Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
Forward-backward stochastic differential equations and their applications / / Jin Ma, Jiongmin Yong
| Forward-backward stochastic differential equations and their applications / / Jin Ma, Jiongmin Yong |
| Autore | Ma Jin <1956-> |
| Edizione | [1st ed. 2007.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer, , [2007] |
| Descrizione fisica | 1 online resource (284 p.) |
| Disciplina | 510 |
| Collana | Lecture Notes in Mathematics |
| Soggetto topico |
Mathematics
Finance Distribution (Probability theory) |
| ISBN |
1-280-85338-7
9786610853380 3-540-48831-6 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Linear Equations -- Method of Optimal Control -- Four Step Scheme -- Linear, Degenerate Backward Stochastic Partial Di erential Equations -- The Method of Continuation -- FBSDEs with Reflections -- Applications of FBSDEs -- Numerical Methods for FBSDEs. |
| Record Nr. | UNISA-996466618503316 |
Ma Jin <1956->
|
||
| Berlin, Heidelberg : , : Springer, , [2007] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Forward-backward stochastic differential equations and their applications / / Jin Ma, Jiongmin Yong
| Forward-backward stochastic differential equations and their applications / / Jin Ma, Jiongmin Yong |
| Autore | Ma Jin <1956-> |
| Edizione | [1st ed. 2007.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer, , [2007] |
| Descrizione fisica | 1 online resource (284 p.) |
| Disciplina | 510 |
| Collana | Lecture Notes in Mathematics |
| Soggetto topico |
Mathematics
Finance Distribution (Probability theory) |
| ISBN |
1-280-85338-7
9786610853380 3-540-48831-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Linear Equations -- Method of Optimal Control -- Four Step Scheme -- Linear, Degenerate Backward Stochastic Partial Di erential Equations -- The Method of Continuation -- FBSDEs with Reflections -- Applications of FBSDEs -- Numerical Methods for FBSDEs. |
| Record Nr. | UNINA-9910484376303321 |
|
Ma Jin <1956->
|
||
| Berlin, Heidelberg : , : Springer, , [2007] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Recent developments in mathematical finance [[electronic resource] ] : International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 / / editor Jiongmin Yong
| Recent developments in mathematical finance [[electronic resource] ] : International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 / / editor Jiongmin Yong |
| Pubbl/distr/stampa | Singapore ; ; River Edge, NJ, : World Scientific, 2002 |
| Descrizione fisica | 1 online resource (288p. ) : illustrations |
| Disciplina | 332.63/2/0151 |
| Altri autori (Persone) | YongJ <1958-> (Jiongmin) |
| Soggetto topico | Business mathematics |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-94836-5
9786611948368 981-279-957-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Preface v -- Dynamic Asset Management: Risk Sensitive Criterion with Nonnegative Factors Constraints 1 -- A. Bagchi and K. S. Kumar -- Intensity-Based Valuation of Basket Credit Derivatives 12 -- T. R. Bielecki and M. Rutkowski -- Comonotonicity of Backward Stochastic Differential Equations 28 -- Z. Chen and X. Wang -- Some Lookback Option Pricing Problems 39 -- X. Guo -- Option Pricing in a Market Where the Volatility Is Driven by Fractional Brownian Motions 49 -- Y. Hu -- Optimal Investment and Consumption with Fixed and Proportional Transaction Costs 60 -- H. Liu -- Sharp Estimates of Ruin Probabilities for Insurance Models Involving Investments 72 -- J. Ma and X. Sun -- Risk-Sensitive Optimal Investment Problems with Partial Information on Infinite Time Horizon 85 -- H. Nagai and S. Peng -- Filtration Consistent Nonlinear Expectations 99 -- F. Coquet, Y. Hu, J. Memin, and S. Peng -- Pricing and Hedging of Index Derivatives under an Alternative Asset Price Model with Endogenous -- Stochastic Volatility 117 -- D. Heath and E. Platen -- Risk Sensitive Asset Management with Constrained -- iaing Strategies 127 -- T. R. Bielecki, D. Hernandez-Hernandez, and S. R. Pliska -- On Filtering in Markovian Term Structure Models 139 -- C. Chiarella, S. Pasquali, and W. J. Runggaldier -- A Theory of Volatility 151 -- A. Savine -- Discrete Time Markets with Transaction Costs 168 -- L. Stettner -- The Necessity of No Asymptotic Arbitrage in APT Pricing 181 -- X. Lin, X. Liu, and Y. Sun -- Financial Mean-Variance Problems and Stochastic LQ Problems: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations 190 -- S. Tang -- Options on Dividend Paying Stocks 204 -- R. Beneder and T. Vorst -- Some Remarks on Arbitrage Pricing Theory 218 -- J. Xia and J. Yan -- Risk: From Insurance to Finance 228 -- H. Yang -- Using Stochastic Approximation Algorithms in Stock Liquidation 238 -- G. Yin, Q. Zhang, and R. H. Liu -- Contingent Claims in an Illiquid Market 249 -- H. Liu and J. Yong -- Arbitrage Pricing Systems in a Market Driven by an Ito Process 263 -- S. Luo, J. Yan, and Q. Zhang -- Participants of the Conference 273. |
| Record Nr. | UNINA-9910454066103321 |
| Singapore ; ; River Edge, NJ, : World Scientific, 2002 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Recent developments in mathematical finance [[electronic resource] ] : International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 / / editor Jiongmin Yong
| Recent developments in mathematical finance [[electronic resource] ] : International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 / / editor Jiongmin Yong |
| Pubbl/distr/stampa | Singapore ; ; River Edge, NJ, : World Scientific, 2002 |
| Descrizione fisica | 1 online resource (288p. ) : illustrations |
| Disciplina | 332.63/2/0151 |
| Altri autori (Persone) | YongJ <1958-> (Jiongmin) |
| Soggetto topico | Business mathematics |
| ISBN |
1-281-94836-5
9786611948368 981-279-957-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Preface v -- Dynamic Asset Management: Risk Sensitive Criterion with Nonnegative Factors Constraints 1 -- A. Bagchi and K. S. Kumar -- Intensity-Based Valuation of Basket Credit Derivatives 12 -- T. R. Bielecki and M. Rutkowski -- Comonotonicity of Backward Stochastic Differential Equations 28 -- Z. Chen and X. Wang -- Some Lookback Option Pricing Problems 39 -- X. Guo -- Option Pricing in a Market Where the Volatility Is Driven by Fractional Brownian Motions 49 -- Y. Hu -- Optimal Investment and Consumption with Fixed and Proportional Transaction Costs 60 -- H. Liu -- Sharp Estimates of Ruin Probabilities for Insurance Models Involving Investments 72 -- J. Ma and X. Sun -- Risk-Sensitive Optimal Investment Problems with Partial Information on Infinite Time Horizon 85 -- H. Nagai and S. Peng -- Filtration Consistent Nonlinear Expectations 99 -- F. Coquet, Y. Hu, J. Memin, and S. Peng -- Pricing and Hedging of Index Derivatives under an Alternative Asset Price Model with Endogenous -- Stochastic Volatility 117 -- D. Heath and E. Platen -- Risk Sensitive Asset Management with Constrained -- iaing Strategies 127 -- T. R. Bielecki, D. Hernandez-Hernandez, and S. R. Pliska -- On Filtering in Markovian Term Structure Models 139 -- C. Chiarella, S. Pasquali, and W. J. Runggaldier -- A Theory of Volatility 151 -- A. Savine -- Discrete Time Markets with Transaction Costs 168 -- L. Stettner -- The Necessity of No Asymptotic Arbitrage in APT Pricing 181 -- X. Lin, X. Liu, and Y. Sun -- Financial Mean-Variance Problems and Stochastic LQ Problems: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations 190 -- S. Tang -- Options on Dividend Paying Stocks 204 -- R. Beneder and T. Vorst -- Some Remarks on Arbitrage Pricing Theory 218 -- J. Xia and J. Yan -- Risk: From Insurance to Finance 228 -- H. Yang -- Using Stochastic Approximation Algorithms in Stock Liquidation 238 -- G. Yin, Q. Zhang, and R. H. Liu -- Contingent Claims in an Illiquid Market 249 -- H. Liu and J. Yong -- Arbitrage Pricing Systems in a Market Driven by an Ito Process 263 -- S. Luo, J. Yan, and Q. Zhang -- Participants of the Conference 273. |
| Record Nr. | UNINA-9910782280003321 |
| Singapore ; ; River Edge, NJ, : World Scientific, 2002 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||