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  • 1
    Online Resource
    Online Resource
    Wiesbaden : Springer Spektrum
    Keywords: Finanzmathematik ; Mathematics ; Economics, Mathematical ; Macroeconomics ; Mathematics ; Quantitative Finance ; Macroeconomics ; Lehrbuch ; Finanzmathematik
    Type of Medium: Online Resource
    Pages: 1 Online-Ressource (XII, 346 S. 27 Abb)
    ISBN: 9783658210007
    Series Statement: Studienbücher Wirtschaftsmathematik
    DDC: 519
    Language: German
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  • 2
    Online Resource
    Online Resource
    Wiesbaden : Springer Fachmedien Wiesbaden
    Part of " Moderne Finanzmathematik"
    Keywords: Optionspreistheorie ; Itô-Prozess ; Optionspreistheorie ; Itô-Prozess
    Type of Medium: Online Resource
    Pages: 1 Online-Ressource
    ISBN: 9783658041274 , 9783658041267
    Series Statement: Studienbücher Wirtschaftsmathematik
    Language: German
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  • 3
    Online Resource
    Online Resource
    Wiesbaden : Springer
    Keywords: Finanzmathematik ; Mathematics ; Business ; Popular Science in Mathematics ; Mathematics, general ; Business and Management, general ; Einführung ; Finanzmathematik
    Type of Medium: Online Resource
    Pages: 1 Online-Ressource (XII, 330 S. 1 Abb)
    Edition: 2., erweiterte Auflage
    ISBN: 9783658237172
    DDC: 520
    RVK:
    RVK:
    Language: German
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  • 4
    Book
    Book
    Braunschweig [u.a.] : Vieweg
    Keywords: Optionspreistheorie ; Itô-Prozess ; Optionspreistheorie ; Itô-Prozess
    Type of Medium: Book
    Pages: XIV, 294 S. , graph. Darst.
    Edition: 1. Aufl.
    ISBN: 3528069821
    RVK:
    RVK:
    RVK:
    RVK:
    RVK:
    Language: German
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  • 5
    E-Resource
    E-Resource
    Wiesbaden : Springer Fachmedien Wiesbaden
    Associated volumes
    Keywords: Optionspreistheorie ; Itô-Prozess ; Optionspreistheorie ; Itô-Prozess
    Type of Medium: Electronic Resource
    Pages: 1 Online-Ressource
    Series Statement: Studienbücher Wirtschaftsmathematik
    RVK:
    Language: German
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  • 6
    Electronic Resource
    Electronic Resource
    Springer
    Finance and stochastics 2 (1998), S. 85-114 
    ISSN: 1432-1122
    Keywords: Key words: Portfolio optimisation, transaction costs, impulse control, asymptotic analysis. JEL classification: G 11 Mathematics Subject Classification (1991): 93 E 20
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract. One crucial assumption in modern portfolio theory of continuous-time models is the no transaction cost assumption. This assumption normally leads to trading strategies with infinite variation. However, following such a strategy in the presence of transaction costs will lead to immediate ruin. We present an impulse control approach where the investor can change his portfolio only finitely often in finite time intervals. Further, we consider transaction costs including a fixed and a proportional cost component. For the solution of the resulting control problems we present a formal optimal stopping approach and an approach using quasi-variational inequalities. As an application we derive a nontrivial asymptotically optimal solution for the problem of exponential utility maximisation.
    Type of Medium: Electronic Resource
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  • 7
    Electronic Resource
    Electronic Resource
    Springer
    ISSN: 1432-5217
    Keywords: Option pricing ; contingent claim valuation ; portfolio process ; Black & Scholes formula ; different interest rates
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract The problem of contingent claim valuation in a market with a higher interest rate for borrowing than for lending is discussed. We give results which cover especially the European call and put options. The method used is based on transforming the problem to suitable auxiliary markets with only one interest rate for borrowing and lending and is adapted from a paper of Cvitanic and Karatzas (1992) where the authors study constrained portfolio problems.
    Type of Medium: Electronic Resource
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  • 8
    Electronic Resource
    Electronic Resource
    Boston, USA and Oxford, UK : Blackwell Publishers Inc
    Mathematical finance 10 (2000), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We present some new general results on the existence and form of value preserving portfolio strategies in a general semimartingale setting. The concept of value preservation is derived via a mean-variance argument. It is also embedded into a framework for local approaches to the problem of portfolio optimization.
    Type of Medium: Electronic Resource
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  • 9
    Electronic Resource
    Electronic Resource
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishers, Inc.
    Mathematical finance 14 (2004), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In this paper we present some counterexamples to show that an uncritical application of the usual methods of continuous-time portfolio optimization can be misleading in the case of a stochastic opportunity set. Cases covered are problems with stochastic interest rates, stochastic volatility, and stochastic market price of risk. To classify the problems occurring with stochastic market coefficients, we further introduce two notions of stability of portfolio problems.
    Type of Medium: Electronic Resource
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  • 10
    Electronic Resource
    Electronic Resource
    Boston, USA and Oxford, UK : Blackwell Publishers Inc
    Mathematical finance 11 (2001), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider some continuous-time Markowitz type portfolio problems that consist of maximizing expected terminal wealth under the constraint of an upper bound for the capital at risk. In a Black–Scholes setting we obtain closed-form explicit solutions and compare their form and implications to those of the classical continuous-time mean-variance problem. We also consider more general price processes that allow for larger fluctuations in the returns.
    Type of Medium: Electronic Resource
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