Stochastic Calculus With Applications To Stochastic Portfolio Optimisation

Author by : Daniel Michelbrink
Language : en
Publisher by : diplom.de
Format Available : PDF, ePub, Mobi
Total Read : 14
Total Download : 504
File Size : 54,5 Mb
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Description : Inhaltsangabe:Introduction: The present paper is about continuous time stochastic calculus and its application to stochastic portfolio selection problems. The paper is divided into two parts: The first part provides the mathematical framework and consists of Chapters 1 and 2, where it gives an insight into the theory of stochastic process and the theory of stochastic calculus. The second part, consisting of Chapters 3 and 4, applies the first part to problems in stochastic portfolio theory and stochastic portfolio optimisation. Chapter 1, "Stochastic Processes", starts with the construction of stochastic process. The significance of Markovian kernels is discussed and some examples of process and emigroups will be given. The simple normal-distribution will be extended to the multi-variate normal distribution, which is needed for introducing the Brownian motion process. Finally, another class of stochastic process is introduced which plays a central role in mathematical finance: the martingale. Chapter 2, "Stochastic Calculus", begins with the introduction of the stochastic integral. This integral is different to the Lebesgue-Stieltjes integral because of the randomness of the integrand and integrator. This is followed by the probably most important theorem in stochastic calculus: It o s formula. It o s formula is of central importance and most of the proofs of Chapters 3 and 4 are not possible without it. We continue with the notion of a stochastic differential equations. We introduce strong and weak solutions and a way to solve stochastic differential equations by removing the drift. The last section of Chapter 2 applies stochastic calculus to stochastic control. We will need stochastic control to solve some portfolio problems in Chapter 4. Chapter 3, "Stochastic Portfolio Theory", deals mainly with the problem of introducing an appropriate model for stock prices and portfolios. These models will be needed in Chapter 4. The first section of Chapter 3 introduces a stock market model, portfolios, the risk-less asset, consumption and labour income processes. The second section, Section 3.2, introduces the notion of relative return as well as portfolio generating functions. Relative return finds application in Chapter 4 where we deal with benchmark optimisation. Benchmark optimisation is optimising a portfolio with respect to a given benchmark portfolio. The final section of Chapter 3 contains some considerations about the long-term behaviour of [...]


Stochastic Portfolio Theory

Author by : E. Robert Fernholz
Language : en
Publisher by : Springer Science & Business Media
Format Available : PDF, ePub, Mobi
Total Read : 9
Total Download : 101
File Size : 54,8 Mb
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Description : Stochastic portfolio theory is a mathematical methodology for constructing stock portfolios and for analyzing the effects induced on the behavior of these portfolios by changes in the distribution of capital in the market. Stochastic portfolio theory has both theoretical and practical applications: as a theoretical tool it can be used to construct examples of theoretical portfolios with specified characteristics and to determine the distributional component of portfolio return. This book is an introduction to stochastic portfolio theory for investment professionals and for students of mathematical finance. Each chapter includes a number of problems of varying levels of difficulty and a brief summary of the principal results of the chapter, without proofs.


Stochastic Processes And Applications To Mathematical Finance

Author by : Jiro Akahori
Language : en
Publisher by : World Scientific
Format Available : PDF, ePub, Mobi
Total Read : 13
Total Download : 838
File Size : 40,8 Mb
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Description : Based around recent lectures given at the prestigious Ritsumeikan conference, the tutorial and expository articles contained in this volume are an essential guide for practitioners and graduates alike who use stochastic calculus in finance. Among the eminent contributors are Paul Malliavin and Shinzo Watanabe, pioneers of Malliavin Calculus. The coverage also includes a valuable review of current research on credit risks in a mathematically sophisticated way contrasting with existing economics-oriented articles. Contents: Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications (E Barucci et al.); Hedging of Credit Derivatives in Models with Totally Unexpected Default (T R Bielecki et al.); A Large Trader-Insider Model (A Kohatsu-Higa & A Sulem); [GLP & MEMM] Pricing Models and Related Problems (Y Miyahara); Topics Related to Gamma Processes (M Yamazato); On Stochastic Differential Equations Driven by Symmetric Stable Processes of Index a (H Hashimoto et al.); Martingale Representation Theorem and Chaos Expansion (S Watanabe). Readership: Graduate students, researchers and practitioners in the field of stochastic processes and mathematical finance.


Stochastic Processes Optimization And Control Theory Applications In Financial Engineering Queueing Networks And Manufacturing Systems

Author by : Houmin Yan
Language : en
Publisher by : Springer Science & Business Media
Format Available : PDF, ePub, Mobi
Total Read : 16
Total Download : 115
File Size : 52,5 Mb
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Description : This edited volume contains 16 research articles. It presents recent and pressing issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the book is highly multi-disciplinary. The book is dedicated to Professor Suresh Sethi on the occasion of his 60th birthday, in view of his distinguished career.


Option Pricing And Portfolio Optimization

Author by : Ralf Korn
Language : en
Publisher by : American Mathematical Soc.
Format Available : PDF, ePub, Mobi
Total Read : 99
Total Download : 966
File Size : 43,7 Mb
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Description : A top-flight title in the marquee series of the AMS. Attractive hardcover priced for a broad mathematics audience.


Modern Trends In Controlled Stochastic Processes

Author by : Alexey B. Piunovskiy
Language : en
Publisher by : Luniver Press
Format Available : PDF, ePub, Mobi
Total Read : 92
Total Download : 826
File Size : 50,9 Mb
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Description : World leading experts give their accounts of the modern mathematical models in the field: Markov Decision Processes, controlled diffusions, piece-wise deterministic processes etc, with a wide range of performance functionals. One of the aims is to give a general view on the state-of-the-art. The authors use Dynamic Programming, Convex Analytic Approach, several numerical methods, index-based approach and so on. Most chapters either contain well developed examples, or are entirely devoted to the application of the mathematical control theory to real life problems from such fields as Insurance, Portfolio Optimization and Information Transmission. The book will enable researchers, academics and research students to get a sense of novel results, concepts, models, methods, and applications of controlled stochastic processes.


Continuous Time Stochastic Control And Optimization With Financial Applications

Author by : Huyên Pham
Language : en
Publisher by : Springer Science & Business Media
Format Available : PDF, ePub, Mobi
Total Read : 34
Total Download : 228
File Size : 53,6 Mb
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Description : Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc. This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.


Applications Of Stochastic Programming

Author by : Stein W. Wallace
Language : en
Publisher by : SIAM
Format Available : PDF, ePub, Mobi
Total Read : 87
Total Download : 205
File Size : 54,8 Mb
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Description : Consisting of two parts, this book presents papers describing publicly available stochastic programming systems that are operational. It presents a diverse collection of application papers in areas such as production, supply chain and scheduling, gaming, environmental and pollution control, financial modeling, telecommunications, and electricity.


Modeling Risk Dvd

Author by : Johnathan Mun
Language : en
Publisher by : John Wiley & Sons
Format Available : PDF, ePub, Mobi
Total Read : 83
Total Download : 208
File Size : 44,7 Mb
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Description : An updated guide to risk analysis and modeling Although risk was once seen as something that was both unpredictable and uncontrollable, the evolution of risk analysis tools and theories has changed the way we look at this important business element. In the Second Edition of Analyzing and Modeling Risk, expert Dr. Johnathan Mun provides up-to-date coverage of risk analysis as it is applied within the realms of business risk analysis and offers an intuitive feel of what risk looks like, as well as the different ways of quantifying it. This Second Edition provides professionals in all industries a more comprehensive guide on such key concepts as risk and return, the fundamentals of model building, Monte Carlo simulation, forecasting, time-series and regression analysis, optimization, real options, and more. Includes new examples, questions, and exercises as well as updates using Excel 2007 Book supported by author's proprietary risk analysis software found on the companion CD-ROM Offers both a qualitative and quantitative description of risk Filled with in-depth insights and practical advice, this reliable resource covers all of the essential tools and techniques that risk managers need to successfully conduct risk analysis. Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.