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Found 124 Documents (Results 1–100)

Relative entropy criterion and CAPM-like pricing. (English) Zbl 1407.91240

Pinto, Alberto A. (ed.) et al., Trends in mathematical economics. Dialogues between Southern Europe and Latin America. Selected papers based on the presentations at the conferences: 3rd international conference on dynamics, games and science, DGS III, on the occasion of the 50th birthday of Alberto A. Pinto, Porto, Portugal, February 17–21, 2014, the 1st Hellenic-Portuguese meeting on mathematical economics, AUEB, Athens, Greece, and the XV Jornadas Latinoamericanas de Teoría Económica, JOLATE, Guanajuato, México. Cham: Springer. 369-379 (2016).
MSC:  91G10 91G80 60G42
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Valuation of collateralized funds of hedge fund obligations: a basket option pricing approach. (English) Zbl 1418.91543

Corazza, Marco (ed.) et al., Mathematical and statistical methods for actuarial sciences and finance. Selected papers based on the presentations at the international conference MAF 2012, Venice, Italy, April 10–12, 2012. Cham: Springer. 277-288 (2014).
MSC:  91G20 62P05
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Robust stochastic control and equivalent martingale measures. (English) Zbl 1248.93174

Kohatsu-Higa, Arturo (ed.) et al., Stochastic analysis with financial applications, Hong Kong 2009. Proceedings of the workshop, Hong Kong, China, June 29 to July 3, 2009. New York, NY: Springer (ISBN 978-3-0348-0096-9/hbk; 978-3-0348-0097-6/ebook). Progress in Probability 65, 179-189 (2011).
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Pricing without equivalent martingale measures under complete and incomplete observation. (English) Zbl 1229.91132

Chiarella, Carl (ed.) et al., Contemporary quantitative finance. Essays in honour of Eckhard Platen. Papers based on the presentations at the international conference “Quantitative methods in finance”, Sydney, Australia, December 2009. Berlin: Springer (ISBN 978-3-642-03478-7/hbk). 99-121 (2010).
MSC:  91B25 91B24 91G80
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No arbitrage and general semimartingales. (English) Zbl 1179.60022

Ethier, Stewart N. (ed.) et al., Markov processes and related topics: A Festschrift for Thomas G. Kurtz. Selected papers of the conference, Madison, WI, USA, July 10–13, 2006. Beachwood, OH: IMS, Institute of Mathematical Statistics (ISBN 978-0-940600-76-8/pb). Institute of Mathematical Statistics Collections 4, 267-283 (2008).
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A fundamental theorem of asset pricing in continuous time with square integrable portfolios. (English) Zbl 1194.91086

Tang, Shanjian (ed.) et al., Control theory and related topics. In memory of Professor Xunjing Li, Fudan, China, June 3–5, 2005. Hackensack, NJ: World Scientific (ISBN 978-981-270-582-2/hbk). 87-106 (2007).
MSC:  91B25 91G10 60J70 60G48
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Option pricing and hedging under regular Lévy processes of exponential type. (English) Zbl 1008.91043

Kohlmann, Michael (ed.) et al., Mathematical finance. Workshop of the mathematical finance research project, Konstanz, Germany, October 5-7, 2000. Basel: Birkhäuser. 121-130 (2001).
MSC:  91G20 91B24 60G99
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Evaluation of yield spread for credit risk. (English) Zbl 0940.60074

Kusuoka, S. (ed.) et al., Advances in mathematical economics. Vol. 1. Symposium on Mathematical analysis in economic theory, Keio University, Tokyo, Japan, October 4-5, 1997. Tokyo: Springer. 83-97 (1999).
MSC:  60H10 91B30 60H30
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