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From Stochastic Calculus to Mathematical Finance

The Shiryaev Festschrift

  • Book
  • © 2006

Overview

Authors:
  1. Yuri Kabanov

    1. Université de Franche-Comté, Besançon Cedex, France

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  2. Robert Liptser

    1. Department of Electrical Engineering-Systems, Tel Aviv University, Tel Aviv, Israel

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  3. Jordan Stoyanov

    1. School of Mathematics & Statistics, University of Newcastle, University of Newcastle, UK

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Table of contents (31 chapters)

  1. Front Matter

    Pages I-XXXVII
    Download chapter PDF

  2. On Numerical Approximation of Stochastic Burgers' Equation

    • Aureli Alabert, István Gyongy
    Pages 1-15

  3. Optimal Time to Invest under Tax Exemptions

    • Vadim I. Arkin, Alexander D. Slastnikov
    Pages 17-32

  4. A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales

    • Ole E. Barndorff–Nielsen, Svend Erik Graversen, Jean Jacod, Mark Podolskij, Neil Shephard
    Pages 33-68

  5. Interplay between Distributional and Temporal Dependence. An Empirical Study with High-frequency Asset Returns

    • Nick H. Bingham, Rafael Schmidt
    Pages 69-90

  6. Asymptotic Methods for Stability Analysis of Markov Dynamical Systems with Fast Variables

    • Jevgenijs Carkovs, Jordan Stoyanov
    Pages 91-108

  7. Some Particular Problems of Martingale Theory

    • Alexander Cherny
    Pages 109-124

  8. On the Absolute Continuity and Singularity of Measures on Filtered Spaces: Separating Times

    • Alexander Cherny, Mikhail Urusov
    Pages 125-168

  9. Optimal Hedging with Basis Risk

    • Mark H. A. Davis
    Pages 169-187

  10. Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands

    • Bernard Delyon, Anatoly Juditsky, Robert Liptser
    Pages 189-209

  11. Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization

    • Giovanni B. Di Masi, Lukasz Stettner
    Pages 211-226

  12. On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes

    • Hans-Jürgen Engelbert, Vladimir P. Kurenok, Adrian Zalinescu
    Pages 227-248

  13. A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets

    • José Fajardo, Ernesto Mordecki
    Pages 249-256

  14. Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach

    • Dario Gasbarra, Esko Valkeila, Lioudmila Vostrikova
    Pages 257-285

  15. A Minimax Result for f-Divergences

    • Alexander A. Gushchin, Denis A. Zhdanov
    Pages 287-294

  16. Impulse and Absolutely Continuous Ergodic Control of One-Dimensional Itô Diffusions

    • Andrew Jack, Mihail Zervos
    Pages 295-314

  17. A Consumption–Investment Problem with Production Possibilities

    • Yuri Kabanov, Masaaki Kijima
    Pages 315-332

  18. Multiparameter Generalizations of the Dalang–Morton– Willinger Theorem

    • Yuri Kabanov, Yuliya Mishura, Ludmila Sakhno
    Pages 333-341

  19. A Didactic Note on Affine Stochastic Volatility Models

    • Jan Kallsen
    Pages 343-368

  20. Uniform Optimal Transmission of Gaussian Messages

    • Pavel K. Katyshev
    Pages 369-383
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Keywords

About this book

Dedicated to the eminent Russian mathematician Albert Shiryaev on the occasion of his 70th birthday, the Festschrift is a collection of papers, including several surveys, written by his former students, co-authors and colleagues. These reflect the wide range of scientific interests of the teacher and his Moscow school. The topics range from the disorder problems to stochastic calculus and their applications to mathematical economics and finance. A full biobibliography of Shiryaev’s works is included.

The book represents the modern state of art of many aspects of a quickly maturing theory and will be an essential source and reading for researchers in this area. The diversity of the topics and the comprehensive style of the papers make the book amenable and attractive for PhD students and young researchers.

Authors and Affiliations

  • Université de Franche-Comté, Besançon Cedex, France

    Yuri Kabanov

  • Department of Electrical Engineering-Systems, Tel Aviv University, Tel Aviv, Israel

    Robert Liptser

  • School of Mathematics & Statistics, University of Newcastle, University of Newcastle, UK

    Jordan Stoyanov

Bibliographic Information

  • Book Title: From Stochastic Calculus to Mathematical Finance

  • Book Subtitle: The Shiryaev Festschrift

  • Authors: Yuri Kabanov, Robert Liptser, Jordan Stoyanov

  • DOI: https://doi.org/10.1007/978-3-540-30788-4

  • Publisher: Springer Berlin, Heidelberg

  • eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)

  • Copyright Information: Springer-Verlag Berlin Heidelberg 2006

  • Hardcover ISBN: 978-3-540-30782-2Published: 09 February 2006

  • Softcover ISBN: 978-3-642-06803-4Published: 14 October 2010

  • eBook ISBN: 978-3-540-30788-4Published: 03 April 2007

  • Edition Number: 1

  • Number of Pages: XXXVII, 633

  • Topics: Probability Theory and Stochastic Processes, Systems Theory, Control

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