Advanced Modelling in Mathematical Finance In Honour of Ernst Eberlein [Paperback]

This Festschrift resulted from a workshop on Advanced Modelling in Mathematical Finance held in honour of Ernst Eberleins 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberleins long-standing collaborators and former students.

Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.

Preface.- ToC.- An Interview with Ernst Eberlein.- Part I: Flexible L?vy-based models. Ernst August v. Hammerstein: Tail behaviour and tail dependence of generalized hyperbolic distributions.- Ole Barndorff-Nielsen: Gamma kernels and BSS/LSS processes.- Michael Mandjes and Peter Spreij: Explicit computations for some Markov modulated counting processes.- Part II: Statistics and risk.- Helyette Geman and Bo Liu: The outlook of energy markets in 2015: introducing distances between forward curves.- Dilip Madan: Three non-Gaussian models of dependence in returns.- Akitoshi Kimura and Nakahiro Yoshida:  Estimation of correlation between latent processes.- Jan Beirlant, Wim Schoutens, Jan De Spiegeleer, Tom Reynkens, and Klaus Herrmann: Hunting for black swans in the European banking sector using extreme value analysis.- Eva L?tkebohmert-Holtz and Yajun Xiao: Collateralized borrowing and default risk.-