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Optimality and Risk - Modern Trends in Mathematical Finance: The Kabanov Festschrift de Freddy Delbaen

Optimality and Risk - Modern Trends in Mathematical Finance: The Kabanov Festschrift

Editat de Freddy Delbaen, Miklós Rásonyi, Christophe Stricker
en Limba Engleză Paperback – 12 oct 2014
Problems of stochastic optimization and various mathematical aspects of risk are the main themes of this contributed volume. The readers learn about the recent results and techniques of optimal investment, risk measures and derivative pricing. There are also papers touching upon credit risk, martingale theory and limit theorems.
Forefront researchers in probability and financial mathematics have contributed to this volume paying tribute to Yuri Kabanov, an eminent researcher in probability and mathematical finance, on the occasion of his 60th birthday. The volume gives a fair overview of these topics and the current approaches.
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  Springer Berlin, Heidelberg – 12 oct 2014 36808 lei  38-44 zile
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Specificații

ISBN-13: 9783642425233
ISBN-10: 3642425232
Pagini: 284
Ilustrații: XVIII, 266 p.
Dimensiuni: 155 x 235 x 15 mm
Greutate: 0.4 kg
Ediția:2010
Editura: Springer Berlin, Heidelberg
Colecția Springer
Locul publicării:Berlin, Heidelberg, Germany

Public țintă

Research

Cuprins

On the Extension of the Namioka-Klee Theorem and on the Fatou Property for Risk Measures.- On Certain Distributions Associated with the Range of Martingales.- Differentiability Properties of Utility Functions.- Exponential Utility Indifference Valuation in a General Semimartingale Model.- The Expected Number of Intersections of a Four Valued Bounded Martingale with any Level May be Infinite.- Immersion Property and Credit Risk Modelling.- Optimal Consumption and Investment with Bounded Downside Risk for Power Utility Functions.- On Comparison Theorem and its Applications to Finance.- Examples of FCLT in Random Environment.- The Optimal Time to Exchange one Asset for Another on Finite Interval.- Arbitrage Under Transaction Costs Revisited.- On the Linear and Nonlinear Generalized Bayesian Disorder Problem (Discrete Time Case).- Long Time Growth Optimal Portfolio with Transaction Costs.- On the Approximation of Geometric Fractional Brownian Motion.

Textul de pe ultima copertă

Problems of stochastic optimization and various mathematical aspects of risk are the main themes of this contributed volume. The readers learn about the recent results and techniques of optimal investment, risk measures and derivative pricing. There are also papers touching upon credit risk, martingale theory and limit theorems.
Forefront researchers in probability and financial mathematics have contributed to this volume paying tribute to Yuri Kabanov, an eminent researcher in probability and mathematical finance, on the occasion of his 60th birthday. The volume gives a fair overview of these topics and the current approaches.

Caracteristici

Yuri Kabanov is one of the leading figures in mathematical finance, this book is a tribute to his achievements in this area and in probability in general Includes supplementary material: sn.pub/extras