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Autor Albert N. Shiryaev |
Documentos disponibles escritos por este autor (7)
Refinar búsquedaEssentials of stochastic finance / Albert N. Shiryaev (2002)
Título : Essentials of stochastic finance : facts, models, theory Tipo de documento: texto impreso Autores: Albert N. Shiryaev, Autor Editorial: Singapore ; Hackensack (New Jersey) ; London : World Scientific Fecha de publicación: 2002 Colección: Advanced series on statistical science & applied probability Número de páginas: 834 p. Dimensiones: 23 cm. Material de acompañamiento: 1 Cinta de Vídeo ISBN/ISSN/DL: 978-981-02-3605-2 Idioma : Inglés (eng) Materias: Finanzas empresariales
Modelo estocástico
Proceso estocásticoClasificación: 519.21 Teoría de probabilidades y procesos estocásticos Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=9091 Essentials of stochastic finance : facts, models, theory [texto impreso] / Albert N. Shiryaev, Autor . - Singapore ; Hackensack (New Jersey) ; London : World Scientific, 2002 . - 834 p. ; 23 cm. + 1 Cinta de Vídeo. - (Advanced series on statistical science & applied probability) .
ISBN : 978-981-02-3605-2
Idioma : Inglés (eng)
Materias: Finanzas empresariales
Modelo estocástico
Proceso estocásticoClasificación: 519.21 Teoría de probabilidades y procesos estocásticos Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=9091 Reserva
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Signatura Medio Ubicación Sub-localización Sección Estado 519.21 SHI ess Monografías Campus CES 1ª Planta CES Disponible Mathematical Control Theory and Finance / SpringerLink (Online service) ; Sarychev, Andrey ; Albert N. Shiryaev ; Manuel Guerra ; Maria do Rosário Grossinho (2008)
Título : Mathematical Control Theory and Finance Tipo de documento: documento electrónico Autores: SpringerLink (Online service) ; Sarychev, Andrey ; Albert N. Shiryaev ; Manuel Guerra ; Maria do Rosário Grossinho Editorial: Berlin, Heidelberg : Springer Berlin Heidelberg Fecha de publicación: 2008 Número de páginas: XIII, 420 p Il.: online resource ISBN/ISSN/DL: 978-3-540-69532-5 Idioma : Inglés (eng) Palabras clave: Mathematics Finance Economics, Mathematical System theory Quantitative Finance, general Systems Theory, Control Clasificación: 51 Matemáticas Resumen: This book highlights recent developments in mathematical control theory and its applications to finance. It presents a collection of original contributions by distinguished scholars, addressing a large spectrum of problems and techniques. Control theory provides a large set of theoretical and computational tools with applications in a wide range of fields, ranging from "pure" areas of mathematics up to applied sciences like finance. Stochastic optimal control is a well established and important tool of mathematical finance. Other branches of control theory have found comparatively less applications to financial problems, but the exchange of ideas and methods has intensified in recent years. This volume should contribute to establish bridges between these separate fields. The diversity of topics covered as well as the large array of techniques and ideas brought in to obtain the results make this volume a valuable resource for advanced students and researchers Nota de contenido: Extremals Flows and Infinite Horizon Optimization -- Laplace Transforms and the American Call Option -- Time Change, Volatility, and Turbulence -- External Dynamical Equivalence of Analytic Control Systems -- On Option-Valuation in Illiquid Markets: Invariant Solutions to a Nonlinear Model -- Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift -- A Stochastic Demand Model for Optimal Pricing of Non-Life Insurance Policies -- Optimality of Deterministic Policies for Certain Stochastic Control Problems with Multiple Criteria and Constraints -- Higher-Order Calculus of Variations on Time Scales -- Finding Invariants of Group Actions on Function Spaces, a General Methodology from Non-Abelian Harmonic Analysis -- Nonholonomic Interpolation for Kinematic Problems, Entropy and Complexity -- Instalment Options: A Closed-Form Solution and the Limiting Case -- Existence and Lipschitzian Regularity for Relaxed Minimizers -- Pricing of Defaultable Securities under Stochastic Interest -- Spline Cubatures for Expectations of Diffusion Processes and Optimal Stopping in Higher Dimensions (with Computational Finance in View) -- An Approximate Solution for Optimal Portfolio in Incomplete Markets -- Carleman Linearization of Linearly Observable Polynomial Systems -- Observability of Nonlinear Control Systems on Time Scales - Sufficient Conditions -- Sufficient Optimality Conditions for a Bang-bang Trajectory in a Bolza Problem -- Modelling Energy Markets with Extreme Spikes -- Generalized Bayesian Nonlinear Quickest Detection Problems: On Markov Family of Sufficient Statistics -- Necessary Optimality Condition for a Discrete Dead Oil Isotherm Optimal Control Problem -- Managing Operational Risk: Methodology and Prospects En línea: http://dx.doi.org/10.1007/978-3-540-69532-5 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34324 Mathematical Control Theory and Finance [documento electrónico] / SpringerLink (Online service) ; Sarychev, Andrey ; Albert N. Shiryaev ; Manuel Guerra ; Maria do Rosário Grossinho . - Berlin, Heidelberg : Springer Berlin Heidelberg, 2008 . - XIII, 420 p : online resource.
ISBN : 978-3-540-69532-5
Idioma : Inglés (eng)
Palabras clave: Mathematics Finance Economics, Mathematical System theory Quantitative Finance, general Systems Theory, Control Clasificación: 51 Matemáticas Resumen: This book highlights recent developments in mathematical control theory and its applications to finance. It presents a collection of original contributions by distinguished scholars, addressing a large spectrum of problems and techniques. Control theory provides a large set of theoretical and computational tools with applications in a wide range of fields, ranging from "pure" areas of mathematics up to applied sciences like finance. Stochastic optimal control is a well established and important tool of mathematical finance. Other branches of control theory have found comparatively less applications to financial problems, but the exchange of ideas and methods has intensified in recent years. This volume should contribute to establish bridges between these separate fields. The diversity of topics covered as well as the large array of techniques and ideas brought in to obtain the results make this volume a valuable resource for advanced students and researchers Nota de contenido: Extremals Flows and Infinite Horizon Optimization -- Laplace Transforms and the American Call Option -- Time Change, Volatility, and Turbulence -- External Dynamical Equivalence of Analytic Control Systems -- On Option-Valuation in Illiquid Markets: Invariant Solutions to a Nonlinear Model -- Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift -- A Stochastic Demand Model for Optimal Pricing of Non-Life Insurance Policies -- Optimality of Deterministic Policies for Certain Stochastic Control Problems with Multiple Criteria and Constraints -- Higher-Order Calculus of Variations on Time Scales -- Finding Invariants of Group Actions on Function Spaces, a General Methodology from Non-Abelian Harmonic Analysis -- Nonholonomic Interpolation for Kinematic Problems, Entropy and Complexity -- Instalment Options: A Closed-Form Solution and the Limiting Case -- Existence and Lipschitzian Regularity for Relaxed Minimizers -- Pricing of Defaultable Securities under Stochastic Interest -- Spline Cubatures for Expectations of Diffusion Processes and Optimal Stopping in Higher Dimensions (with Computational Finance in View) -- An Approximate Solution for Optimal Portfolio in Incomplete Markets -- Carleman Linearization of Linearly Observable Polynomial Systems -- Observability of Nonlinear Control Systems on Time Scales - Sufficient Conditions -- Sufficient Optimality Conditions for a Bang-bang Trajectory in a Bolza Problem -- Modelling Energy Markets with Extreme Spikes -- Generalized Bayesian Nonlinear Quickest Detection Problems: On Markov Family of Sufficient Statistics -- Necessary Optimality Condition for a Discrete Dead Oil Isotherm Optimal Control Problem -- Managing Operational Risk: Methodology and Prospects En línea: http://dx.doi.org/10.1007/978-3-540-69532-5 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34324 Ejemplares
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Título : Optimal Stopping and Free-Boundary Problems Tipo de documento: documento electrónico Autores: Goran Peskir ; SpringerLink (Online service) ; Albert N. Shiryaev Editorial: Basel : Birkhäuser Basel Fecha de publicación: 2006 Colección: Lectures in Mathematics. ETH Zürich Número de páginas: XXII, 502 p Il.: online resource ISBN/ISSN/DL: 978-3-7643-7390-0 Idioma : Inglés (eng) Palabras clave: Mathematics Partial differential equations Economics, Mathematical Calculus of variations Probabilities Probability Theory and Stochastic Processes Variations Optimal Control; Optimization Differential Equations Quantitative Finance Clasificación: 51 Matemáticas Resumen: The present monograph, based mainly on studies of the authors and their - authors, and also on lectures given by the authors in the past few years, has the following particular aims: To present basic results (with proofs) of optimal stopping theory in both discrete and continuous time using both martingale and Mar- vian approaches; To select a seriesof concrete problems ofgeneral interest from the t- ory of probability, mathematical statistics, and mathematical ?nance that can be reformulated as problems of optimal stopping of stochastic processes and solved by reduction to free-boundary problems of real analysis (Stefan problems). The table of contents found below gives a clearer idea of the material included in the monograph. Credits and historical comments are given at the end of each chapter or section. The bibliography contains a material for further reading. Acknowledgements.TheauthorsthankL.E.Dubins,S.E.Graversen,J.L.Ped- sen and L. A. Shepp for useful discussions. The authors are grateful to T. B. To- zovafortheexcellenteditorialworkonthemonograph.Financialsupportandh- pitality from ETH, Zur ¨ ich (Switzerland), MaPhySto (Denmark), MIMS (Man- ester) and Thiele Centre (Aarhus) are gratefully acknowledged. The authors are also grateful to INTAS and RFBR for the support provided under their grants. The grant NSh-1758.2003.1 is gratefully acknowledged. Large portions of the text were presented in the “School and Symposium on Optimal Stopping with App- cations” that was held in Manchester, England from 17th to 27th January 2006 Nota de contenido: Optimal stopping: General facts -- Stochastic processes: A brief review -- Optimal stopping and free-boundary problems -- Methods of solution -- Optimal stopping in stochastic analysis -- Optimal stopping in mathematical statistics -- Optimal stopping in mathematical finance -- Optimal stopping in financial engineering En línea: http://dx.doi.org/10.1007/978-3-7643-7390-0 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=35004 Optimal Stopping and Free-Boundary Problems [documento electrónico] / Goran Peskir ; SpringerLink (Online service) ; Albert N. Shiryaev . - Basel : Birkhäuser Basel, 2006 . - XXII, 502 p : online resource. - (Lectures in Mathematics. ETH Zürich) .
ISBN : 978-3-7643-7390-0
Idioma : Inglés (eng)
Palabras clave: Mathematics Partial differential equations Economics, Mathematical Calculus of variations Probabilities Probability Theory and Stochastic Processes Variations Optimal Control; Optimization Differential Equations Quantitative Finance Clasificación: 51 Matemáticas Resumen: The present monograph, based mainly on studies of the authors and their - authors, and also on lectures given by the authors in the past few years, has the following particular aims: To present basic results (with proofs) of optimal stopping theory in both discrete and continuous time using both martingale and Mar- vian approaches; To select a seriesof concrete problems ofgeneral interest from the t- ory of probability, mathematical statistics, and mathematical ?nance that can be reformulated as problems of optimal stopping of stochastic processes and solved by reduction to free-boundary problems of real analysis (Stefan problems). The table of contents found below gives a clearer idea of the material included in the monograph. Credits and historical comments are given at the end of each chapter or section. The bibliography contains a material for further reading. Acknowledgements.TheauthorsthankL.E.Dubins,S.E.Graversen,J.L.Ped- sen and L. A. Shepp for useful discussions. The authors are grateful to T. B. To- zovafortheexcellenteditorialworkonthemonograph.Financialsupportandh- pitality from ETH, Zur ¨ ich (Switzerland), MaPhySto (Denmark), MIMS (Man- ester) and Thiele Centre (Aarhus) are gratefully acknowledged. The authors are also grateful to INTAS and RFBR for the support provided under their grants. The grant NSh-1758.2003.1 is gratefully acknowledged. Large portions of the text were presented in the “School and Symposium on Optimal Stopping with App- cations” that was held in Manchester, England from 17th to 27th January 2006 Nota de contenido: Optimal stopping: General facts -- Stochastic processes: A brief review -- Optimal stopping and free-boundary problems -- Methods of solution -- Optimal stopping in stochastic analysis -- Optimal stopping in mathematical statistics -- Optimal stopping in mathematical finance -- Optimal stopping in financial engineering En línea: http://dx.doi.org/10.1007/978-3-7643-7390-0 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=35004 Ejemplares
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Título : Optimal Stopping Rules Tipo de documento: documento electrónico Autores: Albert N. Shiryaev ; SpringerLink (Online service) ; B. Rozovskii ; Geoffrey R. Grimmett Editorial: New York, NY : Springer New York Fecha de publicación: 2008 Colección: Stochastic Modelling and Applied Probability, ISSN 0172-4568 num. 8 Número de páginas: XII, 220 p. 7 illus Il.: online resource ISBN/ISSN/DL: 978-3-540-74011-7 Idioma : Inglés (eng) Palabras clave: Mathematics Probabilities Statistics Probability Theory and Stochastic Processes for Business/Economics/Mathematical Finance/Insurance Clasificación: 51 Matemáticas Resumen: Although three decades have passed since first publication of this book reprinted now as a result of popular demand, the content remains up-to-date and interesting for many researchers as is shown by the many references to it in current publications. The "ground floor" of Optimal Stopping Theory was constructed by A.Wald in his sequential analysis in connection with the testing of statistical hypotheses by non-traditional (sequential) methods. It was later discovered that these methods have, in idea, a close connection to the general theory of stochastic optimization for random processes. The area of application of the Optimal Stopping Theory is very broad. It is sufficient at this point to emphasise that its methods are well tailored to the study of American (-type) options (in mathematics of finance and financial engineering), where a buyer has the freedom to exercise an option at any stopping time. In this book, the general theory of the construction of optimal stopping policies is developed for the case of Markov processes in discrete and continuous time. One chapter is devoted specially to the applications that address problems of the testing of statistical hypotheses, and quickest detection of the time of change of the probability characteristics of the observable processes. The author, A.N.Shiryaev, is one of the leading experts of the field and gives an authoritative treatment of a subject that, 30 years after original publication of this book, is proving increasingly important Nota de contenido: Random Processes: Markov Times -- Optimal Stopping of Markov Sequences -- Optimal Stopping of Markov Processes -- Some Applications to Problems of Mathematical Statistics En línea: http://dx.doi.org/10.1007/978-3-540-74011-7 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34342 Optimal Stopping Rules [documento electrónico] / Albert N. Shiryaev ; SpringerLink (Online service) ; B. Rozovskii ; Geoffrey R. Grimmett . - New York, NY : Springer New York, 2008 . - XII, 220 p. 7 illus : online resource. - (Stochastic Modelling and Applied Probability, ISSN 0172-4568; 8) .
ISBN : 978-3-540-74011-7
Idioma : Inglés (eng)
Palabras clave: Mathematics Probabilities Statistics Probability Theory and Stochastic Processes for Business/Economics/Mathematical Finance/Insurance Clasificación: 51 Matemáticas Resumen: Although three decades have passed since first publication of this book reprinted now as a result of popular demand, the content remains up-to-date and interesting for many researchers as is shown by the many references to it in current publications. The "ground floor" of Optimal Stopping Theory was constructed by A.Wald in his sequential analysis in connection with the testing of statistical hypotheses by non-traditional (sequential) methods. It was later discovered that these methods have, in idea, a close connection to the general theory of stochastic optimization for random processes. The area of application of the Optimal Stopping Theory is very broad. It is sufficient at this point to emphasise that its methods are well tailored to the study of American (-type) options (in mathematics of finance and financial engineering), where a buyer has the freedom to exercise an option at any stopping time. In this book, the general theory of the construction of optimal stopping policies is developed for the case of Markov processes in discrete and continuous time. One chapter is devoted specially to the applications that address problems of the testing of statistical hypotheses, and quickest detection of the time of change of the probability characteristics of the observable processes. The author, A.N.Shiryaev, is one of the leading experts of the field and gives an authoritative treatment of a subject that, 30 years after original publication of this book, is proving increasingly important Nota de contenido: Random Processes: Markov Times -- Optimal Stopping of Markov Sequences -- Optimal Stopping of Markov Processes -- Some Applications to Problems of Mathematical Statistics En línea: http://dx.doi.org/10.1007/978-3-540-74011-7 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34342 Ejemplares
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Título : Problems in Probability Tipo de documento: documento electrónico Autores: Albert N. Shiryaev ; SpringerLink (Online service) Editorial: New York, NY : Springer New York Fecha de publicación: 2012 Otro editor: Imprint: Springer Colección: Problem Books in Mathematics, ISSN 0941-3502 Número de páginas: XII, 428 p Il.: online resource ISBN/ISSN/DL: 978-1-4614-3688-1 Idioma : Inglés (eng) Palabras clave: Mathematics Probabilities Combinatorics Probability Theory and Stochastic Processes Clasificación: 51 Matemáticas Resumen: Problems in Probability comprises one of the most comprehensive, nearly encyclopedic, collections of problems and exercises in probability theory. Albert Shiryaev has skillfully created, collected, and compiled the exercises in this text over the course of many years while working on topics which interested him the most. A substantial number of the exercises resulted from diverse sources such as textbooks, lecture notes, exercise manuals, monographs, and discussions that took place during special seminars for graduate and undergraduate students. Many problems contain helpful hints and other relevant comments and a portion of the material covers some important applications from optimal control and mathematical finance. Readers of diverse backgrounds—from students to researchers—will find a great deal of value in this book and can treat the work as an exercise manual, a handbook, or as a supplementary text to a course in probability theory, control, and mathematical finance. The problems and exercises in this book vary in nature and degree of difficulty. Some problems are meant to test the reader’s basic understanding, others are of medium-to-high degrees of difficulty and require more creative thinking. Other problems are meant to develop additional theoretical concepts and tools or to familiarize the reader with various facts that are not necessarily covered in mainstream texts. Additional problems are related to the passage from random walk to Brownian motions and Brownian bridges. The appendix contains a summary of the main results, notation and terminology that are used throughout the book. It also contains additional material from combinatorics, potential theory and Markov chains—subjects that are not covered in the book, but are nevertheless needed for many of the exercises included here Nota de contenido: Preface -- 1. Elementary Probability Theory -- 2. Mathematical Foundations of Probability Theory -- 3. Convergence of Probability Measures -- 4. Independent Random Variables -- 5. Stationary Random Sequences in Strict Sense -- 6. Stationary Random Sequences in Broad Sense -- 7. Martingales -- 8. Markov Chains -- Appendix -- References En línea: http://dx.doi.org/10.1007/978-1-4614-3688-1 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32812 Problems in Probability [documento electrónico] / Albert N. Shiryaev ; SpringerLink (Online service) . - New York, NY : Springer New York : Imprint: Springer, 2012 . - XII, 428 p : online resource. - (Problem Books in Mathematics, ISSN 0941-3502) .
ISBN : 978-1-4614-3688-1
Idioma : Inglés (eng)
Palabras clave: Mathematics Probabilities Combinatorics Probability Theory and Stochastic Processes Clasificación: 51 Matemáticas Resumen: Problems in Probability comprises one of the most comprehensive, nearly encyclopedic, collections of problems and exercises in probability theory. Albert Shiryaev has skillfully created, collected, and compiled the exercises in this text over the course of many years while working on topics which interested him the most. A substantial number of the exercises resulted from diverse sources such as textbooks, lecture notes, exercise manuals, monographs, and discussions that took place during special seminars for graduate and undergraduate students. Many problems contain helpful hints and other relevant comments and a portion of the material covers some important applications from optimal control and mathematical finance. Readers of diverse backgrounds—from students to researchers—will find a great deal of value in this book and can treat the work as an exercise manual, a handbook, or as a supplementary text to a course in probability theory, control, and mathematical finance. The problems and exercises in this book vary in nature and degree of difficulty. Some problems are meant to test the reader’s basic understanding, others are of medium-to-high degrees of difficulty and require more creative thinking. Other problems are meant to develop additional theoretical concepts and tools or to familiarize the reader with various facts that are not necessarily covered in mainstream texts. Additional problems are related to the passage from random walk to Brownian motions and Brownian bridges. The appendix contains a summary of the main results, notation and terminology that are used throughout the book. It also contains additional material from combinatorics, potential theory and Markov chains—subjects that are not covered in the book, but are nevertheless needed for many of the exercises included here Nota de contenido: Preface -- 1. Elementary Probability Theory -- 2. Mathematical Foundations of Probability Theory -- 3. Convergence of Probability Measures -- 4. Independent Random Variables -- 5. Stationary Random Sequences in Strict Sense -- 6. Stationary Random Sequences in Broad Sense -- 7. Martingales -- 8. Markov Chains -- Appendix -- References En línea: http://dx.doi.org/10.1007/978-1-4614-3688-1 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32812 Ejemplares
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