Download Advances in Finance and Stochastics: Essays in Honour of by Freddy Delbaen (auth.), Klaus Sandmann, Philipp J. PDF

By Freddy Delbaen (auth.), Klaus Sandmann, Philipp J. Schönbucher (eds.)

In many components of finance and stochastics, major advances were made for the reason that this box of study was once opened by way of Black, Scholes and Merton in 1973. Advances in Finance and Stochastics incorporates a number of unique articles by means of a couple of hugely unusual authors on examine subject matters which are at present within the concentration of curiosity of either teachers and practitioners. the themes span possibility administration, portfolio conception and multi-asset derivatives, industry imperfections, interest-rate modelling and unique options.

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Extra resources for Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann

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Hewitt. Finitely additive measures. Trans. Amer. Math. , 72:46-66, 1952. Robust Preferences and Convex Measures of Risk Hans Follmer 1 and Alexander Schied2 1 2 Institut of Mathematics, Humboldt-University, Berlin, Germany Institute of Mathematics, Technische Universitat, Berlin, Germany Summary. We prove robust representation theorems for monetary measures of risk in a situation of uncertainty, where no probability measure is given a priori. They are closely related to a robust extension of the Savage representation of preferences on a space of financial positions which is due to Gilboa and Schmeidler.

I. Namioka. Partially ordered linear topological spaces. Mem. Amer. Math. , 24, 1957. 23. J. Neveu. Discrete Parameter Martingales. North Holland, Amsterdam, 1975. 24. O. Nikodym. Contribution ala theorie des fonctionnelles lineaires en connection avec la theorie de la measure des ensembles abstraits. Mathematica, 5:130-141, 1931. 25. J. Parker. The sigma-core of a cooperative game. Manus. , 70:247-253, 1991. 26. D. Schmeidler. Cores of convex games. J. Math. Anal. , 40:214-225, 1972. 27. D. Schmeidler.

We next prove that (2) => (3). If 3 would not hold then for each n we would be able to find An such that IP'[An] ::; 2- n and such that En = QEP inf u Q[An] > o. Define now f = L:n nlAn. Because of the Borel-Cantelli lemma, f is well en defined. Let us also take m = n/E n . :) En inf Q[An] 2 n En QEPu En = n, which contradicts 2. Let us now show that (3) => (1). For given X, let N be chosen so that IP'[X 2 N] ::; I, where I is given by (3). Since for each n 2 N we have, by (3), that sup QEPu EQ [-(X t\ n)] = sup QEP u EQ [-(X t\ N)]2 -N, we immediately get (1).

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