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

データ種別 電子ブック
出版者 Berlin, Heidelberg : Springer Berlin Heidelberg
出版年 2010
本文言語 英語
大きさ XVIII, 266 p : online resource

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URL 電子ブック


EB0125516

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内容注記 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
一般注記 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
著者標目 SpringerLink (Online service)
件 名 LCSH:Mathematics
LCSH:Game theory
LCSH:Economics, Mathematical
LCSH:Mathematical models
LCSH:Probabilities
LCSH:Public finance
FREE:Mathematics
FREE:Mathematical Modeling and Industrial Mathematics
FREE:Probability Theory and Stochastic Processes
FREE:Public Economics
FREE:Quantitative Finance
FREE:Game Theory, Economics, Social and Behav. Sciences
分 類 DC23:003.3
巻冊次 ISBN:9783642026089 REFWLINK
ISBN 9783642026089
URL http://dx.doi.org/10.1007/978-3-642-02608-9
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