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Deep hedging
We present a framework for hedging a portfolio of derivatives in the presence of market
frictions such as transaction costs, liquidity constraints or risk limits using modern deep …
frictions such as transaction costs, liquidity constraints or risk limits using modern deep …
[ספר][B] Controlled Markov processes and viscosity solutions
WH Fleming, HM Soner - 2006 - books.google.com
This book is an introduction to optimal stochastic control for continuous time Markov
processes and the theory of viscosity solutions. It covers dynamic programming for …
processes and the theory of viscosity solutions. It covers dynamic programming for …
[ספר][B] Methods of mathematical finance
I Karatzas, SE Shreve, I Karatzas, SE Shreve - 1998 - Springer
This book is intended for readers who are quite familiar with probability and stochastic
processes but know little or nothing about finance. It is written in the definition/theorem/proof …
processes but know little or nothing about finance. It is written in the definition/theorem/proof …
[ספר][B] Dynamic asset pricing theory
D Duffie - 2010 - books.google.com
This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …
doctoral students and researchers on the theory of asset pricing and portfolio selection in …
[ספר][B] Martingale methods in financial modelling
M Musiela, M Rutkowski - 2006 - books.google.com
In the 2nd edition some sections of Part I are omitted for better readability, and a brand new
chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and …
chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and …
[ספר][B] Tools for computational finance
R Seydel, R Seydel - 2006 - Springer
Universitext is a series of textbooks that presents material from a wide variety of
mathematical disciplines at master's level and beyond. The books, often well class-tested by …
mathematical disciplines at master's level and beyond. The books, often well class-tested by …
Pricing via utility maximization and entropy
In a financial market model with constraints on the portfolios, define the price for a claim C as
the smallest real number p such that supπ E [U (XTx+ p, π− C)]≥ supπ E [U (XTx, π)], where …
the smallest real number p such that supπ E [U (XTx+ p, π− C)]≥ supπ E [U (XTx, π)], where …
Liquidity risk and arbitrage pricing theory
Classical theories of financial markets assume an infinitely liquid market and that all traders
act as price takers. This theory is a good approximation for highly liquid stocks, although …
act as price takers. This theory is a good approximation for highly liquid stocks, although …
A solution approach to valuation with unhedgeable risks
T Zariphopoulou - Finance and stochastics, 2001 - Springer
We study a class of stochastic optimization models of expected utility in markets with
stochastically changing investment opportunities. The prices of the primitive assets are …
stochastically changing investment opportunities. The prices of the primitive assets are …
[ספר][B] Markets with Transaction Costs Mathematical Theory
Y Kabanov - 2009 - Springer
This book contains an introduction to the mathematical theory of financial markets with
proportional transaction costs. Traditionally, a theoretical analysis of models with market …
proportional transaction costs. Traditionally, a theoretical analysis of models with market …