathematics, continuing research has led to the rapid development of a substantial body of knowledge, with numerous applications to the common functioning of the world’s financial institutions. Mathematics, as the language of science, has always played a role in the development of knowledge and technology. Presently, the high-tech character of modern business has increased the need for advanced methods, which rely to a large extent on mathematical techniques. It has become essential for the financial analyst to possess a high degree of proficiency in these mathematical techniques. The essays in Stochastic Finance describe many of these techniques. Audience This book is intended for experts in mathematics, statistics, mathematical finances, and economics.