Optimality and risk: modern trends in mathematical finance ; the Kabanov Festschrift
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| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Berlin [u.a.]
Springer
2009
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XVIII, 266 S. Ill. 235 mm x 155 mm |
| ISBN: | 9783642026072 |
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MARC
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Record in the Search Index
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|---|---|
| adam_text | XI CONTENTS ON THE EXTENSION OF THE NAMIOKA-KIEE THEOREM AND ON THE
FATOU PROPERTY FOR RISK MEASURES 1 SARA BIAGINI AND MARCO FRATELLI 1
INTRODUCTION 1 2 THE EXTENDED NAMIOKA THEOREM 7 2.1 THE CURRENT
LITERATURE 9 3 ON ORDER LOWER SEMICONTINUITY IN RIESZ SPACES 10 3.1
EQUIVALENT FORMULATIONS OF ORDER L.S.C 11 3.2 THE ORDER CONTINUOUS DUAL
1~ 12 4 ON THE C-PROPERTY 13 4.1 THE C-PROPERTY IN THE REPRESENTATION OF
CONVEX AND MONOTONE FUNCTIONALS 14 5 ORLICZ SPACES AND APPLICATIONS TO
RISK MEASURES 16 5.1 ORLICZ SPACES HAVE THE C-PROPERTY 16 5.2 NEW
INSIGHTS ON THE DOWNSIDE RISK AND RISK MEASURES ASSOCIATED TO A UTILITY
FUNCTION U 19 5.3 QUADRATIC-FLAT UTILITY 26 5.4 EXPONENTIAL UTILITY 27
REFERENCES 28 ON CERTAIN DISTRIBUTIONS ASSOCIATED WITH THE RANGE OF
MARTINGALES ... 29 ALEXANDER CHERNY AND BRUNO DUPIRE 1 INTRODUCTION 29 2
PROOFS 33 3 CONCLUSION 37 REFERENCES 38 DIFFERENTIABILITY PROPERTIES OF
UTILITY FUNCTIONS 39 FREDDY DELBAEN 1 NOTATION AND PRELIMINARIES 39 2
THE JOUINI-SCHACHERMAYER-TOUZI THEOREM 42 BIBLIOGRAFISCHE INFORMATIONEN
HTTP://D-NB.INFO/994394640 DIGITALISIERT DURCH XII CONTENTS 3 A
CONSEQUENCE OF EKELAND S VARIATIONAL PRINCIPLE AND OTHER FAMILY MEMBERS
OF BISHOP-PHELPS 43 4 A CONSEQUENCE OF AUTOMATIC CONTINUITY 44 5 THE
ONE-SIDED DERIVATIVE 44 6 AN EXAMPLE 45 7 THE EXAMPLE OF AN INCOMPLETE
FINANCIAL MARKET 48 REFERENCES 48 EXPONENTIAL UTILITY INDIFFERENCE
VALUATION IN A GENERAL SEMIMARTINGALE MODEL 49 CHRISTOPH FREI AND MARTIN
SCHWEIZER 1 INTRODUCTION 49 2 MOTIVATION AND DEFINITION OF FER(H) 51 3
NO-ARBITRAGE AND EXISTENCE OF FER(H) 56 4 RELATING FER*(H) AND FER*(0)
TO THE INDIFFERENCE VALUE 64 5 A BSDE CHARACTERIZATION OF THE
INDIFFERENCE VALUE PROCESS . . . . 73 6 APPLICATION TO A BROWNIAN
SETTING 82 REFERENCES 85 THE EXPECTED NUMBER OF INTERSECTIONS OF A FOUR
VALUED BOUNDED MARTINGALE WITH ANY LEVEL MAY BE INFINITE 87 ALEXANDER
GORDON AND ISAAC M. SONIN 1 INTRODUCTION 87 2 PROOF OF THEOREM 2. CASES
N = 2 AND A T = 3 90 3 PROOF OF THEOREM 2. CASE N 3. AN EXAMPLE 93
REFERENCES 98 IMMERSION PROPERTY AND CREDIT RISK MODELLING 99 MONIQU
CONTENTS XIII OPTIMAL CONSUMPTION AND INVESTMENT WITH BOUNDED DOWNSIDE
RISK FOR POWER UTILITY FUNCTIONS 133 CLAUDIA KLIIPPELBERG AND SERGUEI
PERGAMENCHTCHIKOV 1 INTRODUCTION 133 2 FORMULATING THE PROBLEM 135 2.1
THE MODEL 135 2.2 THE CONTROL PROCESSES 137 2.3 THE COST FUNCTIONS 138
2.4 THE DOWNSIDE RISK MEASURES 139 3 PROBLEMS AND SOLUTIONS 141 3.1 THE
UNCONSTRAINED PROBLEM 141 3.2 VALUE-AT-RISK AS RISK MEASURE 143 3.3
EXPECTED SHORTFALL AS RISK MEASURE 148 4 PROOFS 150 4.1 PROOF OF THEOREM
1 150 4.2 PROOF OF THEOREM 2 150 4.3 PROOF OF THEOREM 3 153 4.4 PROOF OF
THEOREM 4 155 4.5 PROOF OF THEOREM 5 155 4.6 PROOF OF LEMMA 1 158 4.7
PROOF OF THEOREM 7 158 4.8 PROOF OF THEOREM 8 159 4.9 PROOF OF THEOREM 9
159 APPENDIX 161 5.1 A TECHNICAL LEMMA 161 5.2 THE VERIFICATION THEOREM
161 5.3 A SPECIAL VERSION OF ITO S FORMULA 165 REFERENCES 169 ON
COMPARISON THEOREM AND ITS APPLICATIONS TO FINANCE 171 VLADISLAV Y.
KRASIN AND ALEXANDER V. MELNIKOV 1 INTRODUCTION 171 2 COMPARISON THEOREM
172 3 APPLICATIONS TO MATHEMATICAL FINANCE 177 REFERENCES 180 EXAMPLES
OF FCLT IN RANDOM ENVIRONMENT 183 R. LIPTSER 1 INTRODUCTION 183 2
ASSUMPTIONS, NOTATIONS AND MAIN RESULT 186 2. XIV CONTENTS 4.1 B((O,U) =
0 191 4.2 E(W,)#O 192 5 MARKOV CHAIN AS RANDOM ENVIRONMENT 192 6
LANGEVIN RANDOM ENVIRONMENT 193 REFERENCES 194 THE OPTIMAL TIME TO
EXCHANGE ONE ASSET FOR ANOTHER ON FINITE INTERVAL . 197 YULIYA MISHURA
AND GEORGIY SHEVCHENKO 1 INTRODUCTION 197 2 BASIC PROPERTIES OF PREMIUM
FUNCTION AND STOPPING DOMAIN ... 198 3 INTEGRAL EQUATIONS FOR THE
PREMIUM FUNCTION AND THE THRESHOLD CURVE 201 4 APPROACHING SOLUTION OF
INTEGRAL EQUATION FOR THRESHOLD CURVE . . 204 REFERENCES 210 ARBITRAGE
UNDER TRANSACTION COSTS REVISITED 211 MIKLOS RASONYI 1 INTRODUCTION 211
2 ARBITRAGE AND PRICE SYSTEMS 212 3 MARKETS WITH ONE RISKY ASSET 215 4
PROOFS 217 5 CONCLUSION 220 APPENDIX 220 REFERENCES 224 ON THE LINEAR
AND NONLINEAR GENERALIZED BAYESIAN DISORDER PROBLEM (DISCRETE TIME CASE)
227 ALBERT N. SHIRYAEV AND PAVEL Y. ZRYUMOV 1 LINEAR PENALTY CASE 227 2
NONLINEAR PENALTY CASE 230 REFERENCES 235 LONG TIME GROWTH OPTIMAL
PORTFOLIO WITH TRANSACTION COSTS 237 LUKASZ STETTNER 1 INTRODUCTION 237
2 DISCRETE TIME CASE 241 3 CONTINUOUS TIME CASE 246 REFERENCES 250 ON
THE APPROXIMATION OF GEOMETRIC FRACTIONAL BROWNIAN MOTION . . .
CONTENTS 2.1 CONSTRUCTION OF THE APPROXIMATION 253 2.2 FURTHER
PROPERTIES OF THE APPROXIMATION 254 2.3 APPROXIMATION TO GEOMETRIC FBM
257 SOME PROPERTIES OF THE APPROXIMATION 257 3.1 SET-UP 257 3.2 PRELIMIT
MARKET MODELS ARE ARBITRAGE-FREE 258 3.3 PRELIMIT MARKET MODELS ARE
COMPLETE 260 DISCUSSION AND CONCLUSION 263 REFERENCES 265
|
| any_adam_object | 1 |
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| building | Verbundindex |
| bvnumber | BV035683278 |
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| dewey-full | 519.23 332.0151 |
| dewey-hundreds | 500 - Natural sciences and mathematics 300 - Social sciences |
| dewey-ones | 519 - Probabilities and applied mathematics 332 - Financial economics |
| dewey-raw | 519.23 332.0151 |
| dewey-search | 519.23 332.0151 |
| dewey-sort | 3519.23 |
| dewey-tens | 510 - Mathematics 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV035683278 |
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| indexdate | 2024-07-09T21:43:20Z |
| institution | BVB |
| isbn | 9783642026072 |
| language | English |
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| physical | XVIII, 266 S. Ill. 235 mm x 155 mm |
| publishDate | 2009 |
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| publisher | Springer |
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| spelling | Optimality and risk modern trends in mathematical finance ; the Kabanov Festschrift Freddy Delbaen ... ed. Berlin [u.a.] Springer 2009 XVIII, 266 S. Ill. 235 mm x 155 mm txt rdacontent n rdamedia nc rdacarrier Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content (DE-588)4016928-5 Festschrift gnd-content Stochastischer Prozess (DE-588)4057630-9 s Finanzmathematik (DE-588)4017195-4 s DE-604 Delbaen, Freddy 1946- Sonstige (DE-588)130654051 oth Kabanov, Jurij M. 1948- (DE-588)124079199 hnr Erscheint auch als Online-Ausgabe 978-3-642-02608-9 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017737508&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Optimality and risk modern trends in mathematical finance ; the Kabanov Festschrift Stochastischer Prozess (DE-588)4057630-9 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4057630-9 (DE-588)4017195-4 (DE-588)4143413-4 (DE-588)4016928-5 |
| title | Optimality and risk modern trends in mathematical finance ; the Kabanov Festschrift |
| title_auth | Optimality and risk modern trends in mathematical finance ; the Kabanov Festschrift |
| title_exact_search | Optimality and risk modern trends in mathematical finance ; the Kabanov Festschrift |
| title_full | Optimality and risk modern trends in mathematical finance ; the Kabanov Festschrift Freddy Delbaen ... ed. |
| title_fullStr | Optimality and risk modern trends in mathematical finance ; the Kabanov Festschrift Freddy Delbaen ... ed. |
| title_full_unstemmed | Optimality and risk modern trends in mathematical finance ; the Kabanov Festschrift Freddy Delbaen ... ed. |
| title_short | Optimality and risk |
| title_sort | optimality and risk modern trends in mathematical finance the kabanov festschrift |
| title_sub | modern trends in mathematical finance ; the Kabanov Festschrift |
| topic | Stochastischer Prozess (DE-588)4057630-9 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Stochastischer Prozess Finanzmathematik Aufsatzsammlung Festschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017737508&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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