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From Stochastic Calculus to Mathematical Finance: The Shiryaev Festschrift / Edition 1
     

From Stochastic Calculus to Mathematical Finance: The Shiryaev Festschrift / Edition 1

by Yu. Kabanov
 

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ISBN-10: 3642068030

ISBN-13: 9783642068034

Pub. Date: 11/09/2010

Publisher: Springer Berlin Heidelberg

Dedicated to the Russian mathematician Albert Shiryaev on his 70th birthday, this is a collection of papers written by his former students, co-authors and colleagues. The book represents the modern state of art of a quickly maturing theory and will be an essential source and reading for researchers in this area. Diversity of topics and comprehensive style of the

Overview

Dedicated to the Russian mathematician Albert Shiryaev on his 70th birthday, this is a collection of papers written by his former students, co-authors and colleagues. The book represents the modern state of art of a quickly maturing theory and will be an essential source and reading for researchers in this area. Diversity of topics and comprehensive style of the papers make the book attractive for PhD students and young researchers.

Product Details

ISBN-13:
9783642068034
Publisher:
Springer Berlin Heidelberg
Publication date:
11/09/2010
Edition description:
Softcover reprint of hardcover 1st ed. 2006
Pages:
633
Product dimensions:
1.35(w) x 9.21(h) x 6.14(d)

Table of Contents

On Numerical Approximation of Shastic Burgers' Equation.- Optimal Time to Invest under Tax Exemptions.- A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales.- Interplay between Distributional and Temporal Dependence. An Empirical Study with High-frequency Asset Returns.- Asymptotic Methods for Stability Analysis of Markov Dynamical Systems with Fast Variables.- Some Particular Problems of Martingale Theory.- On the Absolute Continuity and Singularity of Measures on Filtered Spaces: Separating Times.- Optimal Hedging with Basis Risk.- Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands.- Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization.- On Existence and Uniqueness of Reflected Solutions of Shastic Equations Driven by Symmetric Stable Processes.- A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets.- Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach.- A Minimax Result for f-Divergences.- Impulse and Absolutely Continuous Ergodic Control of One-Dimensional Itô Diffusions.- A Consumption–Investment Problem with Production Possibilities.- Multiparameter Generalizations of the Dalang–Morton– Willinger Theorem.- A Didactic Note on Affine Shastic Volatility Models.- Uniform Optimal Transmission of Gaussian Messages.- A Note on the Brownian Motion.- Continuous Time Volatility Modelling: COGARCH versus Ornstein–Uhlenbeck Models.- Tail Distributions of Supremum and Quadratic Variation of Local Martingales.- Shastic Differential Equations: A Wiener Chaos Approach.- A Martingale Equation of Exponential Type.- On Local Martingale and its Supremum: Harmonic Functions and beyond.- On the Fundamental Solution of the Kolmogorov–Shiryaev Equation.- Explicit Solution to an Irreversible Investment Model with a Shastic Production Capacity.- Gittins Type Index Theorem for Randomly Evolving Graphs.- On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models.- The Optimal Stopping of a Markov Chain and Recursive Solution of Poisson and Bellman Equations.- On Lower Bounds for Mixing Coefficients of Markov Diffusions.

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