Titlebook: Optimality and Risk - Modern Trends in Mathematical Finance; The Kabanov Festschr Freddy Delbaen,Miklós Rásonyi,Christophe Stricker Book 20

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Herd-Immunity

Reservation

使迷惑

Immersion Property and Credit Risk Modelling,known that such a construction rises mathematical difficulties, mainly relied to the properties of the random time. Whereas the invariance of the property of semi-martingale in the enlargement is implied by the absence of arbitrage, we address in this paper the question of the invariance of the martingale property.

finale

Proponent

,On Comparison Theorem and its Applications to?Finance,a different condition on the drift coefficient, known in the theory of differential equations as Kamke-Wazewski condition. We also present several examples of possible applications to option price estimation in finance.

捕鯨魚叉

分開(kāi)

,The Optimal Time to Exchange one Asset for?Another on Finite Interval,.), and by Hu and Oksendal (Finance Stoch. 2(3):295–310, .), who also considered multiple assets. For a finite time horizon, the problem gets considerably more complicated and cannot be solved explicitly. In this paper we study generic properties of the optimal stopping set and its boundary curve, and derive an integral equation for the latter.

FUSE

,Long Time Growth Optimal Portfolio with?Transaction Costs,ns of capital invested in assets to be ergodic. Existence of solutions to suitable Bellman equations is proved and the form of optimal strategies is shown. For continuous time model an additional fixed deterministic delay in transactions is assumed.

Brain-Waves

On the Approximation of Geometric Fractional Brownian Motion,gale limit theorems to have a better understanding of the arbitrage in the limit model. With this approximation we associate the corresponding pricing model sequence, which has the no-arbitrage property and which is complete.