Kabanov, Yuri
From Stochastic Calculus to Mathematical Finance
1. On Numerical Approximation of Stochastic Burgers' Equation
Aureli Alabert, István Gyongy
2. Optimal Time to Invest under Tax Exemptions
Vadim I. Arkin, Alexander D. Slastnikov
3. A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales
Ole E. Barndorff–Nielsen, Svend Erik Graversen, Jean Jacod, Mark Podolskij, Neil Shephard
4. Interplay between Distributional and Temporal Dependence. An Empirical Study with High-frequency Asset Returns
Nick H. Bingham, Rafael Schmidt
5. Asymptotic Methods for Stability Analysis of Markov Dynamical Systems with Fast Variables
Jevgenijs Carkovs, Jordan Stoyanov
6. Some Particular Problems of Martingale Theory
Alexander Cherny
7. On the Absolute Continuity and Singularity of Measures on Filtered Spaces: Separating Times
Alexander Cherny, Mikhail Urusov
8. Optimal Hedging with Basis Risk
Mark H. A. Davis
9. Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands
Bernard Delyon, Anatoly Juditsky, Robert Liptser
10. Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization
Giovanni B. Masi, Lukasz Stettner
11. On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes
Hans-Jürgen Engelbert, Vladimir P. Kurenok, Adrian Zalinescu
12. A Note on Pricing, Duality and Symmetryfor Two-Dimensional Lévy Markets
José Fajardo, Ernesto Mordecki
13. Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach
Dario Gasbarra, Esko Valkeila, Lioudmila Vostrikova
14. A Minimax Result for
Alexander A. Gushchin, Denis A. Zhdanov
15. Impulse and Absolutely Continuous Ergodic Control of One-Dimensional Itô Diffusions
Andrew Jack, Mihail Zervos
16. A Consumption–Investment Problem with Production Possibilities
Yuri Kabanov, Masaaki Kijima
17. Multiparameter Generalizations of the Dalang–Morton– Willinger Theorem
Yuri Kabanov, Yuliya Mishura, Ludmila Sakhno
18. A Didactic Note on Affine Stochastic Volatility Models
Jan Kallsen
19. Uniform Optimal Transmission of Gaussian Messages
Pavel K. Katyshev
20. A Note on the Brownian Motion
Kiyoshi Kawazu
21. Continuous Time Volatility Modelling: COGARCH versus Ornstein–Uhlenbeck Models
Claudia Klüppelberg, Alexander Lindner, Ross Maller
22. Tail Distributions of Supremum and Quadratic Variation of Local Martingales
Robert Liptser, Alexander Novikov
23. Stochastic Differential Equations: A Wiener Chaos Approach
Sergey Lototsky, Boris Rozovskii
24. A Martingale Equation of Exponential Type
Michael Mania, Revaz Tevzadze
25. On Local Martingale and its Supremum:Harmonic Functions and beyond
Jan Oblój, Marc Yor
26. On the Fundamental Solution of the Kolmogorov–Shiryaev Equation
Goran Peskir
27. Explicit Solution to an Irreversible Investment Model with a Stochastic Production Capacity
Huyên Pham
28. Gittins Type Index Theorem for Randomly Evolving Graphs
Ernst Presman, Isaac Sonin
29. On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models
Miklós Résonyi, Lukasz Stettner
30. The Optimal Stopping of a Markov Chain and Recursive Solution of Poisson and Bellman Equations
Isaac M. Sonin
31. On Lower Bounds for Mixing Coefficients of Markov Diffusions
A.Yu. Veretennikov
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Keywords: MATHEMATICS / General MAT000000
- Author(s)
- Kabanov, Yuri
- Liptser, Robert
- Stoyanov, Jordan
- Publisher
- Springer
- Publication year
- 2006
- Language
- en
- Edition
- 1
- Category
- Natural Sciences
- Format
- Ebook
- eISBN (PDF)
- 9783540307884