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Found 25 Documents (Results 1–25)

Continuous-time stochastic control and optimization with financial applications. Translation from the 2007 French original. (English) Zbl 1165.93039

Stochastic Modelling and Applied Probability 61. Berlin: Springer (ISBN 978-3-540-89499-5/hbk; 978-3-540-89500-8/ebook). xvii, 232 p. (2009).
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Numerical approximation by quantization for optimization problems in finance under partial oberservations. (English) Zbl 1140.91407

Akahori, Jiro (ed.) et al., Stochastic processes and applications to mathematical finance. Proceedings of the 6th Ritsumeikan international symposium, Kyoto, Japan, March 6–10, 2006. Hackensack, NJ: World Scientific (ISBN 978-981-270-413-9/hbk). 275-297 (2007).
MSC:  91B28 90C39 60G35 65C20 65N50 60G40
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Explicit solution to an irreversible investment model with a stochastic production capacity. (English) Zbl 1103.93049

Kabanov, Yuri (ed.) et al., From stochastic calculus to mathematical finance. The Shiryaev Festschrift. Allmost all papers based on the presentation at the second Bachelier colloquium on stochastic calculus and probability, Meatbief, France, January 9–15, 2005. Berlin: Springer (ISBN 3-540-30782-6/hbk). 547-565 (2006).
MSC:  93E20 60G40 91G80
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Market imperfections and option pricing and hedging methods. (Imperfections de marchés et méthodes d’évaluation et couverture d’options.) (French) Zbl 0956.91503

Appunti dei Corsi Tenuti da Docenti della Scuola. Pisa: Scuola Normale Superiore, ii, 124 p. (1998).
MSC:  91-01 91G20
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