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Found 156 Documents (Results 1–100)

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The value of information for optimal portfolio management. (English) Zbl 1397.62522

Corazza, Marco (ed.) et al., Mathematical and statistical methods for actuarial sciences and finance. MAF 2018. Selected papers based on the presentations at the international conference, Madrid, Spain, April 4–6, 2018. Cham: Springer (ISBN 978-3-319-89823-0/hbk; 978-3-319-89824-7/ebook). 225-229 (2018).
MSC:  62P05 62B10 60G44
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Expected utility maximization for exponential Lévy models with option and information processes. (English. Russian original) Zbl 1358.91097

Theory Probab. Appl. 61, No. 1, 107-128 (2017); translation from Teor. Veroyatn. Primen. 61, No. 1, 26-52 (2016).
MSC:  91G10 60G51 91G20
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Evaluating hybrid products: the interplay between financial and insurance markets. (English) Zbl 1281.91098

Dalang, Robert C. (ed.) et al., Seminar on stochastic analysis, random fields and applications VII. Centro Stefano Franscini, Ascona (Ticino), Switzerland, May 23–27, 2011. Basel: Birkhäuser/Springer (ISBN 978-3-0348-0544-5/hbk; 978-3-0348-0545-2/ebook). Progress in Probability 67, 285-304 (2013).
MSC:  91B30 91G20 91B25 91G10 60G44 60H30
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Diffusion-based models for financial markets without martingale measures. (English) Zbl 1306.91125

Biagini, Francesca (ed.) et al., Risk measures and attitudes. In part based on a conference, Munich, Germany, December 2010. London: Springer (ISBN 978-1-4471-4925-5/pbk; 978-1-4471-4926-2/ebook). EAA Series, 45-81 (2013).
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Fluctuations in Markov processes. Time symmetry and martingale approximation. (English) Zbl 1396.60002

Grundlehren der Mathematischen Wissenschaften 345. Berlin: Springer (ISBN 978-3-642-29879-0/hbk; 978-3-642-29880-6/ebook). xvii, 491 p. (2012).
MSC:  60-02 60J25 60J60
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Pricing without equivalent martingale measures under complete and incomplete observation. (English) Zbl 1229.91132

Chiarella, Carl (ed.) et al., Contemporary quantitative finance. Essays in honour of Eckhard Platen. Papers based on the presentations at the international conference “Quantitative methods in finance”, Sydney, Australia, December 2009. Berlin: Springer (ISBN 978-3-642-03478-7/hbk). 99-121 (2010).
MSC:  91B25 91B24 91G80
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The numeraire portfolio in discrete time: existence, related concepts and applications. (English) Zbl 1181.91294

Albrecher, Hansjörg (ed.) et al., Advanced financial modelling. Berlin: Walter de Gruyter (ISBN 978-3-11-021313-3/hbk; 978-3-11-021314-0/ebook). Radon Series on Computational and Applied Mathematics 8, 303-326 (2009).
MSC:  91G10 91B30 91-02 91G80 60G44
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Optimal statistical inference in financial engineering. (English) Zbl 1152.62074

Boca Raton, FL: Chapman & Hall/CRC (ISBN 978-1-58488-591-7/hbk; 978-1-4200-1103-6/ebook). xii, 366 p. (2008).
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Multidimensional diffusion processes. Reprint of the 2nd correted printing (1997). (English) Zbl 1103.60005

Classics in Mathematics. Berlin: Springer (ISBN 3-540-28998-4/hbk). xii, 338 p. (2006).
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A guided tour through quadratic hedging approaches. (English) Zbl 0992.91036

Jouini, E. (ed.) et al., Option pricing, interest rates and risk management. Cambridge: Cambridge University Press. Handbooks in Mathematical Finance. 538-574 (2001).
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A transfer theorem for multitype processes and applications. (English) Zbl 0899.60072

Ahsanullah, M. (ed.), Applied statistical science, II. International workshop on Recent development in applied statistics, August 21–23, 1996, Brawijawa Univ., Malang, Indonesia. Commack, NY: Nova Science Publishers. 37-56 (1997).
MSC:  60J80 60G70
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The ASTA property. (English) Zbl 0845.60098

Dshalalow, Jewgeni H. (ed.), Advances in queueing. Theory, methods, and open problems. Boca Raton, FL: CRC Press. Probability and Stochastics Series. 195-224 (1995).
MSC:  60K25 60K20
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Four concepts in decision theory based on order completeness of \(L_ 1\). (English) Zbl 0841.62002

Mammitzsch, Volker (ed.) et al., Proceedings of the 2nd Gauss symposium. Conference B: Statistical sciences, Munich, Germany, August 2-7, 1993. Berlin: Walter de Gruyter. Symposia Gaussiana. 197-203 (1995).
MSC:  62C05 62B99
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