Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Optional Decomposition Of Supermartingales And Hedging Contingent Claims In Incomplete Security Markets PDF full book. Access full book title Optional Decomposition Of Supermartingales And Hedging Contingent Claims In Incomplete Security Markets.
| Author | : D. O. Kramkov |
| Publisher | : |
| Total Pages | : 28 |
| Release | : 1994 |
| Genre | : |
| ISBN | : |
| Author | : Dmitrij O. Kramkov |
| Publisher | : |
| Total Pages | : 28 |
| Release | : 1994 |
| Genre | : |
| ISBN | : |
| Author | : Yoshio Miyahara |
| Publisher | : World Scientific |
| Total Pages | : 200 |
| Release | : 2012 |
| Genre | : Electronic books |
| ISBN | : 1848163487 |
This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric L(r)vy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure. This volume also presents the calibration procedure of the [GLP \& MEMM] model that has been widely used in the application of practical problem
| Author | : Chris Myers |
| Publisher | : BoD – Books on Demand |
| Total Pages | : 663 |
| Release | : 2010-08-17 |
| Genre | : Computers |
| ISBN | : 9533071214 |
Uncertainty presents significant challenges in the reasoning about and controlling of complex dynamical systems. To address this challenge, numerous researchers are developing improved methods for stochastic analysis. This book presents a diverse collection of some of the latest research in this important area. In particular, this book gives an overview of some of the theoretical methods and tools for stochastic analysis, and it presents the applications of these methods to problems in systems theory, science, and economics.
| Author | : Rainer Buckdahn |
| Publisher | : CRC Press |
| Total Pages | : 294 |
| Release | : 2002-05-16 |
| Genre | : Mathematics |
| ISBN | : 9780415298834 |
This volume comprises selected papers presented at the 12th Winter School on Stochastic Processes and their Applications, which was held in Siegmundsburg, Germany, in March 2000. The contents include Backward Stochastic Differential Equations; Semilinear PDE and SPDE; Arbitrage Theory; Credit Derivatives and Models for Correlated Defaults; Three Intertwined Brownian Topics: Exponential Functionals, Winding Numbers and Local Times. A unique opportunity to read ideas from all the top experts on the subject, Stochastic Processes and Related Topics is intended for postgraduates and researchers working in this area of mathematics and provides a useful source of reference.
| Author | : Robert C. Dalang |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 314 |
| Release | : 1999-04-01 |
| Genre | : Mathematics |
| ISBN | : 9783764361068 |
A collection of 20 refereed research or review papers presented at a six-day seminar in Switzerland. The contributions focus on stochastic analysis, its applications to the engineering sciences, and stochastic methods in financial models, which was the subject of a minisymposium.
| Author | : Pierre Bernhard |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 348 |
| Release | : 2012-12-14 |
| Genre | : Mathematics |
| ISBN | : 0817683887 |
Toward the late 1990s, several research groups independently began developing new, related theories in mathematical finance. These theories did away with the standard stochastic geometric diffusion “Samuelson” market model (also known as the Black-Scholes model because it is used in that most famous theory), instead opting for models that allowed minimax approaches to complement or replace stochastic methods. Among the most fruitful models were those utilizing game-theoretic tools and the so-called interval market model. Over time, these models have slowly but steadily gained influence in the financial community, providing a useful alternative to classical methods. A self-contained monograph, The Interval Market Model in Mathematical Finance: Game-Theoretic Methods assembles some of the most important results, old and new, in this area of research. Written by seven of the most prominent pioneers of the interval market model and game-theoretic finance, the work provides a detailed account of several closely related modeling techniques for an array of problems in mathematical economics. The book is divided into five parts, which successively address topics including: · probability-free Black-Scholes theory; · fair-price interval of an option; · representation formulas and fast algorithms for option pricing; · rainbow options; · tychastic approach of mathematical finance based upon viability theory. This book provides a welcome addition to the literature, complementing myriad titles on the market that take a classical approach to mathematical finance. It is a worthwhile resource for researchers in applied mathematics and quantitative finance, and has also been written in a manner accessible to financially-inclined readers with a limited technical background.
| Author | : Hans Föllmer |
| Publisher | : Walter de Gruyter |
| Total Pages | : 557 |
| Release | : 2011 |
| Genre | : Business & Economics |
| ISBN | : 3110218046 |
This is the third, revised and extended edition of the classical introduction to the mathematics of finance, based on stochastic models in discrete time. In the first part of the book simple one-period models are studied, in the second part the idea
| Author | : Mohamed Abdelghani |
| Publisher | : CRC Press |
| Total Pages | : 400 |
| Release | : 2020-07-14 |
| Genre | : Business & Economics |
| ISBN | : 0429809247 |
It is well-known that modern stochastic calculus has been exhaustively developed under usual conditions. Despite such a well-developed theory, there is evidence to suggest that these very convenient technical conditions cannot necessarily be fulfilled in real-world applications. Optional Processes: Theory and Applications seeks to delve into the existing theory, new developments and applications of optional processes on "unusual" probability spaces. The development of stochastic calculus of optional processes marks the beginning of a new and more general form of stochastic analysis. This book aims to provide an accessible, comprehensive and up-to-date exposition of optional processes and their numerous properties. Furthermore, the book presents not only current theory of optional processes, but it also contains a spectrum of applications to stochastic differential equations, filtering theory and mathematical finance. Features Suitable for graduate students and researchers in mathematical finance, actuarial science, applied mathematics and related areas Compiles almost all essential results on the calculus of optional processes in unusual probability spaces Contains many advanced analytical results for stochastic differential equations and statistics pertaining to the calculus of optional processes Develops new methods in finance based on optional processes such as a new portfolio theory, defaultable claim pricing mechanism, etc. Authors Mohamed Abdelghani completed his PhD in mathematical finance from the University of Alberta, Edmonton, Canada. He is currently working as a vice president in quantitative finance and machine learning at Morgan Stanley, New York, USA. Alexander Melnikov is a professor in mathematical finance at the University of Alberta. His research interests belong to the area of contemporary stochastic analysis and its numerous applications in mathematical finance, statistics and actuarial science. He has written six books as well as over 100 research papers in leading academic journals.
| Author | : Ioannis Karatzas |
| Publisher | : American Mathematical Soc. |
| Total Pages | : 163 |
| Release | : 1997 |
| Genre | : Business & Economics |
| ISBN | : 0821809091 |
In this text, the author discusses the main aspects of mathematical finance. These include, arbitrage, hedging and pricing of contingent claims, portfolio optimization, incomplete and/or constrained markets, equilibrium, and transaction costs. The book outlines advances made possible during the last fifteen years due to the methodologies of stochastic analysis and control. Readers are presented with current research, and open problems are suggested. This tutorial survey of the rapidly expanding field of mathematical finance is addressed primarily to graduate students in mathematics. Familiarity is assumed with stochastic analysis and parabolic partial differential equations. The text makes significant use of students' mathematical skills, but always in connection with interesting applied problems.
