Stochastic processes, finance and control: a festschrift in honor of Robert J. Elliott
Gespeichert in:
| Format: | Elektronisch E-Book |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Singapore
World Scientific Publishing Company
2012
|
| Schriftenreihe: | Advances in statistics, probability and actuarial science
v. 1 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | 8. Counterparty risk and the impact of collateralization in CDS contracts T.R. Bielecki, I. Cialenco and I. Iyigunler Includes bibliographical references Preface; Contents; Stochastic Analysis; 1. On the connection between discrete and continuous Wick calculus with an application to the fractional Black- Scholes model C. Bender and P. Parczewski; 1.1 Introduction; 1.2 Continuous and discrete Wick calculus; 1.2.1. Wiener integrals and Wick exponentials; 1.2.2. Wick product; 1.2.3. Wick powers and Wick-analytic functions; 1.3. Application to the fractional Black-Scholes model; 1.3.1. The fractional Black-Scholes model; 1.3.2. A discrete version of the fractional Black-Scholes market; 1.3.3. Weak convergence to the fractional Black-Scholes model 1.4. Simulating the discrete version of the fractional Black- Scholes model1.4.1. Discussion of the algorithm; 1.4.2. Numerical results; References; 2. Malliavin differentiability of a class of Feller-diffusions with relevance in Finance C.-O. Ewald, Y. Xiao, Y. Zou and T.K. Siu; 2.1. Introduction; 2.2. Preliminaries on Malliavin calculus; 2.3. Malliavin differentiability of -diffusions; 2.4. Conclusions; Acknowledgments; References; 3. A stochastic integral for adapted and instantly independent stochastic processes H.-H. Kuo, A. Sae-Tang and B. Szozda; 3.1. Introduction 3.2. Martingales and near-martingales3.3. Near-martingales and the new integral; 3.4. Instantly independent processes and Ito isometry; 3.5. Ito integral and the new integral; 3.6. Further results; References; 4. Independence of some multiple Poisson stochastic integrals with variable-sign kernels N. Privault; 4.1. Introduction; 4.2. Necessary condition for independence; 4.3. Variable-sign kernels; 4.4. Conditional expectations; References; Differential and Stochastic Games; 5. Strategies for differential games W.H. Fleming and D. Hernandez-Hernandez; 5.1. Introduction 5.2. Differential game formulation5.3. Elliott-Kalton strategies; 5.4. Saddle point property; 5.5. Time discretizations; 5.6. Approximately Markov strategies; 5.7. Progressively measurable strategies; 5.8. Max-plus stochastic control; 5.9. Stochastic differential games; References; 6. BSDE approach to non-zero-sum stochastic differential games of control and stopping I. Karatzas and Q. Li; 6.1. Introduction; 6.1.1. Bibliographic notes; 6.1.2. This paper; 6.2. The games of control and stopping; 6.2.1. The duality between Game and BSDE; 6.2.2. Controls observing volatility 6.2.3. Rewards terminated by both players6.3. A multi-dimensional reflected BSDE with Lipschitz growth; 6.4. Markovian system with linear growth rate; References; Mathematical Finance; 7. On optimal dividend strategies in insurance with a random time horizon H. Albrecher and S. Thonhauser; 7.1. Introduction and model; 7.2. Exponential time horizon; 7.2.1. Explicit solution in case of exponential claims; 7.3. Erlang time horizon; 7.3.1. State-dependent barrier strategies; 7.3.2. Illustrations; 7.4. Conclusion and outlook; Acknowledgement; References This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas. This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners |
| Beschreibung: | 1 Online-Ressource (xv, 588 pages) |
| ISBN: | 9789814383318 9814383317 9781299243262 1299243266 |
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| 245 | 1 | 0 | |a Stochastic processes, finance and control |b a festschrift in honor of Robert J. Elliott |c editors, Samuel N. Cohen [and others] |
| 264 | 1 | |a Singapore |b World Scientific Publishing Company |c 2012 | |
| 300 | |a 1 Online-Ressource (xv, 588 pages) | ||
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| 490 | 0 | |a Advances in statistics, probability and actuarial science |v v. 1 | |
| 500 | |a 8. Counterparty risk and the impact of collateralization in CDS contracts T.R. Bielecki, I. Cialenco and I. Iyigunler | ||
| 500 | |a Includes bibliographical references | ||
| 500 | |a Preface; Contents; Stochastic Analysis; 1. On the connection between discrete and continuous Wick calculus with an application to the fractional Black- Scholes model C. Bender and P. Parczewski; 1.1 Introduction; 1.2 Continuous and discrete Wick calculus; 1.2.1. Wiener integrals and Wick exponentials; 1.2.2. Wick product; 1.2.3. Wick powers and Wick-analytic functions; 1.3. Application to the fractional Black-Scholes model; 1.3.1. The fractional Black-Scholes model; 1.3.2. A discrete version of the fractional Black-Scholes market; 1.3.3. Weak convergence to the fractional Black-Scholes model | ||
| 500 | |a 1.4. Simulating the discrete version of the fractional Black- Scholes model1.4.1. Discussion of the algorithm; 1.4.2. Numerical results; References; 2. Malliavin differentiability of a class of Feller-diffusions with relevance in Finance C.-O. Ewald, Y. Xiao, Y. Zou and T.K. Siu; 2.1. Introduction; 2.2. Preliminaries on Malliavin calculus; 2.3. Malliavin differentiability of -diffusions; 2.4. Conclusions; Acknowledgments; References; 3. A stochastic integral for adapted and instantly independent stochastic processes H.-H. Kuo, A. Sae-Tang and B. Szozda; 3.1. Introduction | ||
| 500 | |a 3.2. Martingales and near-martingales3.3. Near-martingales and the new integral; 3.4. Instantly independent processes and Ito isometry; 3.5. Ito integral and the new integral; 3.6. Further results; References; 4. Independence of some multiple Poisson stochastic integrals with variable-sign kernels N. Privault; 4.1. Introduction; 4.2. Necessary condition for independence; 4.3. Variable-sign kernels; 4.4. Conditional expectations; References; Differential and Stochastic Games; 5. Strategies for differential games W.H. Fleming and D. Hernandez-Hernandez; 5.1. Introduction | ||
| 500 | |a 5.2. Differential game formulation5.3. Elliott-Kalton strategies; 5.4. Saddle point property; 5.5. Time discretizations; 5.6. Approximately Markov strategies; 5.7. Progressively measurable strategies; 5.8. Max-plus stochastic control; 5.9. Stochastic differential games; References; 6. BSDE approach to non-zero-sum stochastic differential games of control and stopping I. Karatzas and Q. Li; 6.1. Introduction; 6.1.1. Bibliographic notes; 6.1.2. This paper; 6.2. The games of control and stopping; 6.2.1. The duality between Game and BSDE; 6.2.2. Controls observing volatility | ||
| 500 | |a 6.2.3. Rewards terminated by both players6.3. A multi-dimensional reflected BSDE with Lipschitz growth; 6.4. Markovian system with linear growth rate; References; Mathematical Finance; 7. On optimal dividend strategies in insurance with a random time horizon H. Albrecher and S. Thonhauser; 7.1. Introduction and model; 7.2. Exponential time horizon; 7.2.1. Explicit solution in case of exponential claims; 7.3. Erlang time horizon; 7.3.1. State-dependent barrier strategies; 7.3.2. Illustrations; 7.4. Conclusion and outlook; Acknowledgement; References | ||
| 500 | |a This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas. This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners | ||
| 650 | 7 | |a MATHEMATICS / Probability & Statistics / Stochastic Processes |2 bisacsh | |
| 650 | 4 | |a Portfolio management | |
| 650 | 4 | |a Stochastic processes | |
| 650 | 4 | |a Actuarial science | |
| 655 | 7 | |8 1\p |0 (DE-588)4016928-5 |a Festschrift |2 gnd-content | |
| 700 | 1 | |a Cohen, Samuel N. |e Sonstige |4 oth | |
| 700 | 1 | |a Elliott, Robert J. |e Sonstige |4 oth | |
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Datensatz im Suchindex
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| building | Verbundindex |
| bvnumber | BV042962664 |
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| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.23 |
| dewey-search | 519.23 |
| dewey-sort | 3519.23 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| format | Electronic eBook |
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| indexdate | 2024-07-10T07:13:52Z |
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| isbn | 9789814383318 9814383317 9781299243262 1299243266 |
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| spelling | Stochastic processes, finance and control a festschrift in honor of Robert J. Elliott editors, Samuel N. Cohen [and others] Singapore World Scientific Publishing Company 2012 1 Online-Ressource (xv, 588 pages) txt rdacontent c rdamedia cr rdacarrier Advances in statistics, probability and actuarial science v. 1 8. Counterparty risk and the impact of collateralization in CDS contracts T.R. Bielecki, I. Cialenco and I. Iyigunler Includes bibliographical references Preface; Contents; Stochastic Analysis; 1. On the connection between discrete and continuous Wick calculus with an application to the fractional Black- Scholes model C. Bender and P. Parczewski; 1.1 Introduction; 1.2 Continuous and discrete Wick calculus; 1.2.1. Wiener integrals and Wick exponentials; 1.2.2. Wick product; 1.2.3. Wick powers and Wick-analytic functions; 1.3. Application to the fractional Black-Scholes model; 1.3.1. The fractional Black-Scholes model; 1.3.2. A discrete version of the fractional Black-Scholes market; 1.3.3. Weak convergence to the fractional Black-Scholes model 1.4. Simulating the discrete version of the fractional Black- Scholes model1.4.1. Discussion of the algorithm; 1.4.2. Numerical results; References; 2. Malliavin differentiability of a class of Feller-diffusions with relevance in Finance C.-O. Ewald, Y. Xiao, Y. Zou and T.K. Siu; 2.1. Introduction; 2.2. Preliminaries on Malliavin calculus; 2.3. Malliavin differentiability of -diffusions; 2.4. Conclusions; Acknowledgments; References; 3. A stochastic integral for adapted and instantly independent stochastic processes H.-H. Kuo, A. Sae-Tang and B. Szozda; 3.1. Introduction 3.2. Martingales and near-martingales3.3. Near-martingales and the new integral; 3.4. Instantly independent processes and Ito isometry; 3.5. Ito integral and the new integral; 3.6. Further results; References; 4. Independence of some multiple Poisson stochastic integrals with variable-sign kernels N. Privault; 4.1. Introduction; 4.2. Necessary condition for independence; 4.3. Variable-sign kernels; 4.4. Conditional expectations; References; Differential and Stochastic Games; 5. Strategies for differential games W.H. Fleming and D. Hernandez-Hernandez; 5.1. Introduction 5.2. Differential game formulation5.3. Elliott-Kalton strategies; 5.4. Saddle point property; 5.5. Time discretizations; 5.6. Approximately Markov strategies; 5.7. Progressively measurable strategies; 5.8. Max-plus stochastic control; 5.9. Stochastic differential games; References; 6. BSDE approach to non-zero-sum stochastic differential games of control and stopping I. Karatzas and Q. Li; 6.1. Introduction; 6.1.1. Bibliographic notes; 6.1.2. This paper; 6.2. The games of control and stopping; 6.2.1. The duality between Game and BSDE; 6.2.2. Controls observing volatility 6.2.3. Rewards terminated by both players6.3. A multi-dimensional reflected BSDE with Lipschitz growth; 6.4. Markovian system with linear growth rate; References; Mathematical Finance; 7. On optimal dividend strategies in insurance with a random time horizon H. Albrecher and S. Thonhauser; 7.1. Introduction and model; 7.2. Exponential time horizon; 7.2.1. Explicit solution in case of exponential claims; 7.3. Erlang time horizon; 7.3.1. State-dependent barrier strategies; 7.3.2. Illustrations; 7.4. Conclusion and outlook; Acknowledgement; References This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas. This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners MATHEMATICS / Probability & Statistics / Stochastic Processes bisacsh Portfolio management Stochastic processes Actuarial science 1\p (DE-588)4016928-5 Festschrift gnd-content Cohen, Samuel N. Sonstige oth Elliott, Robert J. Sonstige oth Erscheint auch als Druck-Ausgabe, Hardcover 978-981-4383-30-1 Erscheint auch als Druck-Ausgabe, Hardcover 981-4383-30-9 http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=545463 Aggregator Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Stochastic processes, finance and control a festschrift in honor of Robert J. Elliott MATHEMATICS / Probability & Statistics / Stochastic Processes bisacsh Portfolio management Stochastic processes Actuarial science |
| subject_GND | (DE-588)4016928-5 |
| title | Stochastic processes, finance and control a festschrift in honor of Robert J. Elliott |
| title_auth | Stochastic processes, finance and control a festschrift in honor of Robert J. Elliott |
| title_exact_search | Stochastic processes, finance and control a festschrift in honor of Robert J. Elliott |
| title_full | Stochastic processes, finance and control a festschrift in honor of Robert J. Elliott editors, Samuel N. Cohen [and others] |
| title_fullStr | Stochastic processes, finance and control a festschrift in honor of Robert J. Elliott editors, Samuel N. Cohen [and others] |
| title_full_unstemmed | Stochastic processes, finance and control a festschrift in honor of Robert J. Elliott editors, Samuel N. Cohen [and others] |
| title_short | Stochastic processes, finance and control |
| title_sort | stochastic processes finance and control a festschrift in honor of robert j elliott |
| title_sub | a festschrift in honor of Robert J. Elliott |
| topic | MATHEMATICS / Probability & Statistics / Stochastic Processes bisacsh Portfolio management Stochastic processes Actuarial science |
| topic_facet | MATHEMATICS / Probability & Statistics / Stochastic Processes Portfolio management Stochastic processes Actuarial science Festschrift |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=545463 |
| work_keys_str_mv | AT cohensamueln stochasticprocessesfinanceandcontrolafestschriftinhonorofrobertjelliott AT elliottrobertj stochasticprocessesfinanceandcontrolafestschriftinhonorofrobertjelliott |