Stochastic processes, finance and control :: a festschrift in honor of Robert J. Elliott /
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...
Gespeichert in:
| Weitere Verfasser: | , |
|---|---|
| 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 |
| Zusammenfassung: | 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: | 8. Counterparty risk and the impact of collateralization in CDS contracts T.R. Bielecki, I. Cialenco and I. Iyigunler. |
| Beschreibung: | 1 online resource (xv, 588 pages) : illustrations (some color), portrait. |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 9789814383318 9814383317 9789814383301 9814383309 9781299243262 1299243266 |
Internformat
MARC
| LEADER | 00000cam a2200000Ma 4500 | ||
|---|---|---|---|
| 001 | ZDB-4-EBU-ocn830162000 | ||
| 003 | OCoLC | ||
| 005 | 20241004212047.0 | ||
| 006 | m o d | ||
| 007 | cr cnu---unuuu | ||
| 008 | 130316s2012 si ac ob 010 0 eng d | ||
| 040 | |a EBLCP |b eng |e pn |c EBLCP |d YDXCP |d MHW |d DEBSZ |d N$T |d CDX |d OCLCO |d STF |d IDEBK |d E7B |d OCLCO |d OCLCQ |d S4S |d OCLCQ |d OCLCF |d OCLCQ |d AGLDB |d OCLCQ |d NJR |d OCLCQ |d VNS |d VTS |d M8D |d UKAHL |d OCLCQ |d OCLCO |d OCLCQ |d OCLCO |d OCLCL |d SXB |d OCLCQ | ||
| 019 | |a 828896153 |a 870346410 |a 880903983 | ||
| 020 | |a 9789814383318 |q (electronic bk.) | ||
| 020 | |a 9814383317 |q (electronic bk.) | ||
| 020 | |a 9789814383301 |q (hbk.) | ||
| 020 | |a 9814383309 |q (hbk.) | ||
| 020 | |a 9781299243262 |q (MyiLibrary) | ||
| 020 | |a 1299243266 |q (MyiLibrary) | ||
| 035 | |a (OCoLC)830162000 |z (OCoLC)828896153 |z (OCoLC)870346410 |z (OCoLC)880903983 | ||
| 037 | |a 455576 |b MIL | ||
| 050 | 4 | |a HG4529.5 |b .S76 2012eb | |
| 072 | 7 | |a MAT |x 029040 |2 bisacsh | |
| 082 | 7 | |a 519.23 |2 23 | |
| 049 | |a MAIN | ||
| 245 | 0 | 0 | |a Stochastic processes, finance and control : |b a festschrift in honor of Robert J. Elliott / |c editors, Samuel N. Cohen [and others]. |
| 260 | |a Singapore : |b World Scientific Publishing Company, |c 2012. | ||
| 300 | |a 1 online resource (xv, 588 pages) : |b illustrations (some color), portrait. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a Advances in Statistics, Probability and Actuarial Science ; |v v. 1 | |
| 504 | |a Includes bibliographical references. | ||
| 588 | 0 | |a Online resource; title from pdf information screen (Ebsco, viewed June 28, 2013). | |
| 505 | 0 | |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. | |
| 505 | 8 | |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. | |
| 505 | 8 | |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. | |
| 505 | 8 | |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. | |
| 505 | 8 | |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 8. Counterparty risk and the impact of collateralization in CDS contracts T.R. Bielecki, I. Cialenco and I. Iyigunler. | ||
| 520 | |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 | 0 | |a Portfolio management. |0 http://id.loc.gov/authorities/subjects/sh85105080 | |
| 650 | 0 | |a Stochastic processes. |0 http://id.loc.gov/authorities/subjects/sh85128181 | |
| 650 | 0 | |a Actuarial science. |0 http://id.loc.gov/authorities/subjects/sh2008005723 | |
| 650 | 6 | |a Gestion de portefeuille. | |
| 650 | 6 | |a Processus stochastiques. | |
| 650 | 6 | |a Actuariat. | |
| 650 | 7 | |a MATHEMATICS |x Probability & Statistics |x Stochastic Processes. |2 bisacsh | |
| 650 | 7 | |a Actuarial science |2 fast | |
| 650 | 7 | |a Portfolio management |2 fast | |
| 650 | 7 | |a Stochastic processes |2 fast | |
| 700 | 1 | |a Cohen, Samuel N. | |
| 700 | 1 | |a Elliott, Robert J. |q (Robert James), |d 1940- |1 https://id.oclc.org/worldcat/entity/E39PBJmTqCdMRPmWc9grKMrcyd |0 http://id.loc.gov/authorities/names/n50008874 | |
| 776 | 0 | 8 | |i Print version: |a Cohen, Samuel N. |t Stochastic Processes, Finance and Control : A Festschrift in Honor of Robert J Elliott. |d Singapore : World Scientific Publishing Company, ©2012 |z 9789814383301 |
| 830 | 0 | |a Advances in statistics, probability and actuarial science ; |v v. 1. |0 http://id.loc.gov/authorities/names/no2014123024 | |
| 856 | 4 | 0 | |l FWS01 |p ZDB-4-EBU |q FWS_PDA_EBU |u https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=545463 |3 Volltext |
| 938 | |a Askews and Holts Library Services |b ASKH |n AH25007779 | ||
| 938 | |a Coutts Information Services |b COUT |n 24879102 | ||
| 938 | |a ProQuest Ebook Central |b EBLB |n EBL1143281 | ||
| 938 | |a ebrary |b EBRY |n ebr10674333 | ||
| 938 | |a EBSCOhost |b EBSC |n 545463 | ||
| 938 | |a ProQuest MyiLibrary Digital eBook Collection |b IDEB |n cis24879102 | ||
| 938 | |a YBP Library Services |b YANK |n 10258444 | ||
| 994 | |a 92 |b GEBAY | ||
| 912 | |a ZDB-4-EBU | ||
| 049 | |a DE-863 | ||
Datensatz im Suchindex
| DE-BY-FWS_katkey | ZDB-4-EBU-ocn830162000 |
|---|---|
| _version_ | 1816796908066177025 |
| adam_text | |
| any_adam_object | |
| author2 | Cohen, Samuel N. Elliott, Robert J. (Robert James), 1940- |
| author2_role | |
| author2_variant | s n c sn snc r j e rj rje |
| author_GND | http://id.loc.gov/authorities/names/n50008874 |
| author_facet | Cohen, Samuel N. Elliott, Robert J. (Robert James), 1940- |
| author_sort | Cohen, Samuel N. |
| building | Verbundindex |
| bvnumber | localFWS |
| callnumber-first | H - Social Science |
| callnumber-label | HG4529 |
| callnumber-raw | HG4529.5 .S76 2012eb |
| callnumber-search | HG4529.5 .S76 2012eb |
| callnumber-sort | HG 44529.5 S76 42012EB |
| callnumber-subject | HG - Finance |
| collection | ZDB-4-EBU |
| contents | 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. |
| ctrlnum | (OCoLC)830162000 |
| dewey-full | 519.23 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| 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 |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>06987cam a2200733Ma 4500</leader><controlfield tag="001">ZDB-4-EBU-ocn830162000</controlfield><controlfield tag="003">OCoLC</controlfield><controlfield tag="005">20241004212047.0</controlfield><controlfield tag="006">m o d </controlfield><controlfield tag="007">cr cnu---unuuu</controlfield><controlfield tag="008">130316s2012 si ac ob 010 0 eng d</controlfield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">EBLCP</subfield><subfield code="b">eng</subfield><subfield code="e">pn</subfield><subfield code="c">EBLCP</subfield><subfield code="d">YDXCP</subfield><subfield code="d">MHW</subfield><subfield code="d">DEBSZ</subfield><subfield code="d">N$T</subfield><subfield code="d">CDX</subfield><subfield code="d">OCLCO</subfield><subfield code="d">STF</subfield><subfield code="d">IDEBK</subfield><subfield code="d">E7B</subfield><subfield code="d">OCLCO</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">S4S</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLCF</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">AGLDB</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">NJR</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">VNS</subfield><subfield code="d">VTS</subfield><subfield code="d">M8D</subfield><subfield code="d">UKAHL</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLCO</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLCO</subfield><subfield code="d">OCLCL</subfield><subfield code="d">SXB</subfield><subfield code="d">OCLCQ</subfield></datafield><datafield tag="019" ind1=" " ind2=" "><subfield code="a">828896153</subfield><subfield code="a">870346410</subfield><subfield code="a">880903983</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9789814383318</subfield><subfield code="q">(electronic bk.)</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9814383317</subfield><subfield code="q">(electronic bk.)</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9789814383301</subfield><subfield code="q">(hbk.)</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9814383309</subfield><subfield code="q">(hbk.)</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781299243262</subfield><subfield code="q">(MyiLibrary)</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">1299243266</subfield><subfield code="q">(MyiLibrary)</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)830162000</subfield><subfield code="z">(OCoLC)828896153</subfield><subfield code="z">(OCoLC)870346410</subfield><subfield code="z">(OCoLC)880903983</subfield></datafield><datafield tag="037" ind1=" " ind2=" "><subfield code="a">455576</subfield><subfield code="b">MIL</subfield></datafield><datafield tag="050" ind1=" " ind2="4"><subfield code="a">HG4529.5</subfield><subfield code="b">.S76 2012eb</subfield></datafield><datafield tag="072" ind1=" " ind2="7"><subfield code="a">MAT</subfield><subfield code="x">029040</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="082" ind1="7" ind2=" "><subfield code="a">519.23</subfield><subfield code="2">23</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">MAIN</subfield></datafield><datafield tag="245" ind1="0" ind2="0"><subfield code="a">Stochastic processes, finance and control :</subfield><subfield code="b">a festschrift in honor of Robert J. Elliott /</subfield><subfield code="c">editors, Samuel N. Cohen [and others].</subfield></datafield><datafield tag="260" ind1=" " ind2=" "><subfield code="a">Singapore :</subfield><subfield code="b">World Scientific Publishing Company,</subfield><subfield code="c">2012.</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 online resource (xv, 588 pages) :</subfield><subfield code="b">illustrations (some color), portrait.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">computer</subfield><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">online resource</subfield><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Advances in Statistics, Probability and Actuarial Science ;</subfield><subfield code="v">v. 1</subfield></datafield><datafield tag="504" ind1=" " ind2=" "><subfield code="a">Includes bibliographical references.</subfield></datafield><datafield tag="588" ind1="0" ind2=" "><subfield code="a">Online resource; title from pdf information screen (Ebsco, viewed June 28, 2013).</subfield></datafield><datafield tag="505" ind1="0" ind2=" "><subfield code="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.</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="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.</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="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.</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="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.</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="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.</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">8. Counterparty risk and the impact of collateralization in CDS contracts T.R. Bielecki, I. Cialenco and I. Iyigunler.</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="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.</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Portfolio management.</subfield><subfield code="0">http://id.loc.gov/authorities/subjects/sh85105080</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Stochastic processes.</subfield><subfield code="0">http://id.loc.gov/authorities/subjects/sh85128181</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Actuarial science.</subfield><subfield code="0">http://id.loc.gov/authorities/subjects/sh2008005723</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Gestion de portefeuille.</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Processus stochastiques.</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Actuariat.</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">MATHEMATICS</subfield><subfield code="x">Probability & Statistics</subfield><subfield code="x">Stochastic Processes.</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Actuarial science</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Portfolio management</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Stochastic processes</subfield><subfield code="2">fast</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Cohen, Samuel N.</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Elliott, Robert J.</subfield><subfield code="q">(Robert James),</subfield><subfield code="d">1940-</subfield><subfield code="1">https://id.oclc.org/worldcat/entity/E39PBJmTqCdMRPmWc9grKMrcyd</subfield><subfield code="0">http://id.loc.gov/authorities/names/n50008874</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Print version:</subfield><subfield code="a">Cohen, Samuel N.</subfield><subfield code="t">Stochastic Processes, Finance and Control : A Festschrift in Honor of Robert J Elliott.</subfield><subfield code="d">Singapore : World Scientific Publishing Company, ©2012</subfield><subfield code="z">9789814383301</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">Advances in statistics, probability and actuarial science ;</subfield><subfield code="v">v. 1.</subfield><subfield code="0">http://id.loc.gov/authorities/names/no2014123024</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="l">FWS01</subfield><subfield code="p">ZDB-4-EBU</subfield><subfield code="q">FWS_PDA_EBU</subfield><subfield code="u">https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=545463</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">Askews and Holts Library Services</subfield><subfield code="b">ASKH</subfield><subfield code="n">AH25007779</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">Coutts Information Services</subfield><subfield code="b">COUT</subfield><subfield code="n">24879102</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">ProQuest Ebook Central</subfield><subfield code="b">EBLB</subfield><subfield code="n">EBL1143281</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">ebrary</subfield><subfield code="b">EBRY</subfield><subfield code="n">ebr10674333</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">EBSCOhost</subfield><subfield code="b">EBSC</subfield><subfield code="n">545463</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">ProQuest MyiLibrary Digital eBook Collection</subfield><subfield code="b">IDEB</subfield><subfield code="n">cis24879102</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">YBP Library Services</subfield><subfield code="b">YANK</subfield><subfield code="n">10258444</subfield></datafield><datafield tag="994" ind1=" " ind2=" "><subfield code="a">92</subfield><subfield code="b">GEBAY</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-4-EBU</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-863</subfield></datafield></record></collection> |
| id | ZDB-4-EBU-ocn830162000 |
| illustrated | Illustrated |
| indexdate | 2024-11-26T14:49:09Z |
| institution | BVB |
| isbn | 9789814383318 9814383317 9789814383301 9814383309 9781299243262 1299243266 |
| language | English |
| oclc_num | 830162000 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (xv, 588 pages) : illustrations (some color), portrait. |
| psigel | ZDB-4-EBU |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | World Scientific Publishing Company, |
| record_format | marc |
| series | Advances in statistics, probability and actuarial science ; |
| series2 | Advances in Statistics, Probability and Actuarial Science ; |
| 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 resource (xv, 588 pages) : illustrations (some color), portrait. text txt rdacontent computer c rdamedia online resource cr rdacarrier Advances in Statistics, Probability and Actuarial Science ; v. 1 Includes bibliographical references. Online resource; title from pdf information screen (Ebsco, viewed June 28, 2013). 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. 8. Counterparty risk and the impact of collateralization in CDS contracts T.R. Bielecki, I. Cialenco and I. Iyigunler. 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. Portfolio management. http://id.loc.gov/authorities/subjects/sh85105080 Stochastic processes. http://id.loc.gov/authorities/subjects/sh85128181 Actuarial science. http://id.loc.gov/authorities/subjects/sh2008005723 Gestion de portefeuille. Processus stochastiques. Actuariat. MATHEMATICS Probability & Statistics Stochastic Processes. bisacsh Actuarial science fast Portfolio management fast Stochastic processes fast Cohen, Samuel N. Elliott, Robert J. (Robert James), 1940- https://id.oclc.org/worldcat/entity/E39PBJmTqCdMRPmWc9grKMrcyd http://id.loc.gov/authorities/names/n50008874 Print version: Cohen, Samuel N. Stochastic Processes, Finance and Control : A Festschrift in Honor of Robert J Elliott. Singapore : World Scientific Publishing Company, ©2012 9789814383301 Advances in statistics, probability and actuarial science ; v. 1. http://id.loc.gov/authorities/names/no2014123024 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=545463 Volltext |
| spellingShingle | Stochastic processes, finance and control : a festschrift in honor of Robert J. Elliott / Advances in statistics, probability and actuarial science ; 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. Portfolio management. http://id.loc.gov/authorities/subjects/sh85105080 Stochastic processes. http://id.loc.gov/authorities/subjects/sh85128181 Actuarial science. http://id.loc.gov/authorities/subjects/sh2008005723 Gestion de portefeuille. Processus stochastiques. Actuariat. MATHEMATICS Probability & Statistics Stochastic Processes. bisacsh Actuarial science fast Portfolio management fast Stochastic processes fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85105080 http://id.loc.gov/authorities/subjects/sh85128181 http://id.loc.gov/authorities/subjects/sh2008005723 |
| 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 | Portfolio management. http://id.loc.gov/authorities/subjects/sh85105080 Stochastic processes. http://id.loc.gov/authorities/subjects/sh85128181 Actuarial science. http://id.loc.gov/authorities/subjects/sh2008005723 Gestion de portefeuille. Processus stochastiques. Actuariat. MATHEMATICS Probability & Statistics Stochastic Processes. bisacsh Actuarial science fast Portfolio management fast Stochastic processes fast |
| topic_facet | Portfolio management. Stochastic processes. Actuarial science. Gestion de portefeuille. Processus stochastiques. Actuariat. MATHEMATICS Probability & Statistics Stochastic Processes. Actuarial science Portfolio management Stochastic processes |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=545463 |
| work_keys_str_mv | AT cohensamueln stochasticprocessesfinanceandcontrolafestschriftinhonorofrobertjelliott AT elliottrobertj stochasticprocessesfinanceandcontrolafestschriftinhonorofrobertjelliott |