弹药
发表于 2025-3-23 13:38:49
Some Applications and Methods of Large Deviations in Finance and Insurance,ion and importance sampling are used in rare event simulation for option pricing. We finally focus on large deviations methods in risk management for the estimation of large portfolio losses in credit risk and portfolio performance in market investment.
失眠症
发表于 2025-3-23 16:52:36
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Conflagration
发表于 2025-3-23 21:56:33
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overhaul
发表于 2025-3-24 00:46:06
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Frenetic
发表于 2025-3-24 04:58:19
Paris-Princeton Lectures on Mathematical Finance 2004978-3-540-73327-0Series ISSN 0075-8434 Series E-ISSN 1617-9692
fetter
发表于 2025-3-24 07:59:35
https://doi.org/10.1007/978-3-540-73327-0deviations in finance and insurance; dynamic models; equity markets; finance; insider Trading; insurance;
HPA533
发表于 2025-3-24 14:17:39
Arturo Kohatsu-Higaöhere Ebene und betrachten, wie sich Umweltbedingungen und Ressourcen im Zusammenspiel auf ganze Lebensgemeinschaften und Ökosysteme auswirken und wie diese Lebensgemeinschaften und Ökosysteme auf der Erde verteilt sind.
minion
发表于 2025-3-24 14:51:16
Optimal Bond Portfolios,e an overview of the state of the art of optimal bond portfolios and we re-visit main results and mathematical constructions introduced in our previous publications (Ann. Appl. Probab. 15, 1260–1305 (2005) and Fin. Stoch. 9, 429–452 (2005)).
nocturnal
发表于 2025-3-24 23:04:36
Large Investor Trading Impacts on Volatility, “large” investor and solve two problems in the context of such a model: the question of the fair value (or liquidation value) of a “large” position and the question of pricing or hedging an option. In order to do so, we use a utility maximization approach and some new results in stochastic control theory.
BLUSH
发表于 2025-3-24 23:57:15
HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets,t models, to explain how the very same philosophy was implemented in the case of credit portfolio derivatives and to show how it can be extended to and used in the case of equity market models. In each case we show how the HJM approach naturally yields a consistency condition and a no-arbitrage cond