Read Stochastic Processes, Finance and Control: A Festschrift in Honor of Robert J Elliott (Advances in Statistics, Probability and Actuarial Science, Volume 1)

Stochastic Processes, Finance and Control: A Festschrift in Honor of Robert J Elliott (Advances in Statistics, Probability and Actuarial Science, Volume 1)

Unknown Author

4.9/5 (13718 ratings)

Description:This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas.This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control.Contributing authors H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy. Stochastic On the Connection Between Discrete and Continuous Wick Calculus with an Application to the Fractional Black-Scholes Model (C Bender and P Parczewski)Malliavin Differentiability of a Class of Feller-Diffusions with Relevance in Finance (C-O Ewald, Y Xiao, Y Zou and T K Siu)A Stochastic Integral for Adapted and Instantly Independent Stochastic Processes (H-H Kuo, A Sae-Tang and B Szozda)Independence of Some Multiple Poisson Stochastic Integrals with Variable-Sign Kernels (N Privault) Differential and Stochastic Strategies for Differential Games (W H Fleming and D Hernández-Hernández)BSDE Approach to Non-Zero-Sum Stochastic Differential Games of Control and Stopping (I Karatzas and Q Li) Mathematical On Optimal Dividend Strategies in Insurance with a Random Time Horizon (H Albrecher and S Thonhauser)Counterparty Risk and the Impact of Collateralization in CDS Contracts (T R Bielecki, I Cialenco and I Iyigunler)A Modern View on Merton's Jump-Diffusion Model (G H L Cheang and C Chiarella)Hedging Portfolio Loss Derivatives with CDS's (A Cousin and M Jeanblanc)New Analytic Approximations for Pricing Spread Options (J van der Hoek and M W Korolkiewicz)On the Polynomial–Normal Model and Option Pricing (H Li and A Melnikov)A Functional Transformation Approach to Interest Rate Modelling(S Luo, J Yan and Q Zhang)S&P 500 Index Option Surface Drivers and Their Risk Neutral and Real World Quadratic Covariations (D B Madan)A Dynamic Portfolio Approach to Asset Markets and Monetary Policy (E Platen and W Semmler)Mean-Variance Portfolio Selection Under Regime-Switching Diffusion Asset A Two-Time-Scale Limit (G Yin and Y Talafha) Filtering and Existence and Uniqueness of Solutions for a Partially Observed Stochastic Control Problem (A Bensoussan, M Çakanyildirim, M Li and S P Sethi)Continuous Control of Piecewise Deterministic Markov Processes with Long Run Average Cost (O L V Costa and F Dufour)Stochastic Linear-Quadratic Control Revisited (T E Duncan)Optimization of Stochastic Uncertain Entropy Rate Functionals, Minimax Games and Robustness (F Rezaei, C D Charalambous and N U Ahmed)Gradient Based Policy Optimization of Constrained Markov Decision Processes (V Krishnamurthy and F J Vázquez Abad)Parameter Estimation of a Regime-Switching Model Using an Inverse Stieltjes Moment ApproachWe have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Stochastic Processes, Finance and Control: A Festschrift in Honor of Robert J Elliott (Advances in Statistics, Probability and Actuarial Science, Volume 1). To get started finding Stochastic Processes, Finance and Control: A Festschrift in Honor of Robert J Elliott (Advances in Statistics, Probability and Actuarial Science, Volume 1), you are right to find our website which has a comprehensive collection of manuals listed.
Our library is the biggest of these that have literally hundreds of thousands of different products represented.

Pages: —

Format: PDF, EPUB & Kindle Edition

Publisher: —

Release: —

ISBN: 9814483915

Description: This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas.This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control.Contributing authors H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy. Stochastic On the Connection Between Discrete and Continuous Wick Calculus with an Application to the Fractional Black-Scholes Model (C Bender and P Parczewski)Malliavin Differentiability of a Class of Feller-Diffusions with Relevance in Finance (C-O Ewald, Y Xiao, Y Zou and T K Siu)A Stochastic Integral for Adapted and Instantly Independent Stochastic Processes (H-H Kuo, A Sae-Tang and B Szozda)Independence of Some Multiple Poisson Stochastic Integrals with Variable-Sign Kernels (N Privault) Differential and Stochastic Strategies for Differential Games (W H Fleming and D Hernández-Hernández)BSDE Approach to Non-Zero-Sum Stochastic Differential Games of Control and Stopping (I Karatzas and Q Li) Mathematical On Optimal Dividend Strategies in Insurance with a Random Time Horizon (H Albrecher and S Thonhauser)Counterparty Risk and the Impact of Collateralization in CDS Contracts (T R Bielecki, I Cialenco and I Iyigunler)A Modern View on Merton's Jump-Diffusion Model (G H L Cheang and C Chiarella)Hedging Portfolio Loss Derivatives with CDS's (A Cousin and M Jeanblanc)New Analytic Approximations for Pricing Spread Options (J van der Hoek and M W Korolkiewicz)On the Polynomial–Normal Model and Option Pricing (H Li and A Melnikov)A Functional Transformation Approach to Interest Rate Modelling(S Luo, J Yan and Q Zhang)S&P 500 Index Option Surface Drivers and Their Risk Neutral and Real World Quadratic Covariations (D B Madan)A Dynamic Portfolio Approach to Asset Markets and Monetary Policy (E Platen and W Semmler)Mean-Variance Portfolio Selection Under Regime-Switching Diffusion Asset A Two-Time-Scale Limit (G Yin and Y Talafha) Filtering and Existence and Uniqueness of Solutions for a Partially Observed Stochastic Control Problem (A Bensoussan, M Çakanyildirim, M Li and S P Sethi)Continuous Control of Piecewise Deterministic Markov Processes with Long Run Average Cost (O L V Costa and F Dufour)Stochastic Linear-Quadratic Control Revisited (T E Duncan)Optimization of Stochastic Uncertain Entropy Rate Functionals, Minimax Games and Robustness (F Rezaei, C D Charalambous and N U Ahmed)Gradient Based Policy Optimization of Constrained Markov Decision Processes (V Krishnamurthy and F J Vázquez Abad)Parameter Estimation of a Regime-Switching Model Using an Inverse Stieltjes Moment ApproachWe have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Stochastic Processes, Finance and Control: A Festschrift in Honor of Robert J Elliott (Advances in Statistics, Probability and Actuarial Science, Volume 1). To get started finding Stochastic Processes, Finance and Control: A Festschrift in Honor of Robert J Elliott (Advances in Statistics, Probability and Actuarial Science, Volume 1), you are right to find our website which has a comprehensive collection of manuals listed.
Our library is the biggest of these that have literally hundreds of thousands of different products represented.

Special Offer | $0.00

Special Offer! | $0.00

Stochastic Processes, Finance and Control: A Festschrift in Honor of Robert J Elliott (Advances in Statistics, Probability and Actuarial Science, Volume 1)

Stochastic Processes, Finance and Control: A Festschrift in Honor of Robert J Elliott (Advances in Statistics, Probability and Actuarial Science, Volume 1)

More Books