| 청구기호 |
HB135-147 |
| 형태사항 |
VIII, 536 p. online resource.
|
| 언어 |
English |
| 내용 |
Dynamic risk measures -- Ambit processes and stochastic partial differential equations -- Fractional processes as models in stochastic finance -- Credit contagion in a long range dependent macroeconomic factor model -- Modeling information flows in financial markets -- An overview of comonotonicity and its applicationsin finance and insurance -- A general maximum principle for anticipative stochastic control and applications to insider trading -- Analyticity of the Wiener-Hopf factors and valuation of exotic options in Levy models -- Optimal liquidation of a pairs trade -- A PDE-based approach or pricing mortgage-backed securities -- Nonparametric methods for volatility density estimation -- Fractional smoothness and applications in finance -- Liquidity models in continuous and discrete times -- Some new BSDE results for an infinite-horizon stochastic control problem -- Functionals associated with gradient stochastic flows and nonlinear SPDEs -- Fractional smoothness and applications in Finance modeled by F-doubly stochastic Markov chains -- Exotic derivatives under stochastic volatility models with jumps -- Asymptotics of HARA utility from terminal wealth under proportional transaction costs with decision lag or execution delay and obligatory diversification.
|
| 주제 |
Mathematics.
Economics, Mathematical.
Probabilities.
Sociophysics.
Econophysics.
Statistics.
Macroeconomics.
|
| 보유판 및 특별호 저록 |
Springer eBooks
|
| ISBN |
9783642184123 |
| 기타 표준번호 |
10.1007/978-3-642-18412-3 |
