发帖
雷达卡
Optimality and Risk - Modern Trend in Mathematical Finance.pdf
(5.42 MB, 需要: 2 个论坛币)
该书的主题是关于随机最优化问题和各种风险的数学问题。收录了１４篇论文， 反映了数理金融的最前沿理论。
Contents
OntheExtensionoftheNamioka-KleeTheoremandontheFatou
PropertyforRiskMeasures .......................1
SaraBiaginiandMarcoFrittelli
1Introduction .............................1
2TheExtendedNamiokaTheorem ..................7
2.1TheCurrentLiterature....................9
3OnOrderLowerSemicontinuityinRieszSpaces. .........10
3.1EquivalentFormulationsofOrderl.s.c............11
3.2TheOrderContinuousDual 1∼
n ...............12
4OntheC-Property ..........................13
4.1The C-PropertyintheRepresentationofConvexand
MonotoneFunctionals. ...................14
5OrliczSpacesandApplicationstoRiskMeasures .........16
5.1OrliczSpacesHavetheC-Property .............16
5.2NewInsightsontheDownsideRiskandRiskMeasures
AssociatedtoaUtilityFunction u ..............19
5.3Quadratic-FlatUtility. ...................26
5.4ExponentialUtility... ...................27
References. .............................28
OnCertainDistributionsAssociatedwiththeRangeofMartingales ...29
AlexanderChernyandBrunoDupire
1Introduction .............................29
2Proofs................................33
3Conclusion. .............................37
References. .............................38
DifferentiabilityPropertiesofUtilityFunctions ...............39
FreddyDelbaen
1NotationandPreliminaries.....................39
2TheJouini-Schachermayer-TouziTheorem .............42
ExponentialUtilityIndifferenceValuationinaGeneralSemimartingale
Model ...................................49
ChristophFreiandMartinSchweizer
1Introduction .............................49
2MotivationandDefinitionof FER(H) ................51
3No-arbitrageandexistenceof FER(H) ...............56
4Relating FER
(H) and FER
(0) totheIndifferenceValue .....64
5ABSDECharacterizationoftheIndifferenceValueProcess ....73
6ApplicationtoaBrownianSetting ..................82
References. .............................85
TheExpectedNumberofIntersectionsofaFourValuedBounded
MartingalewithanyLevelMaybeInfinite ...............87
AlexanderGordonandIsaacM.Sonin
1Introduction .............................87
2ProofofTheorem2.Cases N = 2and N = 3............90
3ProofofTheorem2.Case N> 3.AnExample...........93
References. .............................98
ImmersionPropertyandCreditRiskModelling ..............99
MoniqueJeanblancandYannLeCam
1Introduction .............................99
2CreditModellingFramework. ...................101
2.1TheTwoInformationFlows.................102
2.2FinancialInterpretationofThisDecomposition .......103
2.3AbsenceofArbitrage. ...................104
3RepresentationTheoremintheEnlargedFiltration .........107
3.1Representationofthe G-Martingales............107
3.2ChangeofProbability. ...................112
4CompleteReferenceMarket.. ...................113
4.1Descriptionofthe G-MartingaleProbabilities .......113
4.2CompletenessoftheFullMarket ..............115
4.3ImmersionProperty.. ...................118
5IncompleteMarkets .........................121
5.1TheRisk-NeutralProbabilitiesoftheFullMarket .....122
5.2Default-FreePricingInvariance ...............124
5.3ImmersionProperty.. ...................129
京公网安备 11010802022788号
