Stochastic finance. An introduction in discrete time

zbMath1126.91028MaRDI QIDQ5919962

Publication date: 26 August 2005

Published in: De Gruyter Studies in Mathematics (Search for Journal in Brave)

Martingales with discrete parameter (60G42) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Portfolio theory (91G10) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Actuarial science and mathematical finance (91Gxx)

Related Items (only showing first 100 items - show all)

Convex bodies generated by sublinear expectations of random vectors ⋮ The impact of insurance premium taxation ⋮ Optimal stopping time for geometric random walks with power payoff function ⋮ Dual representations for systemic risk measures based on acceptance sets ⋮ Preferences over rich sets of random variables: on the incompatibility of convexity and semicontinuity in measure ⋮ Banach geometry of arbitrage free markets ⋮ A duality theory for set-valued functions. I: Fenchel conjugation theory ⋮ Orthogonal decompositions in Hilbert $A$-modules ⋮ Robust expected utility maximization with medial limits ⋮ Risk minimization and optimal derivative design in a principal agent game ⋮ Dual characterization of properties of risk measures on Orlicz hearts ⋮ Consistent variance curve models ⋮ Call completeness implies completeness in the $n$-period model of a financial market ⋮ Weighted V\@R and its properties ⋮ A Neyman-Pearson problem with ambiguity and nonlinear pricing ⋮ Strongly consistent multivariate conditional risk measures ⋮ An approximation scheme for the Kantorovich-Rubinstein problem on compact spaces ⋮ Risk measure pricing and hedging in the presence of transaction costs ⋮ Set-valued loss-based risk measures ⋮ Coherent risk measures in inventory problems ⋮ Category-measure duality: convexity, midpoint convexity and Berz sublinearity ⋮ Mean field games of timing and models for bank runs ⋮ Drawdown: from practice to theory and back again ⋮ Optimal dividend payout model with risk sensitive preferences ⋮ Distributionally robust equilibrium for continuous games: Nash and Stackelberg models ⋮ Risk tomography ⋮ Entropic risk measures and their comparative statics in portfolio selection: coherence vs. convexity ⋮ Geometric arbitrage theory and market dynamics ⋮ Aggregation-robustness and model uncertainty of regulatory risk measures ⋮ Distortion risk measures, ROC curves, and distortion divergence ⋮ Optimal expected utility risk measures ⋮ Put-call parity and market frictions ⋮ Replicating portfolio approach to capital calculation ⋮ Spatial risk measures and applications to max-stable processes ⋮ Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions ⋮ Stochastic optimal growth model with risk sensitive preferences ⋮ $k$-sample upper expectation linear regression-modeling, identifiability, estimation and prediction ⋮ Probabilistic solutions for a class of deterministic optimal allocation problems ⋮ An exponential martingale for compound Poisson process with latent variable and its applications ⋮ $G$-expectation weighted Sobolev spaces, backward SDE and path dependent PDE ⋮ An analysis of the Rüschendorf transform -- with a view towards Sklar's theorem ⋮ Seven proofs for the subadditivity of expected shortfall ⋮ Quantile of a mixture with application to model risk assessment ⋮ Insurance pricing under ambiguity ⋮ Robust return risk measures ⋮ Minimax theorems for American options without time-consistency ⋮ An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior ⋮ Non-smooth analysis method in optimal investment-BSDE approach ⋮ A risk-averse newsvendor with law invariant coherent measures of risk ⋮ Option pricing with ARIMA-GARCH models of underlying asset returns ⋮ Lift expectations of random sets ⋮ Risk-adjusted probability measures in portfolio optimization with coherent measures of risk ⋮ A note on the Swiss solvency test risk measure ⋮ Fascination financial mathematics: problems, methods and principles ⋮ On comonotonicity of Pareto optimal risk sharing ⋮ Allocation of risks and equilibrium in markets with finitely many traders ⋮ Regression analysis: likelihood, error and entropy ⋮ Distributionally robust shortfall risk optimization model and its approximation ⋮ Spectral risk measures: the risk quadrangle and optimal approximation ⋮ Disentangling price, risk and model risk: V\&R measures ⋮ Coherent and convex loss-based risk measures for portfolio vectors ⋮ The lower Snell envelope of smooth functions: an optional decomposition ⋮ Utility maximization under a shortfall risk constraint ⋮ Consistent modeling of risk averse behavior with spectral risk measures: Wächter/Mazzoni revisited ⋮ Polymatroids and mean-risk minimization in discrete optimization ⋮ The risk transfer of non-tradable risks under model uncertainty ⋮ Continuous-time trading and the emergence of probability ⋮ Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles ⋮ Gain-loss based convex risk limits in discrete-time trading ⋮ Worst case portfolio vectors and diversification effects ⋮ Deviation inequalities for an estimator of the conditional value-at-risk ⋮ The vanishing discount approach to constrained continuous-time controlled Markov chains ⋮ Introduction to convex optimization in financial markets ⋮ No-arbitrage, leverage and completeness in a fractional volatility model ⋮ A note on optimal risk sharing on $L^p$ spaces ⋮ Capital allocation à la Aumann-Shapley for non-differentiable risk measures ⋮ Measuring exposure to dependence risk with random Bernstein copula scenarios ⋮ Weak time-derivatives and no-arbitrage pricing ⋮ Time consistency conditions for acceptability measures, with an application to tail value at risk ⋮ Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances ⋮ Robustness regions for measures of risk aggregation ⋮ A simple characterization of tightness for convex solid sets of positive random variables ⋮ Sensitivity analysis of utility-based prices and risk-tolerance wealth processes ⋮ Optimal capital and risk allocations for law- and cash-invariant convex functions ⋮ Time consistent dynamic risk processes ⋮ Max-stable random sup-measures with comonotonic tail dependence ⋮ Set-valued duality theory for multiple objective linear programs and application to mathematical finance ⋮ Time-consistent approximations of risk-averse multistage stochastic optimization problems ⋮ Optimal stopping under adverse nonlinear expectation and related games ⋮ Optimal risk sharing with different reference probabilities ⋮ Estimating allocations for value-at-risk portfolio optimization ⋮ On convex risk measures on $L^{p}$-spaces ⋮ Portfolio selection with transaction costs under expected shortfall constraints ⋮ Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming ⋮ On the construction of optimal payoffs ⋮ Dynamic mean-risk optimization in a binomial model ⋮ Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations ⋮ An overview of representation theorems for static risk measures ⋮ On a derivation of the Goldstein-Einhorn probability weighting functions ⋮ A dual characterization of self-generation and exponential forward performances

This page was built for publication: Stochastic finance. An introduction in discrete time