From stochastic calculus to mathematical finance : the Shiryaev Festschrift / Yu. Kabanov, R. Lipster, J. Stoyanov.

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Bibliographic Details
Published: Berlin ; New York : Springer, c2006.
Corporate Author:
Bachelier Colloquium on Stochastic Calculus and Probability Métabief, France
Other Authors:
Shiri︠a︡ev, Alʹbert Nikolaevich
Kabanov, Yuri
Lipt︠s︡er, R. Sh. (Robert Shevilevich)
Stoi︠a︡nov, Ĭordan
Subjects:
Stochastic analysis > Congresses.
Business mathematics > Congresses.
Format: Conference Proceeding Book
From stochastic calculus to mathematical finance : the Shiryaev Festschrift /

MARC

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097 |3 Bib#:  |a 1022834 
111 2 |a Bachelier Colloquium on Stochastic Calculus and Probability  |n (2nd :  |d 2005 :  |c Métabief, France) 
245 1 0 |a From stochastic calculus to mathematical finance :  |b the Shiryaev Festschrift /  |c Yu. Kabanov, R. Lipster, J. Stoyanov. 
260 |a Berlin ;  |a New York :  |b Springer,  |c c2006. 
300 |a xxxvii, 633 p. :  |b ill. ;  |c 25 cm. 
504 |a Includes bibliographical references. 
505 0 0 |t Albert Shiryaev --  |t Publications of A. N. Shiryaev --  |t On numerical approximation of stochastic Burgers' equation /  |r Aureli Alabert and István Gyöngy --  |t Optimal time to invest under tax exemptions /  |r Vadim I. Arkin and Alexander D. Slastnikov --  |t A central limit theorem for realised power and bipower variations of continuous semimartingales /  |r Ole E. Barndorff-Nielsen, Svend Erik Graversen, Jean Jacod, Mark Podolskij and Neil Shephard --  |t Interplay between distributional and temporal dependence : an empirical study with high-frequency asset returns /  |r Nick H. Bingham and Rafael Schmidt --  |t Asymptotic methods for stability analysis of Markov dynamical systems with fast variables /  |r Jevgenijs Carkovs and Jordan Stoyanov --  |t Some particular problems of martingale theory /  |r Alexander Cherny --  |t On the absolute continuity and singularity of measures on filtered spaces : separating times /  |r Alexander Cherny and Mikhail Urusov --  |t Optimal hedging with basis risk /  |r Mark H. A. Davis --  |t Moderate deviation principle for Ergodic Markov chain : Lipschitz summands /  |r Bernard Delyon, Anatoly Juditsky and Robert Liptser --  |t Remarks on risk neutral and risk sensitive portfolio optimization /  |r Giovanni B. Di Masi and Lukasz Stettner --  |t On existence and uniqueness of reflected solutions of stochastic equations driven by symmetric stable processes /  |r Hans-Jürgen Engelbert, Vladimir P. Kurenok and Adrian Zalinescu --  |t A note on pricing, duality and symmetry for two-dimensional Lévy markets /  |r José Fajardo and Ernesto Mordecki --  |t Enlargement of filtration and additional information in pricing models : Bayesian approach /  |r Dario Gasbarra, Esko Valkeila and Lioudmila Vostrikova --  |t A minimax result for f-divergences /  |r Alexander A. Gushchin and Denis A. Zhdanov --  |t Impulse and absolutely continuous ergodic control of one-dimensional Itô diffusions /  |r Andrew Jack and Mihail Zervos --  |t A consumption-investment problem with production possibilities /  |r Yuri Kabanov and Masaaki Kijima --  |t Multiparameter generalizations of the Dalang-Morton-Willinger theorem /  |r Yuri Kabanov, Yuliya Mishura and Ludmila Sakhno --  |t A didactic note on affine stochastic volatility models /  |r Jan Kallsen --  |t Uniform optimal transmission of Gaussian messages /  |r Pavel K. Katyshev --  |t A note on the Brownian motion /  |r Kiyoshi Kawazu --  |t Continuous time volatility modelling : COGARCH versus Ornstein-Uhlenbeck models /  |r Claudia Klüppelberg, Alexander Lindner and Ross Maller --  |t Tail distributions of supremum and quadratic variation of local martingales /  |r Robert Liptser and Alexander Novikov --  |t Stochastic differential equations : a Wiener chaos approach /  |r Sergey Lototsky and Boris Rozovskii --  |t A martingale equation of exponential type /  |r Michael Mania and Revaz Tevzadze --  |t On local martingale and its supremum : harmonic functions and beyond /  |r Jan Oblój and Marc Yor --  |t On the fundamental solution of the Kolmogorov-Shiryaev equation /  |r Goran Peskir --  |t Explicit solution to an irreversible investment model with a stochastic production capacity /  |r Huyên Pham --  |t Gittins type index theorem for randomly evolving graphs /  |r Ernst Presman and Isaac Sonin --  |t On the existence of optimal portfolios for the utility maximization problem in discrete time financial market models /  |r Miklós Rásonyi and Lukasz Stettner --  |t The optimal stopping of a Markov chain and recursive solution of Poisson and Bellman equations /  |r Isaac M. Sonin --  |t On lower bounds for mixing coefficients of Markov diffusions /  |r A. Yu. Veretennikov. 
650 0 |a Stochastic analysis  |v Congresses. 
650 0 |a Business mathematics  |v Congresses. 
700 1 |a Shiri︠a︡ev, Alʹbert Nikolaevich. 
700 1 |a Kabanov, Yuri. 
700 1 |a Lipt︠s︡er, R. Sh.  |q (Robert Shevilevich) 
700 1 |a Stoi︠a︡nov, Ĭordan. 
991 |a 2006-09-05 
992 |a Created by juth, 05/09/2006. Updated by juth, 20/11/2006. 
999 f f |i 76591bd8-92e3-5744-a8f4-39ad7daeb5a2  |s fb7fc40f-4035-5445-bb7f-327afc99c7c7  |t 0 
952 f f |p For loan  |a University Of Canterbury  |b UC Libraries  |c EPS Library  |d EPS Library, Level 2  |t 0  |e QA 274.2 .B119 2006  |h Library of Congress classification  |i Book  |m AU13484419B 

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