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Mathematics of finance : proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance, June 22-26, 2003, Snowbird, Utah / / Geroge Yin, Qing Zhang, editors
| Mathematics of finance : proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance, June 22-26, 2003, Snowbird, Utah / / Geroge Yin, Qing Zhang, editors |
| Pubbl/distr/stampa | Providence, Rhode Island : , : American Mathematical Society, , [2004] |
| Descrizione fisica | 1 online resource (414 p.) |
| Disciplina | 332.6/01/51 |
| Collana | Contemporary mathematics |
| Soggetto topico | Business mathematics |
| Soggetto genere / forma | Electronic books. |
| ISBN |
0-8218-7941-3
0-8218-3412-6 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Contents""; ""Preface""; ""List of Speakers and Title of Talks""; ""Credit Barrier Models in a Discrete Framework""; ""Optimal Derivatives Design under Dynamic Risk Measures""; ""On Pricing of Forward and Futures Contracts on Zero-Coupon Bonds in the Cox-Ingersoll-Ross Model""; ""Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches (I)""; ""Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches (II)""; ""Spot Convenience Yield Models for the Energy Markets""; ""Optimal Portfolio Management with Consumption""
""Some Processes Associated with a Fractional Brownian Motion""""Pricing Claims on Non Tradable Assets""; ""Some Optimal Investment, Production and Consumption Models""; ""Asian Options under Multiscale Stochastic Volatility""; ""A Regime Switching Model: Statistical Estimation, Empirical Evidence, and Change Point Detection""; ""Multinomial Maximum Likelihood Estimation of Market Parameters for Stock Jump-Diffusion Models""; ""Optimal Terminal Wealth under Partial Information for HMM Stock Returns""; ""Computing Optimal Selling Rules for Stocks Using Linear Programming"" ""Optimization of Consumption and Portfolio and Minimization of Volatility""""Options: To Buy or not to Buy?""; ""Risk Sensitive Optimal Investment: Solutions of the Dynamical Programming Equation""; ""Hedging Default Risk in an Incomplete Market""; ""Mean-Variance Portfolio Choice with Discontinuous Asset Prices and Nonnegative Wealth Processes""; ""Indifference Prices of Early Exercise Claims""; ""Random Walk around Some Problems in Identification and Stochastic Adaptive Control with Applications to Finance""; ""Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models"" ""Why is the Effect of Proportional Transaction Costs O(Î?2/3)?""""Estimation via Stochastic Filtering in Financial Market Models""; ""Stochastic Optimal Control Modeling of Debt Crises""; ""Duality and Risk Sensitive Portfolio Optimization""; ""Characterizing Option Prices by Linear Programs""; ""Pricing Defaultable Bond with Regime Switching""; ""Affine Regime-Switching Models for Interest Rate Term Structure""; ""Stochastic Approximation Methods for Some Finance Problems"" |
| Record Nr. | UNINA-9910480427303321 |
| Providence, Rhode Island : , : American Mathematical Society, , [2004] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematics of finance : proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance, June 22-26, 2003, Snowbird, Utah / / George Yin, Qing Zhang, editors
| Mathematics of finance : proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance, June 22-26, 2003, Snowbird, Utah / / George Yin, Qing Zhang, editors |
| Pubbl/distr/stampa | Providence, Rhode Island : , : American Mathematical Society, , [2004] |
| Descrizione fisica | 1 online resource (414 p.) |
| Disciplina | 332.6/01/51 |
| Collana | Contemporary mathematics |
| Soggetto topico | Business mathematics |
| ISBN |
0-8218-7941-3
0-8218-3412-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Credit barrier models in a discrete framework / Claudio Albanese and Oliver X. Chen -- Optimal derivatives design under dynamic risk measures / Pauline Barrieu and Nicole El Karoui -- On pricing of forward and futures contracts on zero-coupon bonds in the Cox-Ingersoll-Ross model / Jedrzej Bialkowski and Jacek Jakubowski -- Pricing and hedging of credit risk : replication and mean-variance approaches (I) / Tomasz R. Bielecki, Monique Jeanblanc and Marek Rutkowski -- Pricing and hedging of credit risk : replication and mean-variance approaches (II) / Tomasz R. Bielecki, Monique Jeanblanc and Marek Rutkowski -- Spot convenience yield models for the energy markets / Rene Carmona and Michael Ludkovski -- Optimal portfolio management with consumption / Netzahualcoyotl Castaneda-Leyva and Daniel Hernandez-Hernandez -- Some processes associated with a fractional Brownian motion / T. E. Duncan -- Pricing claims on non tradable assets / Robert J. Elliott and John van der Hoek -- Some optimal investment, production and consumption models / Wendell H. Fleming -- Asian options under multiscale stochastic volatility / Jean-Pierre Fouque and Chuan-Hsiang Han -- A regime switching model : statistical estimation, empirical evidence, and change point detection / Xin Guo -- Multinomial maximum likelihood estimation of market parameters for stock jump-diffusion models / Floyd B. Hanson, John J. Westman and Zongwu Zhu -- Optimal terminal wealth under partial information for HMM stock returns / Ulrich G. Haussmann and Jorn Sass -- Computing optimal selling rules for stocks using linear programming / Kurt Helmes -- Optimization of consumption and portfolio and minimization of volatility / Yaozhong Hu -- Options : to buy or not to buy? / Mattias Jonsson and Ronnie Sircar -- Risk sensitive optimal investment : solutions of the dynamical programming equation / H. Kaise and S. J. Sheu -- Hedging default risk in an incomplete market / Andrew E. B. Lim -- Mean-variance portfolio choice with discontinuous asset prices and nonnegative wealth processes / Andrew E. B. Lim and Xun Yu Zhou -- Indifference prices of early exercise claims / Marek Musiela and Thaleia Zariphopoulou -- Random walk around some problems in identification and stochastic adaptive control with applications to finance / Bozenna Pasik-Duncan -- Pricing and hedging for incomplete jump diffusion benchmark models / Eckhard Platen -- Why is the effect of proportional transaction costs O([delta][superscript 2/3])? / L. C. G. Rogers -- Estimation via stochastic filtering in financial market models / Wolfgang J. Runggaldier -- Stochastic optimal control modeling of debt crises / Jerome L. Stein -- Duality and risk sensitive portfolio optimization / Lukasz Stettner -- Characterizing option prices by linear programs / Richard H. Stockbridge -- Pricing defaultable bond with regime switching / J. W. Wang and Q. Zhang -- Affine regime-switching models for interest rate term structure / Shu Wu and Yong Zeng -- Stochastic approximation methods for some finance problems / G. Yin and Q. Zhang. |
| Record Nr. | UNINA-9910788666703321 |
| Providence, Rhode Island : , : American Mathematical Society, , [2004] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematics of finance : proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance, June 22-26, 2003, Snowbird, Utah / / George Yin, Qing Zhang, editors
| Mathematics of finance : proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance, June 22-26, 2003, Snowbird, Utah / / George Yin, Qing Zhang, editors |
| Pubbl/distr/stampa | Providence, Rhode Island : , : American Mathematical Society, , [2004] |
| Descrizione fisica | 1 online resource (414 p.) |
| Disciplina | 332.6/01/51 |
| Collana | Contemporary mathematics |
| Soggetto topico | Business mathematics |
| ISBN |
0-8218-7941-3
0-8218-3412-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Credit barrier models in a discrete framework / Claudio Albanese and Oliver X. Chen -- Optimal derivatives design under dynamic risk measures / Pauline Barrieu and Nicole El Karoui -- On pricing of forward and futures contracts on zero-coupon bonds in the Cox-Ingersoll-Ross model / Jedrzej Bialkowski and Jacek Jakubowski -- Pricing and hedging of credit risk : replication and mean-variance approaches (I) / Tomasz R. Bielecki, Monique Jeanblanc and Marek Rutkowski -- Pricing and hedging of credit risk : replication and mean-variance approaches (II) / Tomasz R. Bielecki, Monique Jeanblanc and Marek Rutkowski -- Spot convenience yield models for the energy markets / Rene Carmona and Michael Ludkovski -- Optimal portfolio management with consumption / Netzahualcoyotl Castaneda-Leyva and Daniel Hernandez-Hernandez -- Some processes associated with a fractional Brownian motion / T. E. Duncan -- Pricing claims on non tradable assets / Robert J. Elliott and John van der Hoek -- Some optimal investment, production and consumption models / Wendell H. Fleming -- Asian options under multiscale stochastic volatility / Jean-Pierre Fouque and Chuan-Hsiang Han -- A regime switching model : statistical estimation, empirical evidence, and change point detection / Xin Guo -- Multinomial maximum likelihood estimation of market parameters for stock jump-diffusion models / Floyd B. Hanson, John J. Westman and Zongwu Zhu -- Optimal terminal wealth under partial information for HMM stock returns / Ulrich G. Haussmann and Jorn Sass -- Computing optimal selling rules for stocks using linear programming / Kurt Helmes -- Optimization of consumption and portfolio and minimization of volatility / Yaozhong Hu -- Options : to buy or not to buy? / Mattias Jonsson and Ronnie Sircar -- Risk sensitive optimal investment : solutions of the dynamical programming equation / H. Kaise and S. J. Sheu -- Hedging default risk in an incomplete market / Andrew E. B. Lim -- Mean-variance portfolio choice with discontinuous asset prices and nonnegative wealth processes / Andrew E. B. Lim and Xun Yu Zhou -- Indifference prices of early exercise claims / Marek Musiela and Thaleia Zariphopoulou -- Random walk around some problems in identification and stochastic adaptive control with applications to finance / Bozenna Pasik-Duncan -- Pricing and hedging for incomplete jump diffusion benchmark models / Eckhard Platen -- Why is the effect of proportional transaction costs O([delta][superscript 2/3])? / L. C. G. Rogers -- Estimation via stochastic filtering in financial market models / Wolfgang J. Runggaldier -- Stochastic optimal control modeling of debt crises / Jerome L. Stein -- Duality and risk sensitive portfolio optimization / Lukasz Stettner -- Characterizing option prices by linear programs / Richard H. Stockbridge -- Pricing defaultable bond with regime switching / J. W. Wang and Q. Zhang -- Affine regime-switching models for interest rate term structure / Shu Wu and Yong Zeng -- Stochastic approximation methods for some finance problems / G. Yin and Q. Zhang. |
| Record Nr. | UNINA-9910828845903321 |
| Providence, Rhode Island : , : American Mathematical Society, , [2004] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic analysis, filtering, and stochastic optimization : a commemorative volume to honor Mark H.A. Davis's contributions / / edited by George Yin and Thaleia Zariphopoulou
| Stochastic analysis, filtering, and stochastic optimization : a commemorative volume to honor Mark H.A. Davis's contributions / / edited by George Yin and Thaleia Zariphopoulou |
| Pubbl/distr/stampa | Cham, Switzerland : , : Springer, , [2022] |
| Descrizione fisica | 1 online resource (483 pages) |
| Disciplina | 519.22 |
| Soggetto topico |
Stochastic analysis
Mathematical optimization Anàlisi estocàstica Optimització matemàtica |
| Soggetto genere / forma |
Homenatges
Llibres electrònics |
| ISBN | 3-030-98519-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-996472037703316 |
| Cham, Switzerland : , : Springer, , [2022] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Stochastic Analysis, Filtering, and Stochastic Optimization : A Commemorative Volume to Honor Mark H. A. Davis's Contributions / / edited by George Yin, Thaleia Zariphopoulou
| Stochastic Analysis, Filtering, and Stochastic Optimization : A Commemorative Volume to Honor Mark H. A. Davis's Contributions / / edited by George Yin, Thaleia Zariphopoulou |
| Edizione | [1st ed. 2022.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2022 |
| Descrizione fisica | 1 online resource (483 pages) |
| Disciplina | 519.22 |
| Collana | Mathematics and Statistics Series |
| Soggetto topico |
Stochastic analysis
Stochastic processes Mathematical optimization Stochastic Analysis Stochastic Systems and Control Optimization |
| ISBN | 3-030-98519-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Control in Hilbert Space and First-Order Mean Field Type Problem (A. Bensoussan) -- Risk-Sensitive Markov Decision Problems under Model Uncertainty: Finite Time Horizon Case (R. Bielecki) -- Optimal Control of Piecewise Deterministic Markov Processes (F. Dufour) -- Pathwise Approximations for the Solution of the Non-Linear Filtering Problem (D. Crisan) -- Discrete-Time Portfolio Optimization under Maximum Drawdown Constraint with Partial Information and Deep Learning Resolution (H. Pham) -- Estimating the Matthew Effects: Switching Pareto Dynamics (J. Elliott) -- Optimal Couplings on Wiener Space and An Extension of Talagrand's Transport Inequality (F¨ollmer) -- Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation (Yu Zhou) -- N-Player and Mean-Field Games in Ito-Diffusion Markets with Competitive or Homophilous Interaction (T. Zariphopoulou) -- A Variational Characterization of Langevin-Smoluchowski Diffusions (H. Xing) -- Incomplete Stochastic Equilibria with Exponential Utilities Close to Pareto Optimality (B. Tschiderer) -- Finite Markov Chains Coupled to General Markov Processes and An Application to Metastability I (J. Swanson) -- Finite Markov Chains Coupled to General Markov Processes and An Application to Metastability II (J. Swanson) -- Maximally Distributed Random Fields under Sublinear Expectation (S. Peng) -- Pairs Trading under Geometric Brownian Motion Models (Q. Zhang) -- Equilibrium Model of Limit Order Books: A Mean-Field Game View (J. Ma) -- Bounded Regret for Finitely Parameterized Multi-Armed Bandits (P. Varaiya) -- Developing the Path Signature Methodology and Its Application to Landmark-Based Human Action Recognition (T. Lyons). |
| Record Nr. | UNINA-9910564690403321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2022 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic analysis, stochastic systems, and applications to finance [[electronic resource] /] / edited by Allanus Tsoi, David Nualart, George Yin
| Stochastic analysis, stochastic systems, and applications to finance [[electronic resource] /] / edited by Allanus Tsoi, David Nualart, George Yin |
| Pubbl/distr/stampa | Singapore, : World Scientific, c2011 |
| Descrizione fisica | 1 online resource (274 p.) |
| Disciplina | 332.0151922 |
| Altri autori (Persone) |
TsoiAllanus Hak-Man <1955->
NualartDavid <1951-> YinGeorge <1954-> |
| Soggetto topico |
Finance - Mathematical models
Stochastic systems Stochastic analysis |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-283-43395-8
9786613433954 981-4355-71-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Stochastic analysis and systems -- pt. 2. Finance and stochastics. |
| Record Nr. | UNINA-9910464515603321 |
| Singapore, : World Scientific, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic analysis, stochastic systems, and applications to finance [[electronic resource] /] / edited by Allanus Tsoi, David Nualart, George Yin
| Stochastic analysis, stochastic systems, and applications to finance [[electronic resource] /] / edited by Allanus Tsoi, David Nualart, George Yin |
| Pubbl/distr/stampa | Singapore, : World Scientific, c2011 |
| Descrizione fisica | 1 online resource (274 p.) |
| Disciplina | 332.0151922 |
| Altri autori (Persone) |
TsoiAllanus Hak-Man <1955->
NualartDavid <1951-> YinGeorge <1954-> |
| Soggetto topico |
Finance - Mathematical models
Stochastic systems Stochastic analysis |
| ISBN |
1-283-43395-8
9786613433954 981-4355-71-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Stochastic analysis and systems -- pt. 2. Finance and stochastics. |
| Record Nr. | UNINA-9910789068903321 |
| Singapore, : World Scientific, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||