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Kabanov, Yuri

From Stochastic Calculus to Mathematical Finance

Kabanov, Yuri - From Stochastic Calculus to Mathematical Finance, ebook

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ISBN: 9783540307884
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Table of contents

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 f-Divergences
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)
 
 
Publisher
Springer
Publication year
2006
Language
en
Edition
1
Category
Natural Sciences
Format
Ebook
eISBN (PDF)
9783540307884

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