[图书][B] Lectures on stochastic programming: modeling and theory
This is a substantial revision of the previous edition with added new material. The
presentation of Chapter 6 is updated. In particular the Interchangeability Principle for risk …
presentation of Chapter 6 is updated. In particular the Interchangeability Principle for risk …
[图书][B] Stochastic modelling and applied probability
A Board - 2005 - Springer
During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …
book, considerable progress was achieved in the area of financial modelling and pricing of …
Risk-averse dynamic programming for Markov decision processes
A Ruszczyński - Mathematical programming, 2010 - Springer
We introduce the concept of a Markov risk measure and we use it to formulate risk-averse
control problems for two Markov decision models: a finite horizon model and a discounted …
control problems for two Markov decision models: a finite horizon model and a discounted …
Nonlinear expectations and stochastic calculus under uncertainty
S Peng - arXiv preprint arXiv:1002.4546, 2010 - Springer
In this book, we take the notion of nonlinear expectation as a fundamental notion of an
axiomatical system. This enables us to get directly many new and fundamental results: such …
axiomatical system. This enables us to get directly many new and fundamental results: such …
Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths
L Denis, M Hu, S Peng - Potential analysis, 2011 - Springer
In this paper we give some basic and important properties of several typical Banach spaces
of functions of G-Brownian motion paths induced by a sublinear expectation—G-expectation …
of functions of G-Brownian motion paths induced by a sublinear expectation—G-expectation …
Conditional and dynamic convex risk measures
K Detlefsen, G Scandolo - Finance and stochastics, 2005 - Springer
We extend the definition of a convex risk measure to a conditional framework where
additional information is available. We characterize these risk measures through the …
additional information is available. We characterize these risk measures through the …
Dynamic monetary risk measures for bounded discrete-time processes
We study dynamic monetary risk measures that depend on bounded discrete-time
processes describing the evolution of financial values. The time horizon can be finite or …
processes describing the evolution of financial values. The time horizon can be finite or …
Risk measures via g-expectations
ER Gianin - Insurance: Mathematics and Economics, 2006 - Elsevier
This paper shows how g-expectations and conditional g-expectations provide some families
of static and dynamic risk measures. Conversely, some sufficient conditions for a dynamic …
of static and dynamic risk measures. Conversely, some sufficient conditions for a dynamic …
[图书][B] Indifference pricing: theory and applications
R Carmona - 2008 - degruyter.com
This is the first book about the emerging field of utility indifference pricing for valuing
derivatives in incomplete markets. René Carmona brings together a who's who of leading …
derivatives in incomplete markets. René Carmona brings together a who's who of leading …