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  • © 2010

Optimality and Risk - Modern Trends in Mathematical Finance

The Kabanov Festschrift

  • Yuri Kabanov is one of the leading figures in mathematical finance, this book is a tribute to his achievements in this area and in probability in general

  • Includes supplementary material: sn.pub/extras

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Table of contents (14 chapters)

  1. Front Matter

    Pages I-XVIII
  2. On Certain Distributions Associated with the Range of Martingales

    • Alexander Cherny, Bruno Dupire
    Pages 29-38
  3. Immersion Property and Credit Risk Modelling

    • Monique Jeanblanc, Yann Le Cam
    Pages 99-132
  4. Optimal Consumption and Investment with Bounded Downside Risk for Power Utility Functions

    • Claudia Klüppelberg, Serguei Pergamenchtchikov
    Pages 133-170
  5. On Comparison Theorem and its Applications to Finance

    • Vladislav Y. Krasin, Alexander V. Melnikov
    Pages 171-181
  6. Examples of FCLT in Random Environment

    • R. Liptser
    Pages 183-196
  7. The Optimal Time to Exchange one Asset for Another on Finite Interval

    • Yuliya Mishura, Georgiy Shevchenko
    Pages 197-210
  8. Arbitrage Under Transaction Costs Revisited

    • Miklós Rásonyi
    Pages 211-225

About this book

Problems of stochastic optimization and various mathematical aspects of risk are the main themes of this contributed volume. The readers learn about the recent results and techniques of optimal investment, risk measures and derivative pricing. There are also papers touching upon credit risk, martingale theory and limit theorems.

Forefront researchers in probability and financial mathematics have contributed to this volume paying tribute to Yuri Kabanov, an eminent researcher in probability and mathematical finance, on the occasion of his 60th birthday. The volume gives a fair overview of these topics and the current approaches.

Editors and Affiliations

  • Dept. Mathematik, ETH Zürich, Zürich, Switzerland

    Freddy Delbaen

  • MTA Budapest Computer & Automation Research Institute, Budapest, Hungary

    Miklós Rásonyi

  • Lab. de Mathématiques, Université Besancon CNRS UMR 6623, Besancon CX, France

    Christophe Stricker

Bibliographic Information

Buy it now

Buying options

eBook USD 39.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 54.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book USD 54.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access