Optimality and Risk - Modern Trends in Mathematical Finance: The Kabanov Festschrift - Freddy Delbaen - Grāmatas - Springer-Verlag Berlin and Heidelberg Gm - 9783642026072 - 2009. gada 21. oktobris
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Freddy Delbaen
Optimality and Risk - Modern Trends in Mathematical Finance: The Kabanov Festschrift 2010 edition

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Problems of stochastic optimization and various mathematical aspects of risk are the main themes of this contributed volume.

Marc Notes: To Yuri Kabanov, to celebrate his 60th birthday--P. [v].; Includes bibliographical references. Table of Contents: On the Extension of the Namioka-Klee Theorem and on the Fatou Property for Risk Measures.- On Certain Distributions Associated withtheRange of Martingales.- Differentiability Properties of Utility Functions.- Exponential Utility Indifference Valuation inaGeneral Semimartingale Model.- The Expected Number of Intersections ofaFourValuedBoundedMartingale withanyLevelMay be Infinite.- Immersion Property and Credit Risk Modelling.- Optimal Consumption and Investment withBounded Downside Risk forPowerUtilityFunctions.- On Comparison Theorem and its Applications toFinance.- Examples of FCLT in Random Environment.- The Optimal Time to Exchange one Asset forAnother 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 withTransaction Costs.- On the Approximation of Geometric Fractional Brownian Motion."Jacket Description/Back: 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.

Mediji Grāmatas     Hardcover Book   (Grāmata ar cieto muguriņu un vāku)
Izlaists 2009. gada 21. oktobris
ISBN13 9783642026072
Izdevēji Springer-Verlag Berlin and Heidelberg Gm
Žanrs Aspects (Academic) > Business Aspects
Lapas 266
Izmēri 155 × 235 × 17 mm   ·   576 g
Valoda Franču  
Redaktors Delbaen, Freddy
Redaktors Rasonyi, Miklos
Redaktors Stricker, Christophe

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