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From Stochastic Calculus to Mathematical Finance

The Shiryaev Festschrift
BuchKartoniert, Paperback
633 Seiten
Englisch
Springererschienen am14.10.2010
Dedicated to the eminent Russian mathematician Albert Shiryaev on the occasion of his 70th birthday, the Festschrift is a collection of papers, including several surveys, written by his former students, co-authors and colleagues.mehr
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EUR53,49
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Produkt

KlappentextDedicated to the eminent Russian mathematician Albert Shiryaev on the occasion of his 70th birthday, the Festschrift is a collection of papers, including several surveys, written by his former students, co-authors and colleagues.
Zusammenfassung
Includes supplementary material: sn.pub/extras
Details
ISBN/GTIN978-3-642-06803-4
ProduktartBuch
EinbandartKartoniert, Paperback
Verlag
Erscheinungsjahr2010
Erscheinungsdatum14.10.2010
Seiten633 Seiten
SpracheEnglisch
Gewicht1002 g
IllustrationenXXXVII, 633 p.
Artikel-Nr.10181164

Inhalt/Kritik

Inhaltsverzeichnis
On Numerical Approximation of Stochastic Burgers' Equation.- Optimal Time to Invest under Tax Exemptions.- A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales.- Interplay between Distributional and Temporal Dependence. An Empirical Study with High-frequency Asset Returns.- Asymptotic Methods for Stability Analysis of Markov Dynamical Systems with Fast Variables.- Some Particular Problems of Martingale Theory.- On the Absolute Continuity and Singularity of Measures on Filtered Spaces: Separating Times.- Optimal Hedging with Basis Risk.- Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands.- Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization.- On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes.- A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets.- Enlargement of Filtration and Additional Information in Pricing Models: BayesianApproach.- A Minimax Result for f-Divergences.- Impulse and Absolutely Continuous Ergodic Control of One-Dimensional Itô Diffusions.- A Consumption-Investment Problem with Production Possibilities.- Multiparameter Generalizations of the Dalang-Morton- Willinger Theorem.- A Didactic Note on Affine Stochastic Volatility Models.- Uniform Optimal Transmission of Gaussian Messages.- A Note on the Brownian Motion.- Continuous Time Volatility Modelling: COGARCH versus Ornstein-Uhlenbeck Models.- Tail Distributions of Supremum and Quadratic Variation of Local Martingales.- Stochastic Differential Equations: A Wiener Chaos Approach.- A Martingale Equation of Exponential Type.- On Local Martingale and its Supremum: Harmonic Functions and beyond.- On the Fundamental Solution of the Kolmogorov-Shiryaev Equation.- Explicit Solution to an Irreversible Investment Model with a Stochastic Production Capacity.- Gittins Type Index Theorem for Randomly Evolving Graphs.- On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models.- The Optimal Stopping of a Markov Chain and Recursive Solution of Poisson and Bellman Equations.- On Lower Bounds for Mixing Coefficients of Markov Diffusions.mehr

Schlagworte