close
1.

電子ブック
ＥＢ
1. Viability Theory : New Directions
by Jean-Pierre Aubin, Alexandre M. Bayen, Patrick Saint-Pierre
出版情報: Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2011
オンライン: http://dx.doi.org/10.1007/978-3-642-16684-6
所蔵情報: loading…
2.

電子ブック
ＥＢ
2. Set-Valued Analysis
by Hélène Frankowska, Jean-Pierre Aubin
出版情報: Boston : Birkhäuser Boston, 2009
シリーズ名: Modern Birkhäuser Classics ;
オンライン: http://dx.doi.org/10.1007/978-0-8176-4848-0
所蔵情報: loading…
3.

電子ブック
ＥＢ
3. Viability Theory
by Jean-Pierre Aubin
出版情報: Boston : Birkhäuser Boston, 2009
シリーズ名: Modern Birkhäuser Classics ;
オンライン: http://dx.doi.org/10.1007/978-0-8176-4910-4
所蔵情報: loading…
4.

電子ブック
ＥＢ
4. The Interval Market Model in Mathematical Finance : Game-Theoretic Methods
by Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J.M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin
出版情報: New York, NY : Springer New York : Imprint: Birkhäuser, 2013
シリーズ名: Static & Dynamic Game Theory: Foundations & Applications ;
オンライン: http://dx.doi.org/10.1007/978-0-8176-8388-7
所蔵情報: loading…
目次情報: 続きを見る
Preface
Part I Revisiting Two Classic Results in Dynamic Portfolio Management
Merton’s Optimal Dynamic Portfolio Revisited
Option Pricing: Classic Results
Introduction
Part II Hedging in Interval Models
Fair Price Intervals
Optimal Hedging Under Robust-Cost Constraints
Appendix: Proofs
Continuous and Discrete-Time Option Pricing and Interval Market Model
Part III Robust-Control Approach to Option Pricing
Vanilla Options
Digital Options
Validation
Part IV Game-Theoretic Analysis of Rainbow Options in Incomplete Markets
Emergence of Risk-Neutral Probabilities
Rainbow Options in Discrete Time, I
Rainbow Options in Discrete Time, II
Continuous-Time Limits
Credit Derivatives
Computational Methods Based on the Guaranteed Capture Basin Algorithm
Viability Approach to Complex Option Pricing and Portfolio Insurance
Asset and Liability Insurance Management (ALIM) for Risk Eradication
References
Index.
Preface
Part I Revisiting Two Classic Results in Dynamic Portfolio Management
Merton’s Optimal Dynamic Portfolio Revisited
5.

電子ブック
ＥＢ
5. Tychastic Measure of Viability Risk
by Jean-Pierre Aubin, Luxi Chen, Olivier Dordan
出版情報: Cham : Springer International Publishing : Imprint: Springer, 2014
オンライン: http://dx.doi.org/10.1007/978-3-319-08129-8
所蔵情報: loading…
目次情報: 続きを見る
Part I Description, Illustration and Comments of the Results
The Viabilist Portfolio Performance and Insurance Approach
Technical and Quantitative Analysis of Tubes
Uncertainty on Uncertainties
Part II Mathematical Proofs
Why Viability Theory? A Survival Kit
General Viabilist Portfolio Performance and Insurance Problem
Part I Description, Illustration and Comments of the Results
The Viabilist Portfolio Performance and Insurance Approach
Technical and Quantitative Analysis of Tubes