Martingales and Duality in Contingent Claims Analysis
Author : Alan J. King
Publisher :
Page : 17 pages
File Size : 22,20 MB
Release : 1998
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Author : Alan J. King
Publisher :
Page : 17 pages
File Size : 22,20 MB
Release : 1998
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Author : Shaowu Tian
Publisher :
Page : 160 pages
File Size : 33,88 MB
Release : 2006
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Author : Marco Avellaneda
Publisher : World Scientific
Page : 363 pages
File Size : 47,91 MB
Release : 2002-01-18
Category : Mathematics
ISBN : 9814490598
This invaluable book contains lectures presented at the Courant Institute's Mathematical Finance Seminar. The audience consisted of academics from New York University and other universities, as well as practitioners from investment banks, hedge funds and asset-management firms.
Author : David Bryan Colwell
Publisher :
Page : 170 pages
File Size : 38,31 MB
Release : 1991
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Author : Huyên Pham
Publisher : Springer Science & Business Media
Page : 243 pages
File Size : 36,46 MB
Release : 2009-05-28
Category : Mathematics
ISBN : 3540895000
Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc. This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.
Author : Robert Dalang
Publisher : Birkhäuser
Page : 329 pages
File Size : 27,1 MB
Release : 2012-12-06
Category : Mathematics
ISBN : 3034879431
This volume contains twenty refereed papers presented at the 4th Seminar on Stochastic Processes, Random Fields and Applications, which took place in Ascona, Switzerland, from May 2002. The seminar focused mainly on stochastic partial differential equations, stochastic models in mathematical physics, and financial engineering. The book will be a valuable resource for researchers in stochastic analysis and professionals interested in stochastic methods in finance and insurance.
Author : Jia-An Yan
Publisher : Springer
Page : 406 pages
File Size : 27,88 MB
Release : 2018-10-10
Category : Mathematics
ISBN : 9811316570
This book gives a systematic introduction to the basic theory of financial mathematics, with an emphasis on applications of martingale methods in pricing and hedging of contingent claims, interest rate term structure models, and expected utility maximization problems. The general theory of static risk measures, basic concepts and results on markets of semimartingale model, and a numeraire-free and original probability based framework for financial markets are also included. The basic theory of probability and Ito's theory of stochastic analysis, as preliminary knowledge, are presented.
Author : Robert Dalang
Publisher : Springer Science & Business Media
Page : 518 pages
File Size : 16,24 MB
Release : 2008-03-12
Category : Mathematics
ISBN : 3764384581
This volume contains refereed research or review papers presented at the 5th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, from May 29 to June 3, 2004. The seminar focused mainly on stochastic partial differential equations, stochastic models in mathematical physics, and financial engineering.
Author :
Publisher : Dr. Vuong Quan Hoang
Page : 7 pages
File Size : 40,15 MB
Release :
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Author : D. Kannan
Publisher : CRC Press
Page : 808 pages
File Size : 44,68 MB
Release : 2001-10-23
Category : Mathematics
ISBN : 1482294702
An introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.