Generalised optimal stopping problems and financial markets:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Harlow
Longman
1996
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | Pitman research notes in mathematics series
358 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 114 S. |
| ISBN: | 0582304008 |
Internformat
MARC
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| 245 | 1 | 0 | |a Generalised optimal stopping problems and financial markets |c Dennis Wong |
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| 264 | 1 | |a Harlow |b Longman |c 1996 | |
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| 650 | 4 | |a Optimal stopping (Mathematical statistics) | |
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Datensatz im Suchindex
| _version_ | 1804125680140550144 |
|---|---|
| adam_text | Contents
1 Preliminary 1
1.1 Probability Space 1
1.2 Stochastic Processes and Filtration 2
1.3 Adapted Processes and Stopping Times 4
1.4 Concepts Relating to Martingales 6
1.5 Levy Processes 8
1.6 Elementary Stochastic Calculus 10
1.7 Classical Optimal Stopping Problems 15
2 Optimal Stopping Problems 19
2.1 Introduction 19
2.2 Basic Properties and Definitions 20
2.3 Essential Supremum 21
2.4 Supremum Measure 23
2.5 Generalised Envelopes 29
2.6 Regularity of the Envelopes 36
2.7 Lagrange Multipliers 50
2.8 Special Cases of the Stopping Region 55
3 Financial Markets 59
3.1 Introduction 59
3.2 The Financial Market Model 60
3.3 Probabilistic Setting 61
3.4 Portfolio, Consumption and Wealth 62
3.5 Auxiliary Probability Measure 66
3.6 Admissible Strategies 68
4 Options A General View 73
4.1 Introduction 73
4.2 Options: Constrained Exercise Times 74
4.2.1 European Options 74
4.2.2 American Options 75
4.3 Options: Constrained Portfolios in M. 76
4.4 Options: Path Dependent 77
5 Options Constrained Exercise Times 79
5.1 Basic Setting 79
5.2 Hedging Strategy and Fair Price 81
5.2.1 Pricing an European Option 87
5.2.2 Pricing an American Option 90
5.3 Early Exercise Premium 92
5.4 Gittens Index Processes 93
6 Options Constrained Portfolios in M 101
6.1 Introduction 101
6.2 if Constrained Portfolio Option 104
|
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| classification_tum | MAT 605f MAT 902f |
| ctrlnum | (OCoLC)35243447 (DE-599)BVBBV011184726 |
| dewey-full | 332/.0412 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332/.0412 |
| dewey-search | 332/.0412 |
| dewey-sort | 3332 3412 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 1. publ. |
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| genre_facet | Konferenzschrift |
| id | DE-604.BV011184726 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T18:05:24Z |
| institution | BVB |
| isbn | 0582304008 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007500491 |
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| physical | 114 S. |
| publishDate | 1996 |
| publishDateSearch | 1996 |
| publishDateSort | 1996 |
| publisher | Longman |
| record_format | marc |
| series | Pitman research notes in mathematics series |
| series2 | Pitman research notes in mathematics series |
| spelling | Wong, Dennis Verfasser aut Generalised optimal stopping problems and financial markets Dennis Wong 1. publ. Harlow Longman 1996 114 S. txt rdacontent n rdamedia nc rdacarrier Pitman research notes in mathematics series 358 Kapitaalmarkt gtt Optimaliseren gtt Pesquisa operacional larpcal Statistische methoden gtt Stoptijden (wiskunde) gtt Capital market Statistical methods Optimal stopping (Mathematical statistics) Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Optimales Stoppen (DE-588)4230259-6 gnd rswk-swf (DE-588)1071861417 Konferenzschrift gnd-content Kapitalmarkt (DE-588)4029578-3 s Stochastisches Modell (DE-588)4057633-4 s Optimales Stoppen (DE-588)4230259-6 s DE-604 Pitman research notes in mathematics series 358 (DE-604)BV000022845 358 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007500491&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Wong, Dennis Generalised optimal stopping problems and financial markets Pitman research notes in mathematics series Kapitaalmarkt gtt Optimaliseren gtt Pesquisa operacional larpcal Statistische methoden gtt Stoptijden (wiskunde) gtt Capital market Statistical methods Optimal stopping (Mathematical statistics) Stochastisches Modell (DE-588)4057633-4 gnd Kapitalmarkt (DE-588)4029578-3 gnd Optimales Stoppen (DE-588)4230259-6 gnd |
| subject_GND | (DE-588)4057633-4 (DE-588)4029578-3 (DE-588)4230259-6 (DE-588)1071861417 |
| title | Generalised optimal stopping problems and financial markets |
| title_auth | Generalised optimal stopping problems and financial markets |
| title_exact_search | Generalised optimal stopping problems and financial markets |
| title_full | Generalised optimal stopping problems and financial markets Dennis Wong |
| title_fullStr | Generalised optimal stopping problems and financial markets Dennis Wong |
| title_full_unstemmed | Generalised optimal stopping problems and financial markets Dennis Wong |
| title_short | Generalised optimal stopping problems and financial markets |
| title_sort | generalised optimal stopping problems and financial markets |
| topic | Kapitaalmarkt gtt Optimaliseren gtt Pesquisa operacional larpcal Statistische methoden gtt Stoptijden (wiskunde) gtt Capital market Statistical methods Optimal stopping (Mathematical statistics) Stochastisches Modell (DE-588)4057633-4 gnd Kapitalmarkt (DE-588)4029578-3 gnd Optimales Stoppen (DE-588)4230259-6 gnd |
| topic_facet | Kapitaalmarkt Optimaliseren Pesquisa operacional Statistische methoden Stoptijden (wiskunde) Capital market Statistical methods Optimal stopping (Mathematical statistics) Stochastisches Modell Kapitalmarkt Optimales Stoppen Konferenzschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007500491&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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