Coverart for item
The Resource From stochastic calculus to mathematical finance : the Shiryaev Festschrift, Yu. Kabanov, R. Lipster, J. Stoyanov

From stochastic calculus to mathematical finance : the Shiryaev Festschrift, Yu. Kabanov, R. Lipster, J. Stoyanov

Label
From stochastic calculus to mathematical finance : the Shiryaev Festschrift
Title
From stochastic calculus to mathematical finance
Title remainder
the Shiryaev Festschrift
Statement of responsibility
Yu. Kabanov, R. Lipster, J. Stoyanov
Creator
Contributor
Subject
Genre
Language
eng
Summary
Dedicated to the eminent Russian mathematician Albert Shiryaev on the occasion of his 70th birthday, the Festschrift is a collection of papers, including several surveys, written by his former students, co-authors and colleagues. These reflect the wide range of scientific interests of the teacher and his Moscow school. The topics range from the disorder problems to stochastic calculus and their applications to mathematical economics and finance. A full biobibliography of Shiryaev's works is included. The book represents the modern state of art of many aspects of a quickly maturing theory and will be an essential source and reading for researchers in this area. The diversity of the topics and the comprehensive style of the papers make the book amenable and attractive for PhD students and young researchers
Cataloging source
GW5XE
Dewey number
519.2/2
Illustrations
illustrations
Index
no index present
LC call number
QA274.2
LC item number
.B33 2005eb
Literary form
non fiction
http://bibfra.me/vocab/lite/meetingDate
2005
http://bibfra.me/vocab/lite/meetingName
Bachelier Colloquium on Stochastic Calculus and Probability
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Shiri︠a︡ev, A. N.
  • Kabanov, Yuri
  • Lipt︠s︡er, R. Sh.
  • Stoi︠a︡nov, Ĭordan
http://library.link/vocab/subjectName
  • Stochastic analysis
  • Business mathematics
  • MATHEMATICS
  • Stochastic analysis
  • Business mathematics
  • Business mathematics
  • Stochastic analysis
  • Stochastische analyse
  • Financiering
Label
From stochastic calculus to mathematical finance : the Shiryaev Festschrift, Yu. Kabanov, R. Lipster, J. Stoyanov
Instantiates
Publication
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
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 Lévy 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 Itô 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
Control code
262692598
Dimensions
unknown
Extent
1 online resource (xxxvii, 633 pages)
Form of item
online
Isbn
9783540307822
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
9783540307822
Other physical details
illustrations
http://library.link/vocab/ext/overdrive/overdriveId
978-3-540-30782-2
Specific material designation
remote
System control number
(OCoLC)262692598
Label
From stochastic calculus to mathematical finance : the Shiryaev Festschrift, Yu. Kabanov, R. Lipster, J. Stoyanov
Publication
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
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 Lévy 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 Itô 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
Control code
262692598
Dimensions
unknown
Extent
1 online resource (xxxvii, 633 pages)
Form of item
online
Isbn
9783540307822
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
9783540307822
Other physical details
illustrations
http://library.link/vocab/ext/overdrive/overdriveId
978-3-540-30782-2
Specific material designation
remote
System control number
(OCoLC)262692598

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