From Stochastic Calculus to Mathematical Finance The Shiryaev Festschrift /
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. These reflect the wide range of scientific interests of the teacher an...
| Κύριοι συγγραφείς: | , , |
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| Συγγραφή απο Οργανισμό/Αρχή: | |
| Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
| Γλώσσα: | English |
| Έκδοση: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
2006.
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| Θέματα: | |
| Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- 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: Bayesian Approach
- 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.
