Freddy Delbaen
Optimality and Risk - Modern Trends in Mathematical Finance: The Kabanov Festschrift Freddy Delbaen 2010 edition

Name: Optimality and Risk - Modern Trends in Mathematical Finance: The Kabanov Festschrift
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Author: Freddy Delbaen

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2010 edition

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Optimality and Risk - Modern Trends in Mathematical Finance: The Kabanov Festschrift

Freddy Delbaen

2010 edition

Problems of stochastic optimization and various mathematical aspects of risk are the main themes of this contributed volume.

Marc Notes: To Yuri Kabanov, to celebrate his 60th birthday--P. [v].; Includes bibliographical references. Table of Contents: On the Extension of the Namioka-Klee Theorem and on the Fatou Property for Risk Measures.- On Certain Distributions Associated withtheRange of Martingales.- Differentiability Properties of Utility Functions.- Exponential Utility Indifference Valuation inaGeneral Semimartingale Model.- The Expected Number of Intersections ofaFourValuedBoundedMartingale withanyLevelMay be Infinite.- Immersion Property and Credit Risk Modelling.- Optimal Consumption and Investment withBounded Downside Risk forPowerUtilityFunctions.- On Comparison Theorem and its Applications toFinance.- Examples of FCLT in Random Environment.- The Optimal Time to Exchange one Asset forAnother on Finite Interval.- Arbitrage Under Transaction Costs Revisited.- On the Linear and Nonlinear Generalized Bayesian Disorder Problem (Discrete Time Case).- Long Time Growth Optimal Portfolio withTransaction Costs.- On the Approximation of Geometric Fractional Brownian Motion."Jacket Description/Back: Problems of stochastic optimization and various mathematical aspects of risk are the main themes of this contributed volume. The readers learn about the recent results and techniques of optimal investment, risk measures and derivative pricing. There are also papers touching upon credit risk, martingale theory and limit theorems. Forefront researchers in probability and financial mathematics have contributed to this volume paying tribute to Yuri Kabanov, an eminent researcher in probability and mathematical finance, on the occasion of his 60th birthday. The volume gives a fair overview of these topics and the current approaches.

Medios de comunicación	Libros Hardcover Book (Libro con lomo y cubierta duros)
Publicado	21 de octubre de 2009
ISBN13	9783642026072
Editores	Springer-Verlag Berlin and Heidelberg Gm
Género	Aspects (Academic) > Business Aspects
Páginas	266
Dimensiones	155 × 235 × 17 mm · 576 g
Lengua	Francés
Editor	Delbaen, Freddy
Editor	Rasonyi, Miklos
Editor	Stricker, Christophe