Titlebook: Mathematical Finance; Workshop of the Math Michael Kohlmann,Shanjian Tang Conference proceedings 2001 Springer Basel AG 2001 Finite.Mathema

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humectant

Fractional Brownian Motion and Financial Modelling,r results extend recent contributions by Hu, Oksendal, Duncan, Pasik-Duncan and others. As an application we develop option pricing in a fractional Black-Scholas market with a noise process driven by a sum of fractional Brownian motions with various Hurst indices.

侵略主义

On-line portfolio strategy with prediction,w idea of “cross rate” for the sequence of price relative vectors. It is proved that the new portfolio strategy is profitable almost surely under certain mild assumption. The performance of our algorithm is tested on real data from the London Stock Exchange.

Fantasy

心神不宁

anachronistic

Optimal default boundary in a discrete time setting,osts and tax benefits, with the condition that the value of equity must be nonnegative. By applying dynamic programming in discrete time, we find results which extends those of Leland (1994) and Leland-Toff (1996).

Carcinogenesis

AMEND

indenture

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A Quadratic Approach To Interest Rates Models In Incomplete Markets,tochastic volatility..In a HJM framework, we set a finite number of bonds such the volatility matrix is invertible and provide an explicit formula for the density of the variance-optimal measure which is independent by the chosen times of maturity..Finally, we compare the mean-variance hedging appro