From Stochastic Calculus to Mathematical Finance

Kabanov, Yuri; Liptser, Robert; Stoyanov, Jordan

From Stochastic Calculus to Mathematical Finance

Yuri Kabanov, Robert Liptser and Jordan Stoyanov
Additional contact information
Yuri Kabanov: Université de Franche-Comté
Robert Liptser: Tel Aviv University, Department of Electrical Engineering-Systems
Jordan Stoyanov: University of Newcastle, School of Mathematics & Statistics

in Springer Books from Springer

Date: 2006
ISBN: 978-3-540-30788-4
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Chapters in this book:

On Numerical Approximation of Stochastic Burgers' Equation: Aureli Alabert and István Gyongy
Optimal Time to Invest under Tax Exemptions: Vadim I. Arkin and Alexander D. Slastnikov
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales: Ole E. Barndorff–Nielsen, Svend Erik Graversen, Jean Jacod, Mark Podolskij and Neil Shephard
Interplay between Distributional and Temporal Dependence. An Empirical Study with High-frequency Asset Returns: Nick H. Bingham and Rafael Schmidt
Asymptotic Methods for Stability Analysis of Markov Dynamical Systems with Fast Variables: Jevgenijs Carkovs and Jordan Stoyanov
Some Particular Problems of Martingale Theory: Alexander Cherny
On the Absolute Continuity and Singularity of Measures on Filtered Spaces: Separating Times: Alexander Cherny and Mikhail Urusov
Optimal Hedging with Basis Risk: Mark H. A. Davis
Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands: Bernard Delyon, Anatoly Juditsky and Robert Liptser
Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization: Giovanni B. Di Masi and Lukasz Stettner
On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes: Hans-Jürgen Engelbert, Vladimir P. Kurenok and Adrian Zalinescu
A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets: José Fajardo and Ernesto Mordecki
Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach: Dario Gasbarra, Esko Valkeila and Lioudmila Vostrikova
A Minimax Result for f-Divergences: Alexander A. Gushchin and Denis A. Zhdanov
Impulse and Absolutely Continuous Ergodic Control of One-Dimensional Itô Diffusions: Andrew Jack and Mihail Zervos
A Consumption–Investment Problem with Production Possibilities: Yuri Kabanov and Masaaki Kijima
Multiparameter Generalizations of the Dalang–Morton– Willinger Theorem: Yuri Kabanov, Yuliya Mishura and Ludmila Sakhno
A Didactic Note on Affine Stochastic Volatility Models: Jan Kallsen
Uniform Optimal Transmission of Gaussian Messages: Pavel K. Katyshev
A Note on the Brownian Motion: Kiyoshi Kawazu
Continuous Time Volatility Modelling: COGARCH versus Ornstein–Uhlenbeck Models: Claudia Klüppelberg, Alexander Lindner and Ross Maller
Tail Distributions of Supremum and Quadratic Variation of Local Martingales: Robert Liptser and Alexander Novikov
Stochastic Differential Equations: A Wiener Chaos Approach: Sergey Lototsky and Boris Rozovskii
A Martingale Equation of Exponential Type: Michael Mania and Revaz Tevzadze
On Local Martingale and its Supremum: Harmonic Functions and beyond: Jan Oblój and Marc Yor
On the Fundamental Solution of the Kolmogorov–Shiryaev Equation: Goran Peskir
Explicit Solution to an Irreversible Investment Model with a Stochastic Production Capacity: Huyên Pham
Gittins Type Index Theorem for Randomly Evolving Graphs: Ernst Presman and Isaac Sonin
On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models: Miklós Résonyi and Lukasz Stettner
The Optimal Stopping of a Markov Chain and Recursive Solution of Poisson and Bellman Equations: Isaac M. Sonin
On Lower Bounds for Mixing Coefficients of Markov Diffusions: A.Yu. Veretennikov

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprbok:978-3-540-30788-4

Ordering information: This item can be ordered from
http://www.springer.com/9783540307884

DOI: 10.1007/978-3-540-30788-4

Access Statistics for this book

More books in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().