Titlebook: Optimality and Risk - Modern Trends in Mathematical Finance; The Kabanov Festschr Freddy Delbaen,Miklós Rásonyi,Christophe Stricker Book 20

吹牛大王

ineptitude

Priapism

,On Certain Distributions Associated with the Range of Martingales,imum) reaches a certain threshold. The laws and the conditional laws of its value, maximum, and minimum at this time are simple and do not depend on the local martingale in question. As a consequence, the price and hedge of options which mature when the range reaches a given level are both model-fre

Neutropenia

Rebate

Inflammation

Immersion Property and Credit Risk Modelling,rgement of a reference filtration with the progressive knowledge of a credit event occurrence has become a standard for reduced form modelling. It is known that such a construction rises mathematical difficulties, mainly relied to the properties of the random time. Whereas the invariance of the prop

Ataxia

incision

,On Comparison Theorem and its Applications to Finance,ow, that even though the proof of the generalized theorem follows that of the one-dimensional comparison theorem, the multi-dimensional case requires a different condition on the drift coefficient, known in the theory of differential equations as Kamke-Wazewski condition. We also present several exa

情感脆弱

Examples of FCLT in Random Environment,ic stationary random process (.(.,.),.(.,.))., treated as a “random environment”, where . is a small positive parameter. Random environment and Brownian motions are independent random objects. Functions .(.,.),.(.,.) are uniformly bounded and function ..(.,.) is uniformly positive. Random environmen

群居男女

,The Optimal Time to Exchange one Asset for Another on Finite Interval,ken over all stopping times from [0,.]. A similar problem, but on infinite interval, was studied by MacDonald and Siegel (Int. Econ. Rev. 26:331–349, .), and by Hu and Oksendal (Finance Stoch. 2(3):295–310, .), who also considered multiple assets. For a finite time horizon, the problem gets consider