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

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Synopses & Reviews

Publisher Comments:

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.

Synopsis:

Yuri Kabanov is one of the leading figures in mathematical finance. To mark his 60th birthday, this book pays tribute to his achievements in this area and in probability in general. The volume gives a fair overview of these topics and the current approaches.

Table of Contents

E. Presman, I. Sonin, Ch. Stricker: Preface.- S. Biagini and M. Frittelli: On the extension of the Namioka-Klee theorem and on the Fatou property for Risk Measures.- Al. Cherny and B. Dupire: On Certain Distributions Associated with the Range of Martingales.- F. Delbaen: Differentiability Properties of Utility Functions.- Ch. Frei and M. Schweizer: Exponential utility indifference valuation in a general semimartingale model.- Al. Gordon and Is. M. Sonin: The expected number of intersections of a four valued bounded martingale with any level may be infinite.- M. Jeanblanc and Ya. Le Cam: Immersion Property and Credit Risk Modelling.- C. Klüppelberg and S. Pergamenchtchikov: Optimal consumption and investment with bounded downside risk for power utility functions.- V. Yu. Krasin and Al. V. Melnikov: On Comparison Theorem and its Applications to Finance.- R. Liptser: Examples of FCLT in random environment.- Yu. Mishura and G. Shevchenko: The optimal time to exchange one asset for another on finite interval.- M. Rásonyi: Arbitrage under transaction costs revisited.- Al. N. Shiryaev, P. Y. Zryumov: On the linear and nonlinear generalized Bayesian disorder problem (discrete time case).- L. Stettner: Long time growth optimal portfolio with transaction costs.- Es. Valkeila: On the approximation of geometric fractional Brownian motion.

Product Details

ISBN:
9783642026072
Author:
Delbaen, Freddy (edt)
Publisher:
Springer
Editor:
Delbaen, Freddy
Editor:
Rasonyi, Mikla3s
Editor:
Stricker, Christophe
Author:
Delbaen
Author:
Stricker, Christophe
Author:
Rásonyi, Miklós
Author:
Freddy
Author:
Delbaen, Freddy
Location:
Berlin, Heidelberg
Subject:
Finance
Subject:
Game Theory
Subject:
Probability & Statistics - General
Subject:
Business-Accounting and Finance
Subject:
91B28, 60-06, 91-06
Subject:
Mathematical finance
Subject:
optimal investment
Subject:
risk measures
Subject:
Quantitative Finance
Subject:
Game Theory, Economics, Social and Behav. Sciences
Subject:
Probability Theory a
Subject:
nd Stochastic Processes
Subject:
Probability Theory and Stochastic Processes
Subject:
Applied
Subject:
Mathematics
Subject:
B
Subject:
mathematics and statistics
Subject:
Distribution (Probability theory)
Copyright:
Edition Description:
2010
Publication Date:
20091014
Binding:
HARDCOVER
Language:
English
Pages:
284
Dimensions:
235 x 155 mm 1280 gr

Related Subjects

Business » Accounting and Finance
Engineering » Civil Engineering » General
Science and Mathematics » Chemistry » General
Science and Mathematics » Mathematics » Applied
Science and Mathematics » Mathematics » Econometrics
Science and Mathematics » Mathematics » Modeling
Science and Mathematics » Mathematics » Probability and Statistics » General
Science and Mathematics » Mathematics » Probability and Statistics » Statistics

Optimality and Risk - Modern Trends in Mathematical Finance: The Kabanov Festschrift New Hardcover
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Product details 284 pages Springer - English 9783642026072 Reviews:
"Synopsis" by , Yuri Kabanov is one of the leading figures in mathematical finance. To mark his 60th birthday, this book pays tribute to his achievements in this area and in probability in general. The volume gives a fair overview of these topics and the current approaches.
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