Titlebook: Optimality and Risk - Modern Trends in Mathematical Finance; The Kabanov Festschr Freddy Delbaen,Miklós Rásonyi,Christophe Stricker Book 20

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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.

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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.

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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.

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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:

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978-3-642-42523-3Springer-Verlag Berlin Heidelberg 2010

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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

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