Jan Kallsen Livres

Focusing on continuous-time stochastic processes with jumps, this book offers a clear introduction to stochastic calculus and the control of semimartingales. It covers essential concepts in Mathematical Finance, including arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modeling. By connecting introductory materials with advanced literature, it serves as a valuable resource for readers seeking to deepen their understanding of financial mathematics.

This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 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 Eberlein’s 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.