標題: Titlebook: Optimality and Risk - Modern Trends in Mathematical Finance; The Kabanov Festschr Freddy Delbaen,Miklós Rásonyi,Christophe Stricker Book 20 [打印本頁] 作者: EFFCT 時間: 2025-3-21 18:54
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作者: medium 時間: 2025-3-21 23:48 作者: 品牌 時間: 2025-3-22 00:33
Differentiability Properties of Utility Functions,We investigate differentiability properties of monetary utility functions. At the same time we give a counter-example—important in finance—to automatic continuity for concave functions.作者: bisphosphonate 時間: 2025-3-22 05:46
Arbitrage Under Transaction Costs Revisited,We present a novel arbitrage-related notion for markets with transaction costs in discrete time and characterize it in terms of price systems. Pertinence of this concept is demonstrated. A?discussion of the case with one risky asset and an outlook on continuous-time models complement the main result.作者: N斯巴達人 時間: 2025-3-22 09:21
On the Linear and Nonlinear Generalized Bayesian Disorder Problem (Discrete Time Case),This paper considers the generalized Bayesian disorder problem in the discrete time case with two types of the penalty function—the linear and the nonlinear ones. The main results for these cases are given in Theorems?1 and?2, respectively.作者: 尖叫 時間: 2025-3-22 15:05
Freddy Delbaen,Miklós Rásonyi,Christophe StrickerYuri Kabanov is one of the leading figures in mathematical finance, this book is a tribute to his achievements in this area and in probability in general.Includes supplementary material: 作者: APNEA 時間: 2025-3-22 17:11
978-3-642-42523-3Springer-Verlag Berlin Heidelberg 2010作者: 吹牛者 時間: 2025-3-22 21:48
ty in general.Includes supplementary material: .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 ar作者: Deceit 時間: 2025-3-23 02:43 作者: 侵蝕 時間: 2025-3-23 06:25 作者: sebaceous-gland 時間: 2025-3-23 11:42 作者: Herd-Immunity 時間: 2025-3-23 14:22 作者: Reservation 時間: 2025-3-23 20:15 作者: 使迷惑 時間: 2025-3-24 01:54
Immersion Property and Credit Risk Modelling,known that such a construction rises mathematical difficulties, mainly relied to the properties of the random time. Whereas the invariance of the property of semi-martingale in the enlargement is implied by the absence of arbitrage, we address in this paper the question of the invariance of the martingale property.作者: finale 時間: 2025-3-24 05:26 作者: Proponent 時間: 2025-3-24 07:03
,On Comparison Theorem and its Applications to?Finance,a different condition on the drift coefficient, known in the theory of differential equations as Kamke-Wazewski condition. We also present several examples of possible applications to option price estimation in finance.作者: 捕鯨魚叉 時間: 2025-3-24 14:02 作者: 分開 時間: 2025-3-24 16:57
,The Optimal Time to Exchange one Asset for?Another on Finite Interval,.), and by Hu and Oksendal (Finance Stoch. 2(3):295–310, .), who also considered multiple assets. For a finite time horizon, the problem gets considerably more complicated and cannot be solved explicitly. In this paper we study generic properties of the optimal stopping set and its boundary curve, and derive an integral equation for the latter.作者: FUSE 時間: 2025-3-24 19:32
,Long Time Growth Optimal Portfolio with?Transaction Costs,ns of capital invested in assets to be ergodic. Existence of solutions to suitable Bellman equations is proved and the form of optimal strategies is shown. For continuous time model an additional fixed deterministic delay in transactions is assumed.作者: Brain-Waves 時間: 2025-3-24 23:38
On the Approximation of Geometric Fractional Brownian Motion,gale limit theorems to have a better understanding of the arbitrage in the limit model. With this approximation we associate the corresponding pricing model sequence, which has the no-arbitrage property and which is complete.作者: 吹牛大王 時間: 2025-3-25 06:59 作者: ineptitude 時間: 2025-3-25 11:17 作者: Priapism 時間: 2025-3-25 15:35
,On Certain Distributions Associated with?the?Range of Martingales,imum) reaches a certain threshold. The laws and the conditional laws of its value, maximum, and minimum at this time are simple and do not depend on the local martingale in question. As a consequence, the price and hedge of options which mature when the range reaches a given level are both model-fre作者: Neutropenia 時間: 2025-3-25 16:31 作者: Rebate 時間: 2025-3-25 21:30 作者: Inflammation 時間: 2025-3-26 01:33
Immersion Property and Credit Risk Modelling,rgement of a reference filtration with the progressive knowledge of a credit event occurrence has become a standard for reduced form modelling. It is known that such a construction rises mathematical difficulties, mainly relied to the properties of the random time. Whereas the invariance of the prop作者: Ataxia 時間: 2025-3-26 06:27 作者: incision 時間: 2025-3-26 09:09
,On Comparison Theorem and its Applications to?Finance,ow, that even though the proof of the generalized theorem follows that of the one-dimensional comparison theorem, the multi-dimensional case requires a different condition on the drift coefficient, known in the theory of differential equations as Kamke-Wazewski condition. We also present several exa作者: 情感脆弱 時間: 2025-3-26 13:36
Examples of FCLT in Random Environment,ic stationary random process (.(.,.),.(.,.))., treated as a “random environment”, where . is a small positive parameter. Random environment and Brownian motions are independent random objects. Functions .(.,.),.(.,.) are uniformly bounded and function ..(.,.) is uniformly positive. Random environmen作者: 群居男女 時間: 2025-3-26 17:49
,The Optimal Time to Exchange one Asset for?Another on Finite Interval,ken over all stopping times from [0,.]. A?similar problem, but on infinite interval, was studied by MacDonald and Siegel (Int. Econ. Rev. 26:331–349, .), and by Hu and Oksendal (Finance Stoch. 2(3):295–310, .), who also considered multiple assets. For a finite time horizon, the problem gets consider作者: 水土 時間: 2025-3-26 22:42
,Long Time Growth Optimal Portfolio with?Transaction Costs,oportional plus proportional to the volume of transaction are considered. An obligatory diversification is imposed, which allows the process of portions of capital invested in assets to be ergodic. Existence of solutions to suitable Bellman equations is proved and the form of optimal strategies is s作者: maculated 時間: 2025-3-27 05:05
On the Approximation of Geometric Fractional Brownian Motion,theorem by Gaigalas and Kaj in (Bernoulli 9:671–703, .). We analyze the central limit theorem of Gaigalas and Kaj from the point of view of semimartingale limit theorems to have a better understanding of the arbitrage in the limit model. With this approximation we associate the corresponding pricing作者: 金絲雀 時間: 2025-3-27 07:44
Optimality and Risk - Modern Trends in Mathematical FinanceThe Kabanov Festschr作者: 幼兒 時間: 2025-3-27 11:41 作者: 類似思想 時間: 2025-3-27 15:29
On the Extension of the Namioka-Klee Theorem and on the Fatou Property for Risk Measures,r structure in .—.—that enables the simplified representation. One main application of these results leads to the study of convex risk measures defined on Orlicz spaces and of their dual representation.作者: CLEAR 時間: 2025-3-27 19:07
Christopher Hill,Chia-Yi Lin,Hsin Yuan Laistructures (“torus”, “two-measured circulant”, “hypercube”) with faulty elements (processor nodes and links) is investigated. It is shown that: 1) onemeasured program structures mapped better than two-measured structures; 2) when failures are injected to the DCS structure the one-measured structures作者: 實施生效 時間: 2025-3-28 00:45 作者: 修飾 時間: 2025-3-28 03:14 作者: 是剝皮 時間: 2025-3-28 06:29
Paul Seniorory in a network from repeated geodetic data. This is known as the problem of kinematic adjustment of geodetic deformation networks..There have been different approaches to this problem. One is based on the separate adjustments of the network for each epoch, assuming that the geodetic network during作者: 慢跑 時間: 2025-3-28 11:46
Wolfgang Preefamous scientists for which they are actually not known.ProvFeatures 25 different scientists and the ideas which may not have made them famous, but made history….Typically, we remember our greatest scientists from one single invention, one new formula or one incredible breakthrough. This narrow pers作者: 聽覺 時間: 2025-3-28 17:29
B. H. Foing,P. Ehrenfreunddividuelle Firma? Sicher nicht. Wie jede Wissenschaft ist die Betriebswirtschaftslehre prim?r an den generellen Zügen der unterschiedlichen Firmen interessiert. Die genaue Analyse einer individuellen Firma dient dann eher dazu, auch anderswo zu erwartende Gesetzm??igkeiten zu finden. In diesem Sinn 作者: 寬敞 時間: 2025-3-28 21:44 作者: misshapen 時間: 2025-3-29 00:20 作者: pantomime 時間: 2025-3-29 05:13
Who Works in the North? Challenges and Opportunities for Employment,es their contents with the meaning of work derived from sociology and political science. It discusses intrinsic motivations for work and relates these with indigenous people’s traditional-ness and health issues in northern Sweden. It then relates this with old and new takes on downshifting from diff作者: 仲裁者 時間: 2025-3-29 09:23
Kohlhaas und der Kanon, oder: Was hat Kleist in der Schule Verloren?wisserei von allerlei Personen des ?ffentlichen Lebens vorführte, schleppt Heinrich von Kleist mit wie ein l?stiges Gep?ckstück: Eigentlich will keiner es noch weit tragen, aber stehenzulassen traut man sich’s auch nicht, denn es k?nnte dereinst wieder gebraucht werden. ?Lessing, Goethe, Schiller, K作者: 菊花 時間: 2025-3-29 14:39 作者: Dorsal-Kyphosis 時間: 2025-3-29 16:27 作者: instill 時間: 2025-3-29 22:33 作者: 北京人起源 時間: 2025-3-30 03:09
Reliable Blind Information Hiding for Images, or any other digital signal. Applications for such a data-hiding scheme include in-band captioning, hidden communication, image tamperproofing, authentication, embedded control, and revision tracking.作者: 甜得發(fā)膩 時間: 2025-3-30 07:09
Caverns Found and Explored During the Construction of Airports and in Quarries, research. Some very significant and large speleological systems have been discovered in the quarries. Groundwater and its condition are always taken under consideration, and caverns were also found during karst mining, for example, Labin, Ra?a, Omi?, Kistanje, Drni?, etc.作者: AMBI 時間: 2025-3-30 09:24
https://doi.org/10.1007/978-1-4302-4378-6easurements compiled by Ptolemy, the Egyptian astronomer, who had assembled the work of Hipparchus and others in the ., an astronomical compendium published two centuries after the birth of Christ. Halley’s assumption that the stars must be moving across our line of sight marked the birth of modem a作者: Phonophobia 時間: 2025-3-30 14:58
Fei Shi,Shuxia Zhu,Xinjian Chengrammes (SALPs) promoted by the International Monetary Fund and the World Bank in most cases (the main vehicles of globalisation), would not only lead to economic prosperity, but also to political liberalisation. Under globalisation, the orthodox liberal theory and its proponents proselytised, ‘ulti作者: Nostalgia 時間: 2025-3-30 18:47
Synergistic Roles of Microorganisms in Mineral Precipitates Associated with Deep Sea Methane Seeps,07), and South China Sea (Han et al. 2008; Lu 2007). It has been estimated that there are about 1,000 ～24,000 Gt of carbon in global methane hydrate zones (Dickens et al. 1997; Harvey and Huang 1995; Kvenvolden 1988; MacDonald 1990; Makogon and Makogon 1997). Methane hydrates have the potential to b作者: LIMN 時間: 2025-3-31 00:01 作者: 剝削 時間: 2025-3-31 04:55 作者: BAIL 時間: 2025-3-31 08:55 作者: NOTCH 時間: 2025-3-31 13:13
