From Stochastic Calculus to Mathematical Finance

The Shiryaev Festschrift

verfasst von: Yuri Kabanov, Robert Liptser, Jordan Stoyanov

Verlag: Springer Berlin Heidelberg

Enthalten in: Springer Professional "Wirtschaft+Technik" , Springer Professional "Technik" , Springer Professional "Wirtschaft"

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Über dieses Buch

Dedicated to the eminent Russian mathematician Albert Shiryaev on the occasion of his 70th birthday, the Festschrift is a collection of papers, including several surveys, written by his former students, co-authors and colleagues. These reflect the wide range of scientific interests of the teacher and his Moscow school. The topics range from the disorder problems to stochastic calculus and their applications to mathematical economics and finance. A full biobibliography of Shiryaev’s works is included.

The book represents the modern state of art of many aspects of a quickly maturing theory and will be an essential source and reading for researchers in this area. The diversity of the topics and the comprehensive style of the papers make the book amenable and attractive for PhD students and young researchers.

Inhaltsverzeichnis

Titel: From Stochastic Calculus to Mathematical Finance
verfasst von: Yuri Kabanov
Robert Liptser
Jordan Stoyanov
Verlag: Springer Berlin Heidelberg
Electronic ISBN: 978-3-540-30788-4
Print ISBN: 978-3-540-30782-2
DOI: https://doi.org/10.1007/978-3-540-30788-4

Springer Professional

From Stochastic Calculus to Mathematical Finance

The Shiryaev Festschrift

Über dieses Buch

Inhaltsverzeichnis

Frontmatter

On Numerical Approximation of Stochastic Burgers' Equation

Optimal Time to Invest under Tax Exemptions

A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales

Interplay between Distributional and Temporal Dependence. An Empirical Study with High-frequency Asset Returns

Asymptotic Methods for Stability Analysis of Markov Dynamical Systems with Fast Variables

Some Particular Problems of Martingale Theory

On the Absolute Continuity and Singularity of Measures on Filtered Spaces: Separating Times

Optimal Hedging with Basis Risk

Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands

Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization

On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes

A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets

Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach

A Minimax Result for f-Divergences

Impulse and Absolutely Continuous Ergodic Control of One-Dimensional Itô Diffusions

A Consumption–Investment Problem with Production Possibilities

Multiparameter Generalizations of the Dalang–Morton– Willinger Theorem

A Didactic Note on Affine Stochastic Volatility Models

Uniform Optimal Transmission of Gaussian Messages

A Note on the Brownian Motion

Continuous Time Volatility Modelling: COGARCH versus Ornstein–Uhlenbeck Models

Tail Distributions of Supremum and Quadratic Variation of Local Martingales

Stochastic Differential Equations: A Wiener Chaos Approach

A Martingale Equation of Exponential Type

On Local Martingale and its Supremum: Harmonic Functions and beyond

On the Fundamental Solution of the Kolmogorov–Shiryaev Equation

Explicit Solution to an Irreversible Investment Model with a Stochastic Production Capacity

Gittins Type Index Theorem for Randomly Evolving Graphs

On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models

The Optimal Stopping of a Markov Chain and Recursive Solution of Poisson and Bellman Equations

On Lower Bounds for Mixing Coefficients of Markov Diffusions