Optimality and Risk - Modern Trends in Mathematical Finance

The Kabanov Festschrift

Table of contents

  1. Front Matter
    Pages I-XVIII
  2. Alexander Cherny, Bruno Dupire
    Pages 29-38
  3. Monique Jeanblanc, Yann Le Cam
    Pages 99-132
  4. Claudia Klüppelberg, Serguei Pergamenchtchikov
    Pages 133-170
  5. Vladislav Y. Krasin, Alexander V. Melnikov
    Pages 171-181
  6. R. Liptser
    Pages 183-196
  7. Yuliya Mishura, Georgiy Shevchenko
    Pages 197-210
  8. Miklós Rásonyi
    Pages 211-225

About this book

Introduction

Problems of stochastic optimization and various mathematical aspects of risk are the main themes of this contributed volume. The readers learn about the recent results and techniques of optimal investment, risk measures and derivative pricing. There are also papers touching upon credit risk, martingale theory and limit theorems.

Forefront researchers in probability and financial mathematics have contributed to this volume paying tribute to Yuri Kabanov, an eminent researcher in probability and mathematical finance, on the occasion of his 60th birthday. The volume gives a fair overview of these topics and the current approaches.

Keywords

Measure Stochastic Optimization mathematical finance modeling optimal investment optimization risk measures

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-02608-9
  • Copyright Information Springer-Verlag Berlin Heidelberg 2010
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-642-02607-2
  • Online ISBN 978-3-642-02608-9
  • About this book