Delbaen F., Rásonyi M., Stricker C. (Eds.) Optimality and Risk - Modern Trends in Mathematical Finance: The Kabanov Festschrift

Springer – 2009, 281 p.
ISBN: 3642026079Problems 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.E. Presman, I. Sonin, Ch. Stricker: Preface. - S. Biagini and M. Frittelli: On the extension of the Namioka-Klee theorem and on the Fatou property for Risk Measures.- Al. Cherny and B. Dupire: On Certain Distributions Associated with the Range of Martingales.- F. Delbaen: Differentiability Properties of Utility Functions.- Ch. Frei and M. Schweizer: Exponential utility indifference valuation in a general semimartingale model.- Al. Gordon and Is. M. Sonin: The expected number of intersections of a four valued bounded martingale with any level may be infinite. - M. Jeanblanc and Ya. Le Cam: Immersion Property and Credit Risk Modeling. - C. Klüppelberg and S. Pergamenchtchikov: Optimal consumption and investment with bounded downside risk for power utility functions. - V. Yu. Krasin and Al. V. Melnikov: On Comparison Theorem and its Applications to Finance. - R. Liptser: Examples of FCLT in random environment. - Yu. Mishura and G. Shevchenko: The optimal time to exchange one asset for another on finite interval.- M. Rásonyi: Arbitrage under transaction costs revisited.- Al. N. Shiryaev, P. Y. Zryumov: On the linear and nonlinear generalized Bayesian disorder problem (discrete time case).- L. Stettner: Long time growth optimal portfolio with transaction costs.- Es. Valkeila: On the approximation of geometric fractional Brownian motion.