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Optimality and Risk - Modern Trends in Mathematical Finance: The Kabanov Festschriftby Freddy (edt) Delbaen
Synopses & Reviews
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.
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.
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