ENGLISH

Optimality and Risk - Modern Trends in Mathematical Finance: The Kabanov Festschrift

By Sara Biagini (auth.)

Book information

Publisher
Springer-Verlag Berlin Heidelberg
Year
2010
ISBN
978-3-642-02608-9, 3642026087, 978-3-642-02607-2
DOI
10.1007/978-3-642-02608-9
Language
english
Format
PDF
Filesize
3 MB (3637007 bytes)
Edition
1
Pages
266\281
Topic
Economy
Time added
2014-06-12 06:00:00
EconomicsQuantitative Finance; Game TheorySocial and Behav. Sciences; Probability Theory and

Description

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.

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