LIST OF PUBLICATIONS
|
|
|
- Horatio Cox
- 6 years ago
- Views:
Transcription
1 LIST OF PUBLICATIONS Miklós Rásonyi PhD thesis [R0] M. Rásonyi: On certain problems of arbitrage theory in discrete-time financial market models. PhD thesis, Université de Franche-Comté, Besançon, Refereed journal publications [R1] M. Rásonyi: A note on martingale measures with bounded densities, Proceedings of the Steklov Institute of Mathematics, vol. 237, , [R2] Yu. M. Kabanov, M. Rásonyi, Ch. Stricker: No-arbitrage criteria for financial markets with efficient friction, Finance and Stochastics, vol. 6, , [R3] Yu. M. Kabanov, M. Rásonyi, Ch. Stricker: On the closedness of sums of convex cones in L 0 and the robust no-arbitrage property, Finance and Stochastics, vol. 7, , [R4] M. Rásonyi: Equivalent martingale measures for large financial markets in discrete time. Mathematical Methods of Operations Research, vol. 58, , [R5] M. Rásonyi: Arbitrage pricing theory and risk-neutral measures. Decisions in Economics and Finance, vol. 27, , [R6] M. Rásonyi: Arbitrázs nagy pénzügyi piacokon. (In Hungarian.) SZIGMA, vol. 35, , [R7] M. Rásonyi, L. Stettner: On utility maximization in discrete-time market models. Annals of Applied Probability, vol. 15, , [R8] L. Carassus, M. Rásonyi: Convergence of utility indifference prices to the superreplication price. Mathematical Methods of Operations Research, vol. 64, , [R9] L. Carassus, M. Rásonyi: Convergence of utility indifference prices to the superreplication price: the whole real line case. Acta Applicandae Mathematicae, vol. 96, , [R10] L. Carassus, M. Rásonyi: Optimal strategies and utility-based price converge when agents preferences do. Mathematics of Operations Research, vol. 32, , [R11] P. Guasoni, M. Rásonyi and W. Schachermayer: Consistent price systems and face-lifting pricing under transaction costs, Annals of Applied Probability, vol. 18, ,
2 [R12] M. Rásonyi: A note on arbitrage in term structure. Decisions in Economics and Finance, vol. 31, 73 79, [R13] M. Rásonyi, W. Schachermayer and R. Warnung: Hiding a drift. Annals of Probability, vol. 37, , [R14] P. Guasoni, M. Rásonyi and W. Schachermayer: The fundamental theorem of asset pricing for continuous processes under small transaction costs. Annals of Finance, vol. 6, , [R15] M. Rásonyi: On the statistical analysis of quantized Gaussian AR(1) processes. Int. J. of Adaptive Control and Signal Processing, vol. 24, , [R16] V. Prokaj, M. Rásonyi, W. Schachermayer: Hiding a constant drift. Annales de l Institut Henri Poincaré, vol. 47, , [R17] L. Carassus, M. Rásonyi: Risk-averse asymptotics for reservation prices. Annals of Finance, vol. 7, , [R18] V. Prokaj and M. Rásonyi: Local and true martingales in discrete time, Theory of Probability and Its Applications, vol. 55, , [R19] I. Gyöngy and M. Rásonyi: A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients. Stochastic Processes and Their Applications, vol. 121, , [R20] M. L. D. Mbele Bidima and M. Rásonyi: On long-term arbitrage opportunities in Markovian models of financial markets. Annals of Operations Research, vol. 200, , [R21] E. Lépinette, P. Guasoni and M. Rásonyi: The fundamental theorem of asset pricing under transaction costs. Finance and Stochastics, vol. 16, , [R22] A. Horváth and M. Rásonyi: Exploitation of Parallel Genetic Algorithms on Cellular Networks. International Journal of Circuit Theory and Applications, vol. 40, , [R23] A. Horváth and M. Rásonyi: Topographic Implementation of Particle Filters on Cellular Processor Arrays. Signal Processing, vol. 93, , [R24] M. Rásonyi and A. M. Rodrigues: Optimal Portfolio Choice for a Behavioural Investor in Continuous-Time Markets. Annals of Finance, vol. 9, , [R25] L. Carassus and M. Rásonyi: On optimal investment for behavioural investors in discrete-time multiperiod incomplete markets. Mathematical Finance, vol. 25: , [R26] A. Herczegh, V. Prokaj and M. Rásonyi: Diversity and no arbitrage. Stochastic Analysis and Applications., vol. 32, ,
3 [R27] M. L. D. Mbele Bidima and M. Rásonyi: Asymptotic Exponential Arbitrage and Utility-based Asymptotic Arbitrage in Markovian Models of Financial Markets. Acta Applicandae Mathematicae, vol. 138:1 15, [R28] M. Rásonyi and A. M. Rodrigues, Continuous-time portfolio optimisation for a behavioural investor with bounded utility on gains. Electronic Communications in Probability, vol. 19, article no. 38, 1 13, [R29] L. Carassus and M. Rásonyi: Maximization of Non-Concave Utility Functions in Discrete-Time Financial Market Models. Math. Oper. Res., 41: , [R30] P. Guasoni and M. Rásonyi: Fragility of arbitrage and bubbles in local martingale diffusion models, Finance Stoch., vol. 19, , [R31] P. Guasoni and M. Rásonyi: Hedging, arbitrage and optimality under superlinear friction, Annals of Applied Probability, vol. 25, , [R32] M. Rásonyi: Optimal investment with nonconcave utilities in discretetime markets. SIAM J. Finan. Math., vol. 6, , [R33] L. Carassus, M. Rásonyi and A. M. Rodrigues: Non-concave utility maximisation of on the positive real axis in discrete time.mathematics and Financial Economics, vol. 9, , [R34] M. Rásonyi and J. G. Rodríguez-Villarreal: Optimal investment under behavioural criteria in incomplete diffusion market models. To appear in Theory of Probability and its Applications., arxiv: [R35] M. Rásonyi and S. Deák: An explicit solution for optimal investment problems with autoregressive prices and exponential utility. Applicationes Mathematicae, vol. 42, , [R36] T. Pennanen, A.-P. Perkkiö and M. Rásonyi: Non-convex dynamic programming and optimal investment. Published online by Mathematics and Financial Economics, [R37] M. Rásonyi: Maximizing expected utility in the Aribtrage Pricing Model. Submitted, arxiv: [R38] M. Rásonyi and H. Sayit: Sticky processes, local and true martingales. Under revision at Bernoulli, arxiv: [R39] M. Rásonyi: On optimal strategies for utility maximizers in the Arbitrage Pricing Model. To appear in the International Journal of Theoretical and Applied Finance, arxiv: [R40] Huy N. Chau and M. Rásonyi. Skorohod s representation theorem and optimal strategies for markets with frictions, Submitted. arxiv:
4 [R41] Huy N. Chau and M. Rásonyi. On optimal investment for processes of long or negative memory. Submitted, arxiv: [R42] M. Rásonyi. On the identification of random variables from quantized observations. Submitted, arxiv: [R43] Huy N. Chau, Ch. Kumar, M. Rásonyi and S. Sabanis. On fixed gain recursive estimators with discontinuity in the parameters. Submitted, arxiv: [R44] R. Blanchard, L. Carassus and M. Rásonyi. Non-concave optimal investment and no-arbitrage: a measure theoretical approach. Submitted, arxiv: Book parts (all refereed) [R45] M. Rásonyi: A remark on the superhedging theorem under transaction costs, Séminaire de Probabilités XXXVII, , Springer, [R46] L. Stettner and M. Rásonyi: On the existence of optimal portfolios for the utility maximization problem in discrete time financial market models. From stochastic calculus to mathematical finance the Shiryaev Festschrift , Springer, [R47] M. Rásonyi: New methods in the arbitrage theory of financial markets with transaction costs, Séminaire de Probabilités XLI, Lecture Notes in Mathematics 1934, , Springer, Berlin, Erratum in Séminaire de Probabilités XLII. [R48] M. Rásonyi: Arbitrage under transaction costs revisited. In: Optimality and Risk: Modern trends in Mathematical Finance; the Kabanov Festschrift, editors: F. Delbaen, M. Rásonyi, Ch. Stricker, Springer, , [R49] M. Rásonyi and J. G. Rodríguez-Villarreal. Optimal investment under behavioural criteria a dual approach. In: Advances in Mathematics of Finance, eds. A. Palczewski and L. Stettner, Banach Center Publications 104, , Proceedings papers [R50] L. Gerencsér, Gy. Michaletzky and M. Rásonyi: Model uncertainty and performance in option pricing, Proceedings of the 38th IEEE Conference on Control and Decision (CDC 99), Phoenix, [R51] M. Rásonyi: A note on martingale measures with bounded density, In M. Kohlmann, editor, Proceedings of the Workshop on Mathematical Finance, 3-7 October, 2000, Konstanz, , Birkhäuser,
5 [R52] L. Gerencsér, M. Rásonyi and Zs. Vágó: Controlled Lyapunov-exponents with applications in optimization, finance and biology. Proceedings of the 11th Mediterranean Conference on Control and Automation, MED 03, T5-013, Rhodes, June 18-20, [R53] L. Stettner and M. Rásonyi: Utility maximization in discrete-time financial market models. Proceedings of Stochastic Finance 2004, Lisbon, September 26-30, [R54] L. Gerencsér, M. Rásonyi and Zs. Vágó: Controlled Lyapunov-exponents with applications. Proceedings of the 43rd IEEE Conference on Decision and Control (CDC), Nassau, Bahamas December 14-17, [R55] L. Gerencsér, M. Rásonyi and Zs. Vágó: Log-optimal portfolios and control Lyapunov exponents. Proceedings of the 44th IEEE Conference on Control and Decision and European Control Conference, Seville, CDC-ECC 05, December, [R56] E. Berlinger, L. Gerencsér, Z. Mátyás and M. Rásonyi: Optimal control of an income-contingent student loan system. Proceedings of the 21st European Conference on Modelling and Simulation, ECMS, Prague, 4-6th June, [R57] A. Horváth and M. Rásonyi: Fast computation of particle filters on processor arrays. Proceedings of the 12th International Workshop on Cellular Nanoscale Networks and Applications (CNNA 2010), Berkeley, California, 3-5 February, [R58] A. Horváth and M. Rásonyi: Maximum likelihood estimation of quantized Gaussian autoregressive processes using particle filters with resampling. Proceddings of International Symposium on Nonlinear Theory and its Applications,Palma de Mallorca, October 22-26,
CV Patrick Cheridito
CV Patrick Cheridito Professor of Mathematics, ETH Zurich Director of RiskLab Switzerland Rämistrasse 101, 8092 Zurich, Switzerland https ://people.math.ethz.ch/ patrickc Academic Appointments Professor
In Discrete Time a Local Martingale is a Martingale under an Equivalent Probability Measure
In Discrete Time a Local Martingale is a Martingale under an Equivalent Probability Measure Yuri Kabanov 1,2 1 Laboratoire de Mathématiques, Université de Franche-Comté, 16 Route de Gray, 253 Besançon,
CV Patrick Cheridito
CV Patrick Cheridito Department of Mathematics, ETH Zurich Rämistrasse 101, 8092 Zurich, Switzerland https ://people.math.ethz.ch/ patrickc Academic Appointments Professor at the Department of Mathematics,
Markets with convex transaction costs
1 Markets with convex transaction costs Irina Penner Humboldt University of Berlin Email: penner@math.hu-berlin.de Joint work with Teemu Pennanen Helsinki University of Technology Special Semester on Stochastics
Curriculum Vitae. Constantinos Kardaras
Curriculum Vitae Constantinos Kardaras Professor Statistics Department London School of Economics and Political Science 10 Houghton street London, WC2A 2AE, UK Phone number: (+1)617-358-4414; Fax number:
Continuous time Asset Pricing
Continuous time Asset Pricing Julien Hugonnier HEC Lausanne and Swiss Finance Institute Email: Julien.Hugonnier@unil.ch Winter 2008 Course outline This course provides an advanced introduction to the methods
Lower and upper bounds of martingale measure densities in continuous time markets
Lower and upper bounds of martingale measure densities in continuous time markets Giulia Di Nunno CMA, Univ. of Oslo Workshop on Stochastic Analysis and Finance Hong Kong, June 29 th - July 3 rd 2009.
Convex duality in optimal investment under illiquidity
Convex duality in optimal investment under illiquidity Teemu Pennanen August 16, 2013 Abstract We study the problem of optimal investment by embedding it in the general conjugate duality framework of convex
No arbitrage of the first kind and local martingale numéraires
Finance Stoch (2016) 20:1097 1108 DOI 10.1007/s00780-016-0310-6 No arbitrage of the first kind and local martingale numéraires Yuri Kabanov 1,2 Constantinos Kardaras 3 Shiqi Song 4 Received: 3 October
Continuous-time Stochastic Control and Optimization with Financial Applications
Huyen Pham Continuous-time Stochastic Control and Optimization with Financial Applications 4y Springer Some elements of stochastic analysis 1 1.1 Stochastic processes 1 1.1.1 Filtration and processes 1
Portfolio optimization problem with default risk
Portfolio optimization problem with default risk M.Mazidi, A. Delavarkhalafi, A.Mokhtari mazidi.3635@gmail.com delavarkh@yazduni.ac.ir ahmokhtari20@gmail.com Faculty of Mathematics, Yazd University, P.O.
Basic Concepts in Mathematical Finance
Chapter 1 Basic Concepts in Mathematical Finance In this chapter, we give an overview of basic concepts in mathematical finance theory, and then explain those concepts in very simple cases, namely in the
Option Pricing under Delay Geometric Brownian Motion with Regime Switching
Science Journal of Applied Mathematics and Statistics 2016; 4(6): 263-268 http://www.sciencepublishinggroup.com/j/sjams doi: 10.11648/j.sjams.20160406.13 ISSN: 2376-9491 (Print); ISSN: 2376-9513 (Online)
Lower and upper bounds of martingale measure densities in continuous time markets
Lower and upper bounds of martingale measure densities in continuous time markets Giulia Di Nunno Workshop: Finance and Insurance Jena, March 16 th 20 th 2009. presentation based on a joint work with Inga
Option Pricing with Delayed Information
Option Pricing with Delayed Information Mostafa Mousavi University of California Santa Barbara Joint work with: Tomoyuki Ichiba CFMAR 10th Anniversary Conference May 19, 2017 Mostafa Mousavi (UCSB) Option
Yuri Kabanov, Constantinos Kardaras and Shiqi Song No arbitrage of the first kind and local martingale numéraires
Yuri Kabanov, Constantinos Kardaras and Shiqi Song No arbitrage of the first kind and local martingale numéraires Article (Accepted version) (Refereed) Original citation: Kabanov, Yuri, Kardaras, Constantinos
Optimal investment and contingent claim valuation in illiquid markets
and contingent claim valuation in illiquid markets Teemu Pennanen King s College London Ari-Pekka Perkkiö Technische Universität Berlin 1 / 35 In most models of mathematical finance, there is at least
Convergence of Discretized Stochastic (Interest Rate) Processes with Stochastic Drift Term.
Convergence of Discretized Stochastic (Interest Rate) Processes with Stochastic Drift Term. G. Deelstra F. Delbaen Free University of Brussels, Department of Mathematics, Pleinlaan 2, B-15 Brussels, Belgium
Exponential utility maximization under partial information
Exponential utility maximization under partial information Marina Santacroce Politecnico di Torino Joint work with M. Mania AMaMeF 5-1 May, 28 Pitesti, May 1th, 28 Outline Expected utility maximization
Contract Theory in Continuous- Time Models
Jaksa Cvitanic Jianfeng Zhang Contract Theory in Continuous- Time Models fyj Springer Table of Contents Part I Introduction 1 Principal-Agent Problem 3 1.1 Problem Formulation 3 1.2 Further Reading 6 References
Numerical Solution of Stochastic Differential Equations with Jumps in Finance
Numerical Solution of Stochastic Differential Equations with Jumps in Finance Eckhard Platen School of Finance and Economics and School of Mathematical Sciences University of Technology, Sydney Kloeden,
Drawdowns Preceding Rallies in the Brownian Motion Model
Drawdowns receding Rallies in the Brownian Motion Model Olympia Hadjiliadis rinceton University Department of Electrical Engineering. Jan Večeř Columbia University Department of Statistics. This version:
MSc Financial Mathematics
MSc Financial Mathematics The following information is applicable for academic year 2018-19 Programme Structure Week Zero Induction Week MA9010 Fundamental Tools TERM 1 Weeks 1-1 0 ST9080 MA9070 IB9110
CONSISTENCY AMONG TRADING DESKS
CONSISTENCY AMONG TRADING DESKS David Heath 1 and Hyejin Ku 2 1 Department of Mathematical Sciences, Carnegie Mellon University, Pittsburgh, PA, USA, email:heath@andrew.cmu.edu 2 Department of Mathematics
Conditional Full Support and No Arbitrage
Gen. Math. Notes, Vol. 32, No. 2, February 216, pp.54-64 ISSN 2219-7184; Copyright c ICSRS Publication, 216 www.i-csrs.org Available free online at http://www.geman.in Conditional Full Support and No Arbitrage
AN INFORMATION-BASED APPROACH TO CREDIT-RISK MODELLING. by Matteo L. Bedini Universitè de Bretagne Occidentale
AN INFORMATION-BASED APPROACH TO CREDIT-RISK MODELLING by Matteo L. Bedini Universitè de Bretagne Occidentale Matteo.Bedini@univ-brest.fr Agenda Credit Risk The Information-based Approach Defaultable Discount
Stochastic Approximation Algorithms and Applications
Harold J. Kushner G. George Yin Stochastic Approximation Algorithms and Applications With 24 Figures Springer Contents Preface and Introduction xiii 1 Introduction: Applications and Issues 1 1.0 Outline
Publications J. Michael Harrison February 2015 BOOKS. [1] Brownian Motion and Stochastic Flow Systems (1985), John Wiley and Sons, New York.
![Publications J. Michael Harrison February 2015 BOOKS. [1] Brownian Motion and Stochastic Flow Systems (1985), John Wiley and Sons, New York.](/thumbs/74/71295647.jpg "Publications J. Michael Harrison February 2015 BOOKS. [1] Brownian Motion and Stochastic Flow Systems (1985), John Wiley and Sons, New York.")
Publications J. Michael Harrison February 2015 BOOKS [1] Brownian Motion and Stochastic Flow Systems (1985), John Wiley and Sons, New York. [2] Brownian Models of Performance and Control (2013), Cambridge
by Kian Guan Lim Professor of Finance Head, Quantitative Finance Unit Singapore Management University
by Kian Guan Lim Professor of Finance Head, Quantitative Finance Unit Singapore Management University Presentation at Hitotsubashi University, August 8, 2009 There are 14 compulsory semester courses out
European option pricing under parameter uncertainty
European option pricing under parameter uncertainty Martin Jönsson (joint work with Samuel Cohen) University of Oxford Workshop on BSDEs, SPDEs and their Applications July 4, 2017 Introduction 2/29 Introduction
A note on the existence of unique equivalent martingale measures in a Markovian setting
Finance Stochast. 1, 251 257 1997 c Springer-Verlag 1997 A note on the existence of unique equivalent martingale measures in a Markovian setting Tina Hviid Rydberg University of Aarhus, Department of Theoretical
The minimal entropy martingale measure
The minimal entropy martingale measure Martin Schweizer ETH Zürich Departement Mathematik ETH-Zentrum, HG G 51.2 CH 8092 Zürich Switzerland martin.schweizer@math.ethz.ch Abstract: Suppose discounted asset
Optimal stopping problems for a Brownian motion with a disorder on a finite interval
Optimal stopping problems for a Brownian motion with a disorder on a finite interval A. N. Shiryaev M. V. Zhitlukhin arxiv:1212.379v1 [math.st] 15 Dec 212 December 18, 212 Abstract We consider optimal
arxiv: v1 [q-fin.pr] 11 Oct 2008
![arxiv: v1 [q-fin.pr] 11 Oct 2008](/thumbs/76/73254394.jpg "arxiv: v1 [q-fin.pr] 11 Oct 2008")
arxiv:0810.2016v1 [q-fin.pr] 11 Oct 2008 Hedging of claims with physical delivery under convex transaction costs Teemu Pennanen February 12, 2018 Abstract Irina Penner We study superhedging of contingent
Fundamentals of Stochastic Filtering
Alan Bain Dan Crisan Fundamentals of Stochastic Filtering Sprin ger Contents Preface Notation v xi 1 Introduction 1 1.1 Foreword 1 1.2 The Contents of the Book 3 1.3 Historical Account 5 Part I Filtering
ARBITRAGE AND MARTINGALE MEASURE
UNIVERSITY OF PANNONIA DOCTORAL SCHOOL FOR MANAGEMENT AND APPLIED ECONOMICS Badics Tamás ARBITRAGE AND MARTINGALE MEASURE Synopsis of the Ph.D. Thesis Consultant: Dr. Medvegyev Péter Veszprém, 2011. February
MSc Financial Mathematics
MSc Financial Mathematics Programme Structure Week Zero Induction Week MA9010 Fundamental Tools TERM 1 Weeks 1-1 0 ST9080 MA9070 IB9110 ST9570 Probability & Numerical Asset Pricing Financial Stoch. Processes
MODELLING 1-MONTH EURIBOR INTEREST RATE BY USING DIFFERENTIAL EQUATIONS WITH UNCERTAINTY
Applied Mathematical and Computational Sciences Volume 7, Issue 3, 015, Pages 37-50 015 Mili Publications MODELLING 1-MONTH EURIBOR INTEREST RATE BY USING DIFFERENTIAL EQUATIONS WITH UNCERTAINTY J. C.
Monte Carlo Methods in Financial Engineering
Paul Glassennan Monte Carlo Methods in Financial Engineering With 99 Figures
Portfolio Optimisation under Transaction Costs
Portfolio Optimisation under Transaction Costs W. Schachermayer University of Vienna Faculty of Mathematics joint work with Ch. Czichowsky (Univ. Vienna), J. Muhle-Karbe (ETH Zürich) June 2012 We fix a
Mean-variance hedging and mean-variance portfolio selection
Mean-variance hedging and mean-variance portfolio selection Martin Schweizer ETH Zürich Departement Mathematik ETH-Zentrum, HG G 51.2 CH 8092 Zürich Switzerland martin.schweizer@math.ethz.ch Abstract:
Law of the Minimal Price
Law of the Minimal Price Eckhard Platen School of Finance and Economics and Department of Mathematical Sciences University of Technology, Sydney Lit: Platen, E. & Heath, D.: A Benchmark Approach to Quantitative
Parameter estimation of diffusion models from discrete observations
221 Parameter estimation of diffusion models from discrete observations Miljenko Huzak Abstract. A short review of diffusion parameter estimations methods from discrete observations is presented. The applicability
Pricing Exotic Options Under a Higher-order Hidden Markov Model
Pricing Exotic Options Under a Higher-order Hidden Markov Model Wai-Ki Ching Tak-Kuen Siu Li-min Li 26 Jan. 2007 Abstract In this paper, we consider the pricing of exotic options when the price dynamic
Performance Measurement with Nonnormal. the Generalized Sharpe Ratio and Other "Good-Deal" Measures
Performance Measurement with Nonnormal Distributions: the Generalized Sharpe Ratio and Other "Good-Deal" Measures Stewart D Hodges forcsh@wbs.warwick.uk.ac University of Warwick ISMA Centre Research Seminar
OPTIMAL PORTFOLIO CONTROL WITH TRADING STRATEGIES OF FINITE
Proceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference 005 Seville, Spain, December 1-15, 005 WeA11.6 OPTIMAL PORTFOLIO CONTROL WITH TRADING STRATEGIES OF
Term Structure of Credit Spreads of A Firm When Its Underlying Assets are Discontinuous
www.sbm.itb.ac.id/ajtm The Asian Journal of Technology Management Vol. 3 No. 2 (2010) 69-73 Term Structure of Credit Spreads of A Firm When Its Underlying Assets are Discontinuous Budhi Arta Surya *1 1
Optimal investment and contingent claim valuation in illiquid markets
Optimal investment and contingent claim valuation in illiquid markets Teemu Pennanen May 18, 2014 Abstract This paper extends basic results on arbitrage bounds and attainable claims to illiquid markets
On Utility Based Pricing of Contingent Claims in Incomplete Markets
On Utility Based Pricing of Contingent Claims in Incomplete Markets J. Hugonnier 1 D. Kramkov 2 W. Schachermayer 3 March 5, 2004 1 HEC Montréal and CIRANO, 3000 Chemin de la Côte S te Catherine, Montréal,
Math 416/516: Stochastic Simulation
Math 416/516: Stochastic Simulation Haijun Li lih@math.wsu.edu Department of Mathematics Washington State University Week 13 Haijun Li Math 416/516: Stochastic Simulation Week 13 1 / 28 Outline 1 Simulation
$'( $)*+* & $'( $)*+, '- -..$ $/$)*+0 & # 1 $2 $ $34)35 #$ #5 2 $ #5!! $&.$344*534)3 $ $)***5 $)**, $ ' $ )**05)**,
!"#$%&' $'( $)*+* & $'( $)*+, '- -..$ $/$)*+0 & # 1 $2 $ $34)35 #$ #5 2 $ #5!! $&.$344*534)3 $ $)***5 65$7 ' $)**,53444 65$ ' $ )**05)**, 65$ ' $ )**)5)**0 6! $ $)*+*5)**) '( $.($)*+85)*++ #5! 2 $ %$34)95!:5
Statistical Models and Methods for Financial Markets
Tze Leung Lai/ Haipeng Xing Statistical Models and Methods for Financial Markets B 374756 4Q Springer Preface \ vii Part I Basic Statistical Methods and Financial Applications 1 Linear Regression Models
Viktor Todorov. Kellogg School of Management Tel: (847) Northwestern University Fax: (847) Evanston, IL
Viktor Todorov Contact Information Education Finance Department E-mail: v-todorov@northwestern.edu Kellogg School of Management Tel: (847) 467 0694 Northwestern University Fax: (847) 491 5719 Evanston,
A model for a large investor trading at market indifference prices
A model for a large investor trading at market indifference prices Dmitry Kramkov (joint work with Peter Bank) Carnegie Mellon University and University of Oxford 5th Oxford-Princeton Workshop on Financial
RISK-NEUTRAL VALUATION AND STATE SPACE FRAMEWORK. JEL Codes: C51, C61, C63, and G13
RISK-NEUTRAL VALUATION AND STATE SPACE FRAMEWORK JEL Codes: C51, C61, C63, and G13 Dr. Ramaprasad Bhar School of Banking and Finance The University of New South Wales Sydney 2052, AUSTRALIA Fax. +61 2
Robust hedging with tradable options under price impact
- Robust hedging with tradable options under price impact Arash Fahim, Florida State University joint work with Y-J Huang, DCU, Dublin March 2016, ECFM, WPI practice is not robust - Pricing under a selected
Basic Concepts and Examples in Finance
Basic Concepts and Examples in Finance Bernardo D Auria email: bernardo.dauria@uc3m.es web: www.est.uc3m.es/bdauria July 5, 2017 ICMAT / UC3M The Financial Market The Financial Market We assume there are
DEPARTMENT OF FINANCE. Undergraduate Courses Postgraduate Courses
DEPARTMENT OF FINANCE Undergraduate Courses Postgraduate Courses Undergraduate Courses: FINA 110 Fundamentals of Business Finance [3-0-0:3] For non-sb&m students. Introductory business finance. Topics
American Foreign Exchange Options and some Continuity Estimates of the Optimal Exercise Boundary with respect to Volatility
American Foreign Exchange Options and some Continuity Estimates of the Optimal Exercise Boundary with respect to Volatility Nasir Rehman Allam Iqbal Open University Islamabad, Pakistan. Outline Mathematical
Umut Çetin and L. C. G. Rogers Modelling liquidity effects in discrete time
Umut Çetin and L. C. G. Rogers Modelling liquidity effects in discrete time Article (Accepted version) (Refereed) Original citation: Cetin, Umut and Rogers, L.C.G. (2007) Modelling liquidity effects in
Mean-Variance Hedging under Additional Market Information
Mean-Variance Hedging under Additional Market Information Frank hierbach Department of Statistics University of Bonn Adenauerallee 24 42 53113 Bonn, Germany email: thierbach@finasto.uni-bonn.de Abstract
o Hours per week: lecture (4 hours) and exercise (1 hour)
Mathematical study programmes: courses taught in English 1. Master 1.1.Winter term An Introduction to Measure-Theoretic Probability o ECTS: 4 o Hours per week: lecture (2 hours) and exercise (1 hour) o
Marcel F. Nutz. Employment and Education. Visiting Positions and Extended Visits. Awards and Honors
Marcel F. Nutz Email: mnutz@columbia.edu Web: http://www.math.columbia.edu/~mnutz/ Employment and Education Associate Professor with tenure, Department of Statistics, Columbia University, also affiliated
On the law of one price
Noname manuscript No. (will be inserted by the editor) On the law of one price Jean-Michel Courtault 1, Freddy Delbaen 2, Yuri Kabanov 3, Christophe Stricker 4 1 L.I.B.R.E., Université defranche-comté,
Minimal Variance Hedging in Large Financial Markets: random fields approach
Minimal Variance Hedging in Large Financial Markets: random fields approach Giulia Di Nunno Third AMaMeF Conference: Advances in Mathematical Finance Pitesti, May 5-1 28 based on a work in progress with
An Explicit Example of a Shadow Price Process with Stochastic Investment Opportunity Set
An Explicit Example of a Shadow Price Process with Stochastic Investment Opportunity Set Christoph Czichowsky Faculty of Mathematics University of Vienna SIAM FM 12 New Developments in Optimal Portfolio
Applied Stochastic Processes and Control for Jump-Diffusions
Applied Stochastic Processes and Control for Jump-Diffusions Modeling, Analysis, and Computation Floyd B. Hanson University of Illinois at Chicago Chicago, Illinois siam.. Society for Industrial and Applied
Viktor Todorov. Kellogg School of Management Tel: (847) Northwestern University Fax: (847) Evanston, IL
Viktor Todorov Contact Information Education Finance Department E-mail: v-todorov@northwestern.edu Kellogg School of Management Tel: (847) 467 0694 Northwestern University Fax: (847) 491 5719 Evanston,
Department of Probability and Statistics (086) School of Mathematical Sciences
Lijun Bo Contact Information Research Interests Department of Probability and Statistics (086) 0551-63600313 School of Mathematical Sciences lijunbo@ustc.edu.cn University of Science and Technology of
Numerical Solution of Stochastic Differential Equations with Jumps in Finance
Numerical Solution of Stochastic Differential Equations with Jumps in Finance Eckhard Platen School of Finance and Economics and School of Mathematical Sciences University of Technology, Sydney Kloeden,
CRRAO Advanced Institute of Mathematics, Statistics and Computer Science (AIMSCS) Research Report. B. L. S. Prakasa Rao
CRRAO Advanced Institute of Mathematics, Statistics and Computer Science (AIMSCS) Research Report Author (s): B. L. S. Prakasa Rao Title of the Report: Option pricing for processes driven by mixed fractional
Guarantee valuation in Notional Defined Contribution pension systems
Guarantee valuation in Notional Defined Contribution pension systems Jennifer Alonso García (joint work with Pierre Devolder) Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) Université
Exponential utility maximization under partial information and sufficiency of information
Exponential utility maximization under partial information and sufficiency of information Marina Santacroce Politecnico di Torino Joint work with M. Mania WORKSHOP FINANCE and INSURANCE March 16-2, Jena
FINC3017: Investment and Portfolio Management
FINC3017: Investment and Portfolio Management Investment Funds Topic 1: Introduction Unit Trusts: investor s funds are pooled, usually into specific types of assets. o Investors are assigned tradeable
Financial Engineering MRM 8610 Spring 2015 (CRN 12477) Instructor Information. Class Information. Catalog Description. Textbooks
Instructor Information Financial Engineering MRM 8610 Spring 2015 (CRN 12477) Instructor: Daniel Bauer Office: Room 1126, Robinson College of Business (35 Broad Street) Office Hours: By appointment (just
based on two joint papers with Sara Biagini Scuola Normale Superiore di Pisa, Università degli Studi di Perugia
Marco Frittelli Università degli Studi di Firenze Winter School on Mathematical Finance January 24, 2005 Lunteren. On Utility Maximization in Incomplete Markets. based on two joint papers with Sara Biagini
Optimal Option Pricing via Esscher Transforms with the Meixner Process
Communications in Mathematical Finance, vol. 2, no. 2, 2013, 1-21 ISSN: 2241-1968 (print), 2241 195X (online) Scienpress Ltd, 2013 Optimal Option Pricing via Esscher Transforms with the Meixner Process
State Switching in US Equity Index Returns based on SETAR Model with Kalman Filter Tracking
State Switching in US Equity Index Returns based on SETAR Model with Kalman Filter Tracking Timothy Little, Xiao-Ping Zhang Dept. of Electrical and Computer Engineering Ryerson University 350 Victoria
Estimation of Value at Risk and ruin probability for diffusion processes with jumps
Estimation of Value at Risk and ruin probability for diffusion processes with jumps Begoña Fernández Universidad Nacional Autónoma de México joint work with Laurent Denis and Ana Meda PASI, May 21 Begoña
HUI WANG. Associate Professor Division of Applied Mathematics Dec 31, 2011
HUI WANG Associate Professor Division of Applied Mathematics Dec 31, 2011 EDUCATION Ph.D. Columbia University, May 2000 M.S. Tsinghua University, P.R.China, July 1996 B.E. Tsinghua University, P.R.China,
CLAIM HEDGING IN AN INCOMPLETE MARKET
Vol 18 No 2 Journal of Systems Science and Complexity Apr 2005 CLAIM HEDGING IN AN INCOMPLETE MARKET SUN Wangui (School of Economics & Management Northwest University Xi an 710069 China Email: wans6312@pubxaonlinecom)
There are no predictable jumps in arbitrage-free markets
There are no predictable jumps in arbitrage-free markets Markus Pelger October 21, 2016 Abstract We model asset prices in the most general sensible form as special semimartingales. This approach allows
From Financial Engineering to Risk Management. Radu Tunaru University of Kent, UK
Model Risk in Financial Markets From Financial Engineering to Risk Management Radu Tunaru University of Kent, UK \Yp World Scientific NEW JERSEY LONDON SINGAPORE BEIJING SHANGHAI HONG KONG TAIPEI CHENNAI
Risk-Neutral Valuation
N.H. Bingham and Rüdiger Kiesel Risk-Neutral Valuation Pricing and Hedging of Financial Derivatives W) Springer Contents 1. Derivative Background 1 1.1 Financial Markets and Instruments 2 1.1.1 Derivative
Replication and Absence of Arbitrage in Non-Semimartingale Models
Replication and Absence of Arbitrage in Non-Semimartingale Models Matematiikan päivät, Tampere, 4-5. January 2006 Tommi Sottinen University of Helsinki 4.1.2006 Outline 1. The classical pricing model:
OPTION PRICE WHEN THE STOCK IS A SEMIMARTINGALE
DOI: 1.1214/ECP.v7-149 Elect. Comm. in Probab. 7 (22) 79 83 ELECTRONIC COMMUNICATIONS in PROBABILITY OPTION PRICE WHEN THE STOCK IS A SEMIMARTINGALE FIMA KLEBANER Department of Mathematics & Statistics,
An example of indifference prices under exponential preferences
Finance Stochast. 8, 229 239 (2004) DOI: 0.007/s00780-003-02-5 c Springer-Verlag 2004 An example of indifference prices under exponential preferences Marek Musiela, Thaleia Zariphopoulou 2 BNP Paribas,
Asymmetric information in trading against disorderly liquidation of a large position.
Asymmetric information in trading against disorderly liquidation of a large position. Caroline Hillairet 1 Cody Hyndman 2 Ying Jiao 3 Renjie Wang 2 1 ENSAE ParisTech Crest, France 2 Concordia University,
Chapter 1. Introduction and Preliminaries. 1.1 Motivation. The American put option problem
Chapter 1 Introduction and Preliminaries 1.1 Motivation The American put option problem The valuation of contingent claims has been a widely known topic in the theory of modern finance. Typical claims
References. H. Föllmer, A. Schied, Stochastic Finance (3rd Ed.) de Gruyter 2011 (chapters 4 and 11)
General references on risk measures P. Embrechts, R. Frey, A. McNeil, Quantitative Risk Management, (2nd Ed.) Princeton University Press, 2015 H. Föllmer, A. Schied, Stochastic Finance (3rd Ed.) de Gruyter
A study of the absence of arbitrage opportunities without calculating the risk-neutral probability
Acta Univ. Sapientiae, Mathematica, 8, 2 (216) 26 221 DOI: 1.1515/ausm-216-13 A study of the absence of arbitrage opportunities without calculating the risk-neutral probability S. Dani Laboratory of Stochastic
An overview of some financial models using BSDE with enlarged filtrations
An overview of some financial models using BSDE with enlarged filtrations Anne EYRAUD-LOISEL Workshop : Enlargement of Filtrations and Applications to Finance and Insurance May 31st - June 4th, 2010, Jena
Sensitivity of American Option Prices with Different Strikes, Maturities and Volatilities
Applied Mathematical Sciences, Vol. 6, 2012, no. 112, 5597-5602 Sensitivity of American Option Prices with Different Strikes, Maturities and Volatilities Nasir Rehman Department of Mathematics and Statistics
Cambridge University Press Risk Modelling in General Insurance: From Principles to Practice Roger J. Gray and Susan M.
adjustment coefficient, 272 and Cramér Lundberg approximation, 302 existence, 279 and Lundberg s inequality, 272 numerical methods for, 303 properties, 272 and reinsurance (case study), 348 statistical
Financial and Actuarial Mathematics
Financial and Actuarial Mathematics Syllabus for a Master Course Leda Minkova Faculty of Mathematics and Informatics, Sofia University St. Kl.Ohridski leda@fmi.uni-sofia.bg Slobodanka Jankovic Faculty
Spot and forward dynamic utilities. and their associated pricing systems. Thaleia Zariphopoulou. UT, Austin
Spot and forward dynamic utilities and their associated pricing systems Thaleia Zariphopoulou UT, Austin 1 Joint work with Marek Musiela (BNP Paribas, London) References A valuation algorithm for indifference
MODELLING OPTIMAL HEDGE RATIO IN THE PRESENCE OF FUNDING RISK
MODELLING OPTIMAL HEDGE RATIO IN THE PRESENCE O UNDING RISK Barbara Dömötör Department of inance Corvinus University of Budapest 193, Budapest, Hungary E-mail: barbara.domotor@uni-corvinus.hu KEYWORDS
Advanced Numerical Techniques for Financial Engineering
Advanced Numerical Techniques for Financial Engineering Andreas Binder, Heinz W. Engl, Andrea Schatz Abstract We present some aspects of advanced numerical analysis for the pricing and risk managment of
Order driven markets : from empirical properties to optimal trading
Order driven markets : from empirical properties to optimal trading Frédéric Abergel Latin American School and Workshop on Data Analysis and Mathematical Modelling of Social Sciences 9 november 2016 F.
Are the Azéma-Yor processes truly remarkable?
Are the Azéma-Yor processes truly remarkable? Jan Obłój j.obloj@imperial.ac.uk based on joint works with L. Carraro, N. El Karoui, A. Meziou and M. Yor Swiss Probability Seminar, 5 Dec 2007 Are the Azéma-Yor