Three Essays on Continuous-time Diffusion Models
Author | : Seungmoon Choi |
Publisher | : |
Total Pages | : 216 |
Release | : 2005 |
Genre | : |
ISBN | : |
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Author | : Seungmoon Choi |
Publisher | : |
Total Pages | : 216 |
Release | : 2005 |
Genre | : |
ISBN | : |
Author | : Yoosoon Chang |
Publisher | : Emerald Group Publishing |
Total Pages | : 449 |
Release | : 2023-04-24 |
Genre | : Business & Economics |
ISBN | : 1837532125 |
Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.
Author | : Jochen Blath |
Publisher | : European Mathematical Society |
Total Pages | : 270 |
Release | : 2011 |
Genre | : Business mathematics |
ISBN | : 9783037190722 |
The 33rd Bernoulli Society Conference on Stochastic Processes and Their Applications was held in Berlin from July 27 to July 31, 2009. It brought together more than 600 researchers from 49 countries to discuss recent progress in the mathematical research related to stochastic processes, with applications ranging from biology to statistical mechanics, finance and climatology. This book collects survey articles highlighting new trends and focal points in the area written by plenary speakers of the conference, all of them outstanding international experts. A particular aim of this collection is to inspire young scientists to pursue research goals in the wide range of fields represented in this volume.
Author | : |
Publisher | : |
Total Pages | : 640 |
Release | : 2009 |
Genre | : Dissertations, Academic |
ISBN | : |
Author | : |
Publisher | : |
Total Pages | : 304 |
Release | : 2005-12 |
Genre | : Economics |
ISBN | : |
Author | : Lionel Martellini |
Publisher | : |
Total Pages | : 390 |
Release | : 2000 |
Genre | : |
ISBN | : |
Author | : Shu Yan |
Publisher | : |
Total Pages | : 310 |
Release | : 2000 |
Genre | : Stock exchanges |
ISBN | : |
Author | : David Lando |
Publisher | : |
Total Pages | : 292 |
Release | : 1994 |
Genre | : Credit |
ISBN | : |
Author | : Clemens Mueller |
Publisher | : |
Total Pages | : 208 |
Release | : 2000 |
Genre | : |
ISBN | : |
Author | : Ioannis Karatzas |
Publisher | : Springer |
Total Pages | : 426 |
Release | : 2017-01-10 |
Genre | : Mathematics |
ISBN | : 1493968459 |
This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. The latter topic is extended to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the book. This book will be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options.