Deprecated: $wgMWOAuthSharedUserIDs=false is deprecated, set $wgMWOAuthSharedUserIDs=true, $wgMWOAuthSharedUserSource='local' instead [Called from MediaWiki\HookContainer\HookContainer::run in /var/www/html/w/includes/HookContainer/HookContainer.php at line 135] in /var/www/html/w/includes/Debug/MWDebug.php on line 372
scientific article; zbMATH DE number 2114375 - MaRDI portal

scientific article; zbMATH DE number 2114375

From MaRDI portal

Publication:4826101

Jump to:navigation, search

zbMath1061.91021MaRDI QIDQ4826101

Aleš Černý

Publication date: 9 November 2004

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Brownian motion martingales incomplete market option pricing fast Fourier transform Feynman-Kac formula portfolio optimization Poisson process Ito formula Girsanov theorem dynamic hedging expected utility maximization Black-Scholes partial differential equation change of probability measure no-arbitrage pricing risk-neutral probabilities Ito process generalized Sharp ratio

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

Related Items (1)

Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming

This page was built for publication:

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:4826101&oldid=19155790"