From Stochastic Calculus to Mathematical Finance: The Shiryaev Festschrift

Author:   Yu. Kabanov ,  R. Liptser ,  J. Stoyanov
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Edition:   Softcover reprint of hardcover 1st ed. 2006
ISBN:  

9783642068034


Pages:   633
Publication Date:   14 October 2010
Format:   Paperback
Availability:   In Print   Availability explained
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From Stochastic Calculus to Mathematical Finance: The Shiryaev Festschrift


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Author:   Yu. Kabanov ,  R. Liptser ,  J. Stoyanov
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint:   Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Edition:   Softcover reprint of hardcover 1st ed. 2006
Dimensions:   Width: 15.50cm , Height: 3.40cm , Length: 23.50cm
Weight:   1.015kg
ISBN:  

9783642068034


ISBN 10:   3642068030
Pages:   633
Publication Date:   14 October 2010
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

Table of Contents

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 Levy 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 Ito 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.

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