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Optimality and Risk - Modern Trends in Mathematical Finance

Overview of attention for book
Cover of 'Optimality and Risk - Modern Trends in Mathematical Finance'

Table of Contents

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    Book Overview
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    Chapter 1 On the Extension of the Namioka-Klee Theorem and on the Fatou Property for Risk Measures
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    Chapter 2 On Certain Distributions Associated with the Range of Martingales
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    Chapter 3 Differentiability Properties of Utility Functions
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    Chapter 4 Exponential Utility Indifference Valuation in a General Semimartingale Model
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    Chapter 5 The Expected Number of Intersections of a Four Valued Bounded Martingale with any Level May be Infinite
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    Chapter 6 Immersion Property and Credit Risk Modelling
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    Chapter 7 Optimal Consumption and Investment with Bounded Downside Risk for Power Utility Functions
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    Chapter 8 On Comparison Theorem and its Applications to Finance
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    Chapter 9 Examples of FCLT in Random Environment
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    Chapter 10 The Optimal Time to Exchange one Asset for Another on Finite Interval
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    Chapter 11 Arbitrage Under Transaction Costs Revisited
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    Chapter 12 On the Linear and Nonlinear Generalized Bayesian Disorder Problem (Discrete Time Case)
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    Chapter 13 Long Time Growth Optimal Portfolio with Transaction Costs
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    Chapter 14 On the Approximation of Geometric Fractional Brownian Motion
Attention for Chapter 5: The Expected Number of Intersections of a Four Valued Bounded Martingale with any Level May be Infinite
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