Stochastic processes, finance and control a Festschrift in honor of Robert J. Elliott
This title consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering--
Gespeichert in:
| Weitere Verfasser: | , , , , |
|---|---|
| Format: | UnknownFormat |
| Sprache: | eng |
| Veröffentlicht: |
New Jersey u.a.
World Scientific
2012
|
| Schriftenreihe: | Advances in statistics, probability and actuarial science
1 |
| Schlagworte: | |
| Online Zugang: | Inhaltsverzeichnis Inhaltstext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
Tag hinzufügen | Zusammenfassung: | This title consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering-- On the connection between discrete and continuous Wick calculus with an application to the fractional Black-Scholes model / C. Bender and P. Parczewski -- Malliavin differentiability of a class of Feller-diffusions with relevance in finance / C.-O. Ewald [and others] -- A stochastic integral for adapted and instantly independent stochastic processes / H.-H. Kuo, A. Sae-Tang and B. Szozda -- Independence of some multiple Poisson stochastic integrals with variable-sign kernels / N. Privault -- Strategies for differential games / W.H. Fleming and D. Hernâandez-Hernâandez -- BSDE approach to non-zero-sum stochastic differential games of control and stopping / I. Karatzas and Q. Li -- On optimal dividend strategies in insurance with a random time horizon / H. Albrecher and S. Thonhauser -- Counterparty risk and the impact of collateralization in CDS contracts / T.R. Bielecki, I. Cialenco and I. Iyigunler -- A modern view on Merton's jump-diffusion model / G.H.L. Cheang and C. Chiarella -- Hedging portfolio loss derivatives with CDS's / A. Cousin and M. Jeanblanc -- New analytic approximations for pricing spread options / J. van der Hoek and M.W. Korolkiewicz -- On the polynomial-normal model and option pricing / H. Li and A. Melnikov -- A functional transformation approach to interest rate modelling / S. Luo, J. Yan and Q. Zhang -- S & P 500 index option surface drivers and their risk neutral and real world quadratic covariations / D.B. Madan -- A dynamic portfolio approach to asset markets and monetary policy / E. Platen and W. Semmler -- Mean-variance portfolio selection under regime-switching diffusion asset models : a two-time-scale limit / G. Yin and Y. Talafha -- Existence and uniqueness of solutions for a partially observed stochastic control problem / A. Bensoussan [and others] -- Continuous control of piecewise deterministic Markov processes with long run average cost / O.L.V. Costa and F. Dufour -- Stochastic linear-quadratic control revisited / T.E. Duncan -- Optimization of stochastic undertain systems : entropy rate functionals, minimax games and robustness / F. Rezaei, C.D., Charalambous and N.U. Ahmed -- Gradient based policy optimization of constrained Markov decision processes / V. Krishnamurthy and F.J. Vâazquez Abad -- Parameter estimation of a regime-switching model using an inverse Stieltjes moment approach / X. Xi, M.R. Rodrigo and R.S. Mamon -- An optimal inventory-price coordinaton policy / H. Zhang and Q. Zhang |
|---|---|
| Beschreibung: | Literaturangaben |
| Beschreibung: | xv, 588 S. graph. Darst. |
| ISBN: | 9789814383301 978-981-4383-30-1 9814383309 981-4383-30-9 |