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Found 98 Documents (Results 1–98)

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Palczewski, Andrzej
Risk minimizing strategies for tracking a stochastic target. (English) Zbl 1266.91122
Hömberg, Dietmar (ed.) et al., System modeling and optimization. 25th IFIP TC 7 conference on system modeling and optimization, CSMO 2011, Berlin, Germany, September 12–16, 2011. Revised Selected Papers. Heidelberg: Springer (ISBN 978-3-642-36061-9/hbk; 978-3-642-36062-6/ebook). IFIP Advances in Information and Communication Technology 391, 188-196 (2013).
MSC:  91G80 93E20 91G10
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\textit{A. Palczewski}, IFIP Adv. Inf. Commun. Technol. 391, 188--196 (2013; Zbl 1266.91122)
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Rüschendorf, Ludger
Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios. (English) Zbl 1266.91001
Springer Series in Operations Research and Financial Engineering. Berlin: Springer (ISBN 978-3-642-33589-1/hbk; 978-3-642-33590-7/ebook). xii, 408 p. (2013).
Reviewer: Jonas Šiaulys (Vilnius)
MSC:  91-01 91-00 91B30 91G40
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\textit{L. Rüschendorf}, Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios. Berlin: Springer (2013; Zbl 1266.91001)
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Monoyios, Michael
Optimal investment and hedging under partial and inside information. (English) Zbl 1182.91160
Albrecher, Hansjörg (ed.) et al., Advanced financial modelling. Berlin: Walter de Gruyter (ISBN 978-3-11-021313-3/hbk; 978-3-11-021314-0/ebook). Radon Series on Computational and Applied Mathematics 8, 371-410 (2009).
Reviewer: Nikolaos Halidias (Athens)
MSC:  91G10 91G20 49N30 93E11 93C41
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\textit{M. Monoyios}, Radon Ser. Comput. Appl. Math. 8, 371--410 (2009; Zbl 1182.91160)
Korn, Ralf; Seifried, Frank Thomas
A worst-case approach to continuous-time portfolio optimisation. (English) Zbl 1181.91295
Albrecher, Hansjörg (ed.) et al., Advanced financial modelling. Berlin: Walter de Gruyter (ISBN 978-3-11-021313-3/hbk; 978-3-11-021314-0/ebook). Radon Series on Computational and Applied Mathematics 8, 327-345 (2009).
MSC:  91G10 93E20 91-02 49L25 60G44
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\textit{R. Korn} and \textit{F. T. Seifried}, Radon Ser. Comput. Appl. Math. 8, 327--345 (2009; Zbl 1181.91295)
Palczewski, Andrzej
Risk minimizing strategies for a portfolio of interest-rate securities. (English) Zbl 1151.93034
Stettner, Łukasz (ed.), Advances in mathematics of finance. Contributed papers of the 2nd general AMaMeF (advanced mathematical methods of finance) conference and Banach Center conference on advances in mathematics of finance, Bȩdlewo, Poland, April 30–May 5, 2007. Warsaw: Polish Academy of Sciences, Institute of Mathematics. Banach Center Publications 83, 195-212 (2008).
MSC:  93E20 91G80
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\textit{A. Palczewski}, Banach Cent. Publ. 83, 195--212 (2008; Zbl 1151.93034)
Hochreiter, R.; Pflug, G. Ch.; Wozabal, D.
Multi-stage stochastic electricity portfolio optimization in liberalized energy markets. (English) Zbl 1223.90084
Ceragioli, F. (ed.) et al., System modeling and optimization. Proceedings of the 22nd IFIP TC7 conference, July 18–22, 2005, Turin, Italy. New York, NY: Springer (ISBN 0-387-32774-6/hbk). IFIP, International Federation for Information Processing 199, 219-226 (2006).
MSC:  90C90 91G10
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\textit{R. Hochreiter} et al., IFIP, Int. Fed. Inf. Process. 199, 219--226 (2006; Zbl 1223.90084)
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Hou, Chunli; Karatzas, Ioannis
Least-squares approximation of random variables by stochastic integrals. (English) Zbl 1057.60066
Kunita, Hiroshi (ed.) et al., Stochastic analysis and related topics in Kyoto. In honour of Kiyoshi Itô. Lectures given at the conference, Kyoto, Japan, September 4–7, 2002. Tokyo: Mathematical Society of Japan (ISBN 4-931469-26-4/hbk). Advanced Studies in Pure Mathematics 41, 141-166 (2004).
MSC:  60H30 60H05
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\textit{C. Hou} and \textit{I. Karatzas}, Adv. Stud. Pure Math. 41, 141--166 (2004; Zbl 1057.60066)
Bouchaud, Jean-Philippe; Potters, Marc
Theory of financial risks. From statistical physics to risk management. With a foreword by Nick Dunbar. Repr. (English) Zbl 0984.91046
Cambridge: Cambridge University Press. xiv, 218 p. $ 49.95; £23.00/hbk (2001).
Reviewer: Klaus Schürger (Bonn)
MSC:  91B28 91-02 91B30 62M10 62M15 82C05
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\textit{J.-P. Bouchaud} and \textit{M. Potters}, Theory of financial risks. From statistical physics to risk management. With a foreword by Nick Dunbar. Repr. Cambridge: Cambridge University Press (2001; Zbl 0984.91046)
Sulem, Agnès
Dynamic optimization for a mixed portfolio with transaction costs. (English) Zbl 0898.90037
Rogers, L. C. G. (ed.) et al., Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 165-180 (1997).
MSC:  91B24 91B28 49L20 90C39
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\textit{A. Sulem}, in: Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 165--180 (1997; Zbl 0898.90037)
Cvitanić, Jakša; Karatzas, Ioannis
Contingent claim valuation and hedging with constrained portfolios. (English) Zbl 0844.90009
Davis, Mark H. A. (ed.) et al., Mathematical finance. Based on the proceedings of a workshop, held at IMA, University of Minnesota, Minneapolis, MN, USA 1992/93. New York, NY: Springer-Verlag. IMA Vol. Math. Appl. 65, 13-33 (1995).
MSC:  91G10 93E20
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\textit{J. Cvitanić} and \textit{I. Karatzas}, IMA Vol. Math. Appl. 65, 13--33 (1995; Zbl 0844.90009)

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