Zobrazeno 1 - 6
of 6
pro vyhledávání: '"Equivalent martingal"'
Autor:
Mrad, Mohamed
In 2002, Marek Musiela Thaleia Zariphopoulo and introduced the concept of (\ em utility) forward, ie a dynamic utility, incremental, consistent with a given financial market. We can see this process as a random field $ U (t, x) $ adapted to the avail
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______166::b222211a7a882cd920693785df89c8d6
https://pastel.archives-ouvertes.fr/pastel-00005815
https://pastel.archives-ouvertes.fr/pastel-00005815
Autor:
Ioannis Karatzas
In this text, the author discusses the main aspects of mathematical finance. These include arbitrage, hedging and pricing of contingent claims, portfolio optimization, incomplete and/or constrained markets, equilibrium, and transaction costs. The boo
This book presents articles on original material from invited talks given at the “IMS Workshop on Applied Probability” organized by the Institute of Mathematical Sciences at the Chinese University of Hong Kong in May 1999. The goal of the worksho
Autor:
Erik Paul Lüders
In this book the relation between the characteristics of investors'preferences and expectations and equilibrium asset price processes are analysed. It is shown that declining elasticity of the pricing kernel can lead to positive serial correlation of
The advancement of a scientific discipline depends not only on the'big heroes'of a discipline, but also on a community's ability to reflect on what has been done in the past and what should be done in the future. This volume combines perspectives on
Autor:
Graciela Chichilnisky
This volume presents the proceedings of a workshop on geometry, topology, and markets held at The Fields Institute. The workshop was attended by eminent mathematicians and financial and economic theorists. Using a topological approach, the volume dis