1.
ＥＢ
by Wendell H. Fleming, H.M. Soner
出版情報:
New York, NY : Springer Science+Business Media, Inc., 2006
シリーズ名:
Stochastic Modelling and Applied Probability ; 25
子書誌情報:
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オンライン:
http://dx.doi.org/10.1007/0-387-31071-1
所蔵情報:
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2.
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by Martin Jacobsen
3.
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by Cristophe Profeta, Bernard Roynette, Marc Yor
4.
ＥＢ
by Eckhard Platen, Nicola Bruti-Liberati
5.
ＥＢ
by Arjun K. Gupta, Wei-Bin Zeng, Yanhong Wu
6.
ＥＢ
by Leszek Gawarecki, Vidyadhar Mandrekar
7.
ＥＢ
edited by Giulia Di Nunno, Bernt Øksendal
8.
ＥＢ
by Andrea Pascucci
9.
ＥＢ
by Nicole Bäuerle, Ulrich Rieder
10.
ＥＢ
edited by Arturo Kohatsu-Higa, Nicolas Privault, Shuenn-Jyi Sheu
11.
ＥＢ
by Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor
12.
ＥＢ
edited by Carl Chiarella, Alexander Novikov
13.
ＥＢ
by Steven Roman
14.
ＥＢ
by Yue-Kuen Kwok ; edited by M. Avellaneda, G. Barone-Adesi, M. Broadie, M. H. A. Davis, E. Derman, C. Klüppelberg, E. Kopp, W. Schachermayer
15.
ＥＢ
by Andrea Pascucci
16.
ＥＢ
by Giulia Nunno, Bernt Øksendal, Frank Proske
17.
ＥＢ
by Giovanni Cesari, John Aquilina, Niels Charpillon, Zlatko Filipovic, Gordon Lee, Ion Manda
18.
ＥＢ
by Damir Filipovic
19.
ＥＢ
by Huyên Pham
20.
ＥＢ
Delbaen, Freddy ; Stricker, Christophe ; Rásonyi, Miklós ; SpringerLink (Online service)
21.
ＥＢ
by Monique Jeanblanc, Marc Yor, Marc Chesney
22.
ＥＢ
by Alan Bain, Dan Crisan ; edited by B. RozovskiĬ, G. Grimmett, D. Dawson, D. Geman, I. Karatzas, F. Kelly, Y. Le Jan, B. Øksendal, G. Papanicolaou, E. Pardoux
23.
ＥＢ
by Yuri Kabanov, Mher Safarian
24.
ＥＢ
edited by Ross Maller, Ishwar Basawa, Peter Hall, Eugene Seneta
25.
ＥＢ
by Vincenzo Capasso, David Bakstein
目次情報:
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Part I. The Theory of Stochastic Processes
Fundamentals of Probability
Stochastic Processes
The Itô Integral
Stochastic Differential Equations
Part II. The Applications of Stochastic Processes
Applications to Finance and Insurance
Applications to Biology and Medicine
Part III. Appendices
Measure and Integration
Convergence of Probability Measures on Metric Spaces
Elliptic and Parabolic Operators
D Semigroups and Linear Operators.- E Stability of Ordinary Differential Equations
References
Part I. The Theory of Stochastic Processes
Fundamentals of Probability
Stochastic Processes
26.
ＥＢ
by Archil Gulisashvili
目次情報:
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Preface
Aknowledgements
1.Volatility Processes
2.Stock Price Models with Stochastic Volatility
3.Realized Volatility and Mixing Distributions
4.Integral Transforms of Distribution Densities
5.Asymptotic Analysis of Mixing Distributions
6.Asymptotic Analysis of Stock Price Distributions
7.Regularly Varying Functions and Pareto Type Distributions
8.Asymptotic Analysis of Option Pricing Functions
9.Asymptotic Analysis of Implied Volatility
10.More Formulas for Implied Volatility
11.Implied Volatility in Models Without Moment Explosions
Bibliography
Index
Preface
Aknowledgements
1.Volatility Processes
27.
ＥＢ
by Ivan Nourdin
目次情報:
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1. Preliminaries
2. Fractional Brownian motion
3. Integration with respect to fractional Brownian motion
4. Supremum of the fractional Brownian motion
5. Malliavin calculus in a nutshell
6. Central limit theorem on the Wiener space
7. Weak convergence of partial sums of stationary sequences
8. Non-commutative fractional Brownian motion
1. Preliminaries
2. Fractional Brownian motion
3. Integration with respect to fractional Brownian motion
28.
ＥＢ
by Nigel J. Cutland, Alet Roux
目次情報:
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Derivative Pricing and Hedging
A Simple Market Model
Single-Period Models
Multi-Period Models: No-Arbitrage Pricing
Multi-Period Models: Risk-Neutral Pricing
The Cox-Ross-Rubinstein model
American Options
Advanced Topics
Derivative Pricing and Hedging
A Simple Market Model
Single-Period Models
29.
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edited by Francesca Biagini, Andreas Richter, Harris Schlesinger
目次情報:
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Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences
Multivariate Concave and Convex Stochastic Dominance
Reliable Quantification and Efficient Estimation of Credit Risk
Diffusion-based models for financial markets without martingale measures
Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences
Multivariate Concave and Convex Stochastic Dominance
Reliable Quantification and Efficient Estimation of Credit Risk
30.
ＥＢ
by Łukasz Delong
目次情報:
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Introduction
Stochastic Calculus
Backward Stochastic Differential Equations – the General Case
Forward-Backward Stochastic Differential Equations
Numerical Methods for FBSDEs
Nonlinear Expectations and g-Expectations
Combined Financial and Insurance Model
Linear BSDEs and Predictable Representations of Insurance Payment Processes
Arbitrage-Free Pricing, Perfect Hedging and Superhedging
Quadratic Pricing and Hedging
Utility Maximization and Indifference Pricing and Hedging
Pricing and Hedging under a Least Favorable Measure
Dynamic Risk Measures
Other Classes of BSDEs
Introduction
Stochastic Calculus
Backward Stochastic Differential Equations – the General Case
31.
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by Nizar Touzi
目次情報:
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Preface
1. Conditional Expectation and Linear Parabolic PDEs
2. Stochastic Control and Dynamic Programming
3. Optimal Stopping and Dynamic Programming
4. Solving Control Problems by Verification
5. Introduction to Viscosity Solutions
6. Dynamic Programming Equation in the Viscosity Sense
7. Stochastic Target Problems
8. Second Order Stochastic Target Problems
9. Backward SDEs and Stochastic Control
10. Quadratic Backward SDEs
11. Probabilistic Numerical Methods for Nonlinear PDEs
12. Introduction to Finite Differences Methods
References
Preface
1. Conditional Expectation and Linear Parabolic PDEs
2. Stochastic Control and Dynamic Programming
32.
ＥＢ
edited by Frederi Viens, Jin Feng, Yaozhong Hu, Eulalia Nualart
目次情報:
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An Application of Gaussian Measures to Functional Analysis
Stochastic Taylor Formulas and Riemannian Geometry
Local invertibility of adapted shifts on Wiener Space and related topics
Dilation vector field on Wiener space
The calculus of differentials for the weak Stratonovich integral
Large deviations for Hilbert space valued Wiener processes: a sequence space approach
Stationary distributions for jump processes with inert drift
An Ornstein-Uhlenbeck type process which satisfies sufficient conditions for a simulation based filtering procedure
Escape probability for stochastic dynamical systems with jumps
On Stochastic Navier-Stokes Equation Driven by Stationary White Noise
Intermittency and chaos for a non-linear stochastic wave equation in dimension 1
Generalized stochastic heat equations
Gaussian Upper Density estimates for spatially homogeneous Stochastic PDEs
Stationarity of the solution for the semilinear stochastic integral equation on the whole real line
A strong approximation of sub-fractional Brownian motion by means of transport processes
Malliavin calculus for fractional heat equation
Parameter estimation for alpha-fractional bridges
Gradient bounds for solutions of stochastic differential equations driven by fractional Brownian motion
Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations
The effect of competition on the height and length of the forest of genealogical trees of a large population
Linking progressive and initial filtration expansions
A Malliavin calculus approach to general stochastic differential games with partial information
Asymptotics for the Length of Longest Increasing Subsequences of Binary Markovian Words
A short rate model using ambit processes
Parametric regularity of the conditional expectations via the Malliavin calculus and applications
An Application of Gaussian Measures to Functional Analysis
Stochastic Taylor Formulas and Riemannian Geometry
Local invertibility of adapted shifts on Wiener Space and related topics
33.
ＥＢ
by Gilles Zumbach
目次情報:
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Preface
List of Figures.-List of Tables
1. Introduction
2.Notation, naming and general definitions
3.Stylized facts
4.Empirical mug shots
5.Process Overview
6.Logarithmic versus relative random walks
7.ARCH processes
8.Stochastic volatility processes
9.Regime switching process
10.Price and volatility using high-frequency data
11.Time reversal asymmetry
12.Characterizing heteroskedasticity
13.The innovation distributions
14.Leverage effect
15.Processes and market risk evaluation
16.Option pricing
17.Properties of large covariance matrices
18.Multivariate ARCH processes
19.The processes compatible with the stylized facts
20.Further thoughts.-Bibliography
Index
Preface
List of Figures.-List of Tables
1. Introduction
34.
ＥＢ
by Ludger Rüschendorf
出版情報:
Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013
シリーズ名:
Springer Series in Operations Research and Financial Engineering ;
子書誌情報:
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オンライン:
http://dx.doi.org/10.1007/978-3-642-33590-7
所蔵情報:
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目次情報:
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Preface.-Part I: Stochastic Dependence and Extremal Risk.-1 Copulas, Sklar's Theorem, and Distributional Transform
2 Fréchet Classes, Risk Bounds, and Duality Theory
3 Convex Order, Excess of Loss, and Comonotonicity
4 Bounds for the Distribution Function and Value at Risk of the Joint Portfolio
5 Restrictions on the Dependence Structure
6 Dependence Orderings of Risk Vectors and Portfolios
Part II: Risk Measures and Worst Case Portfolios
7 Risk Measures for Real Risks
8 Risk Measures for Portfolio Vectors
9 Law Invariant Convex Risk Measures on L_d^p and Optimal Mass Transportation
Part III: Optimal Risk Allocation
10 Optimal Allocations and Pareto Equilibrium
11 Characterization and Examples of Optimal Risk Allocations for Convex Risk Functionals
12 Optimal Contingent Claims and (Re)Insurance Contracts
Part IV: Optimal Portfolios and Extreme Risks
13 Optimal Portfolio Diversification w.r.t. Extreme Risks
14 Ordering of Multivariate Risk Models with Respect to Extreme Portfolio Losses
References
List of Symbols
Index
Preface.-Part I: Stochastic Dependence and Extremal Risk.-1 Copulas, Sklar's Theorem, and Distributional Transform
2 Fréchet Classes, Risk Bounds, and Duality Theory
3 Convex Order, Excess of Loss, and Comonotonicity
35.
ＥＢ
by Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter
目次情報:
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1.Introduction
Part I.Basic techniques and models: 2.Notions of mathematical finance
3.Elements of numerical methods for PDEs
4.Finite element methods for parabolic problems
5.European options in BS markets
6.American options
7.Exotic options
8.Interest rate models
9.Multi-asset options
10.Stochastic volatility models-. 11.Lévy models
12.Sensitivities and Greeks
Part II.Advanced techniques and models: 13.Wavelet methods
14.Multidimensional diffusion models
15.Multidimensional Lévy models
16.Stochastic volatility models with jumps
17.Multidimensional Feller processes
Apendices: A.Elliptic variational inequalities
B.Parabolic variational inequalities
References. - Index
1.Introduction
Part I.Basic techniques and models: 2.Notions of mathematical finance
3.Elements of numerical methods for PDEs
36.
ＥＢ
edited by Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle
目次情報:
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A Convolution-based Autoregressive Process by Umberto Cherubini and Fabio Gobbi
Selection of Vine Copulas by Claudia Czado, Eike Christian Brechmann and Lutz Gruber
Copulas in Machine Learning by Gal Elidan
An Overview of the Goodness-of-fit Test problem for Copulas by Jean-David Fermanian
Assessing and Modeling Asymmetry in Bivariate Continuous data by Christian Genest and Johanna G. Nešehová
Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series by Nikolaus Hautsch, Ostap Okhrin and Alexander Ristig
The Limiting Properties of Copulas under Univariate Conditioning by Piotr Jaworski
Singular Mixture Copulas by Dominic Lauterbach and Dietmar Pfeifer
Toward a Copula Theory for Multivariate Regular Variation by Haijun Li
CIID Frailty Models and Implied Copulas by Jan-Frederik Mai, Matthias Scherer and Rudi Zagst
Copula-based Models for Multivariate Discrete Response Data by Aristidis K. Nikoloulopoulos
Vector Generalized Linear Models: A Gaussian Copula Approach by Peter X
K. Song, Mingyao Li and Peng Zhang
APPENDIX A: Gaussian-Hermite Quadrature
APPENDIX B: AREs of GEE and VGLM for binary
Application of Bernstein Copulas to the Pricing of Multi-asset Derivatives by Bertrand Tavin
A Convolution-based Autoregressive Process by Umberto Cherubini and Fabio Gobbi
Selection of Vine Copulas by Claudia Czado, Eike Christian Brechmann and Lutz Gruber
Copulas in Machine Learning by Gal Elidan
37.
ＥＢ
by Pablo Azcue, Nora Muler
目次情報:
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Stability Criteria for Insurance Companies
Reinsurance and Investment
Viscosity Solutions
Characterization of Value Functions
Optimal Strategies
Numerical Examples
References
Appendix A. Probability Theory and Stochastic Processes
Index
Stability Criteria for Insurance Companies
Reinsurance and Investment
Viscosity Solutions
38.
ＥＢ
by Qi Lü, Xu Zhang
39.
ＥＢ
edited by Dmitrii Silvestrov, Anders Martin-Löf
目次情報:
続きを見る
International Cramer Symposium on Insurance Mathematics
Harald Cramer and Insurance Mathematics
100 Years of the Scandinavian Actuarial Journal
A Note on Gerber–Shiu Functions with an Application
Improved Asymptotics for Ruin Probabilities
Exponential Asymptotical Expansions for Ruin Probability in a Classical Risk Process with Non-Polynomial Perturbations
Asymptotics of Ruin Probabilities for Perturbed Discrete Time Risk Processes
Coherent Risk Measures under Dominated Variation
Estimation of the Ruin Probability in Infinite Time for Heavy Right-Tailed Losses
A Simulation-Based ALM Model in Practical Use by a Norwegian Life Insurance Company
Predicting Future Claims Among High Risk Policyholders Using Random Effects
Disability Insurance Claims Study by a Homogeneous Discrete Time Alternating Renewal Process
Analysis of the Stochasticity of Mortality Using Variance Decomposition
The Impact of Stress Factors on the Price of Widow’s Pensions
The Design of an Optimal Bonus-Malus System Based on the Sichel Distribution
Bonus-Malus Systems in Open and Closed Portfolios
Large Deviations for a Damped Telegraph Process
Probabilistic Choice with an Infinite Set of Options – an Approach Based on Random Sup Measures
Generalisation of the Damping Factor in PageRank for Weighted Networks
Asian Options, Jump-Diffusion Processes on a Lattice and Vandermonde Matrices
Option Pricing and CVaR Hedging in the Regime-Switching Telegraph Market Model
International Cramer Symposium on Insurance Mathematics
Harald Cramer and Insurance Mathematics
100 Years of the Scandinavian Actuarial Journal
40.
ＥＢ
by Jean-Pierre Aubin, Luxi Chen, Olivier Dordan
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
41.
ＥＢ
by Aurélien Alfonsi
出版情報:
Cham : Springer International Publishing : Imprint: Springer, 2015
シリーズ名:
Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics ; 6
子書誌情報:
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オンライン:
http://dx.doi.org/10.1007/978-3-319-05221-2
所蔵情報:
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目次情報:
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1 Real valued affine diffusions
2 An introduction to simulation schemes for SDEs
3 Simulation of the CIR process
4 The Heston model and multidimensional affine diffusions
5 Wishart processes and affine diffusions on positive semidefinite matrices
6 Processes of Wright-Fisher type
7 Appendix A Some results on matrices
8 Appendix B Simulation of a gamma random variable
1 Real valued affine diffusions
2 An introduction to simulation schemes for SDEs
3 Simulation of the CIR process
42.
ＥＢ
by Piermarco Cannarsa, Teresa D'Aprile
目次情報:
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1 Part I Measure and Integration
2 Part II Functional Analysis
3 Part III Selected Topics
4 Appendices
5 Index
1 Part I Measure and Integration
2 Part II Functional Analysis
3 Part III Selected Topics
43.
ＥＢ
edited by Alain Haurie, Shigeo Muto, Leon A. Petrosjan, T. E. S. Raghavan
44.
ＥＢ
by Roger B. Nelsen
45.
ＥＢ
by Hui-Hsiung Kuo
46.
ＥＢ
by Freddy Delbaen, Walter Schachermayer
47.
ＥＢ
by Damiano Brigo, Fabio Mercurio
48.
ＥＢ
by Andreas E. Kyprianou
49.
ＥＢ
by Eckhard Platen, David Heath
50.
ＥＢ
by Yannick Malevergne, Didier Sornette
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