Optimality and risk - modern trends in mathematical finance : the Kabanov festschrift
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, marting...
Enregistré dans:
| Hovedforfatter: | |
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| Andre forfattere: | , |
| Format: | Livre numérique |
| Sprog: | Anglais |
| Udgivet: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
2010.
Cham : Springer Nature |
| Online adgang: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Kommentar: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Optimality and Risk - Modern Trends in Mathematical Finance, The Kabanov Festschrift, Freddy Delbaen, Miklos Rasonyi, Christophe Stricker, 2009, Berlin, Springer Verlag, 1 vol. (XVIII-266p.), 978-3-642-02607-2 • Optimality and Risk - Modern Trends in Mathematical Finance, Texte imprimé, 9783642026096 • Optimality and Risk - Modern Trends in Mathematical Finance, Texte imprimé, 9783642425233 |
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| 020 | |a 9783642026089 | ||
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| 100 | 1 | |a Delbaen, Freddy. | |
| 245 | 1 | 0 | |a Optimality and risk - modern trends in mathematical finance : |b the Kabanov festschrift |c Freddy Delbaen, Miklós Rásonyi, Christophe Stricker, Editors. |
| 260 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg. | ||
| 260 | |a Cham : |b Springer Nature, |c 2010. | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 505 | 0 | |a 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. | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. chttps://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a 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. | ||
| 700 | 1 | |a Delbaen, Freddy. |4 pbd | |
| 700 | 1 | |a Rásonyi, Miklós. |4 pbd | |
| 700 | 1 | |a Stricker, Christophe. |4 pbd | |
| 760 | 0 | |t Mathematics and Statistics | |
| 776 | 0 | |0 137843119 |t Optimality and Risk - Modern Trends in Mathematical Finance |o The Kabanov Festschrift |f Freddy Delbaen, Miklos Rasonyi, Christophe Stricker |d 2009 |c Berlin |n Springer Verlag |p 1 vol. (XVIII-266p.) |z 978-3-642-02607-2 | |
| 776 | 0 | |t Optimality and Risk - Modern Trends in Mathematical Finance |b Texte imprimé |z 9783642026096 | |
| 776 | 0 | |t Optimality and Risk - Modern Trends in Mathematical Finance |b Texte imprimé |z 9783642425233 | |
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