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Found 27 Documents (Results 1–27)

Valuation, hedging and investment in incomplete financial markets. (English) Zbl 1151.91052

Hill, James M. (ed.) et al., Applied mathematics entering the 21st century. Papers from the 5th international congress on industrial and applied mathematics (ICIAM 2003), Sydney, Australia, July 7–11, 2003. Philadelphia, PA: Society for Industrial and Applied Mathematics (SIAM) (ISBN 978-0-89871-559-0/hbk). Proceedings in Applied Mathematics 116, 49-70 (2004).
MSC:  91B28 91-02 93E20
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Dynamic investment behavior taking into account ageing of the capital goods. (English) Zbl 1096.91025

Udwadia, Firdaus E. (ed.) et al., Dynamical systems and control. Selected papers from the 11th international workshop on dynamics and control, Rio de Janeiro, Brazil, October 9–11, 2000. Boca Raton, FL: Chapman &  Hall/CRC (ISBN 0-415-30997-2/hbk). Stability and Control: Theory, Methods and Applications 22, 379-391 (2004).
MSC:  91B28 91B62 49N90
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Stochastic control with application in insurance. (English) Zbl 1134.91024

Frittelli, Marco (ed.) et al., Stochastic methods in finance. Lectures given at the C.I.M.E.–E.M.S. summer school, held in Bressanone/Brixen, Italy, July 6–12, 2003. Berlin: Springer (ISBN 3-540-22953-1/pbk). Lecture Notes in Mathematics 1856, 127-164 (2004).
MSC:  91B30 93E20
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Why is the effect of proportional transaction costs \(O(\delta^{2/3})\)? (English) Zbl 1101.91046

Yin, George (ed.) et al., Mathematics of finance. Proceedings of an AMS-IMS-SIAM joint summer research conference on mathematics of finance, June 22–26, 2003, Snowbird, Utah, USA. Providence, RI: American Mathematical Society (AMS) (ISBN 0-8218-3412-6/pbk). Contemporary Mathematics 351, 303-308 (2004).
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Risk sensitive optimal investment: solutions of the dynamical programming equation. (English) Zbl 1070.93049

Yin, George (ed.) et al., Mathematics of finance. Proceedings of an AMS-IMS-SIAM joint summer research conference on mathematics of finance, June 22–26, 2003, Snowbird, Utah, USA. Providence, RI: American Mathematical Society (AMS) (ISBN 0-8218-3412-6/pbk). Contemporary Mathematics 351, 217-230 (2004).
MSC:  93E20 91G80 49L20
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Options: to buy or not ot buy? (English) Zbl 1080.91036

Yin, George (ed.) et al., Mathematics of finance. Proceedings of an AMS-IMS-SIAM joint summer research conference on mathematics of finance, June 22–26, 2003, Snowbird, Utah, USA. Providence, RI: American Mathematical Society (AMS) (ISBN 0-8218-3412-6/pbk). Contemporary Mathematics 351, 207-215 (2004).
MSC:  91B28 91B70 91B16 93E20
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Optimal portfolio management with consumption. (English) Zbl 1101.91032

Yin, George (ed.) et al., Mathematics of finance. Proceedings of an AMS-IMS-SIAM joint summer research conference on mathematics of finance, June 22–26, 2003, Snowbird, Utah, USA. Providence, RI: American Mathematical Society (AMS) (ISBN 0-8218-3412-6/pbk). Contemporary Mathematics 351, 81-91 (2004).
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