Titlebook: Advanced Mathematical Methods for Finance; Giulia Di Nunno,Bernt Øksendal Book 2011 Springer-Verlag Berlin Heidelberg 2011 Calculus of va

磨碎

遵循的规范

https://doi.org/10.1007/978-3-663-09423-4ontrol problem in the context of robust utility maximisation. We prove the existence and uniqueness, in a suitable class, of a solution to the BSDE, and we show that the BSDE characterises the dynamic value process of the stochastic control problem.

虚弱

https://doi.org/10.1007/978-3-663-09423-4l. Our main assumption is the commuting property of the drift and diffusion vector fields with respect to the usual Lie bracket. This result is next applied for a system of Burgers equations with stochastic perturbations and also to the computations of some expectations of functionals depending on the final value of some non-Markovian process.

少量

不连贯

978-3-642-43551-5Springer-Verlag Berlin Heidelberg 2011

Constrain

Sylva Liebenwein,Heiner Barz,Dirk Randolly the contagion effect. In our approach we are able to provide explicit formulas for prices of defaultable derivatives at any time .∈[0,.]. Finally we calculate some examples explicitly, where the macroeconomic factor process is given by a functional of the fractional Brownian motion with Hurst index ..

斗志

Theoretisierende Schlussbetrachtung,y density estimation problem to a deconvolution model for which standard methods exist. Three types of nonparametric density estimators are reviewed: the Fourier-type deconvolution kernel density estimator, a wavelet deconvolution density estimator, and a penalized projection estimator. The performance of these estimators will be compared.

Diastole

使困惑

现晕光

atives and liquidity models.Shows an application-oriented prThis book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading