Hochschulschrift
Stochastic control in limit order markets : curve following, portfolio liquidation and derivative valuation
- Standort
-
Deutsche Nationalbibliothek Frankfurt am Main
- Umfang
-
Online-Ressource
- Sprache
-
Englisch
- Anmerkungen
-
Berlin, Humboldt Universität zu Berlin, Diss., 2011
- Schlagwort
-
Wertpapierhandel
Kapitalmarkt
Liquidität
Stochastischer Prozess
Kontrolltheorie
Portfolio Selection
Derivat
Termingeschäft
Optionspreistheorie
- Ereignis
-
Veröffentlichung
- (wo)
-
Berlin
- (wer)
-
Humboldt Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II
- (wann)
-
2011
- Urheber
- Beteiligte Personen und Organisationen
-
Horst, Ulrich
Bank, Peter
Cadenillas, Abel
- URN
-
urn:nbn:de:kobv:11-100195601
- Rechteinformation
-
Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Letzte Aktualisierung
-
25.03.2025, 13:53 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
Deutsche Nationalbibliothek. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Deutsche Nationalbibliothek. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Hochschulschrift
Beteiligte
- Naujokat, Felix
- Horst, Ulrich
- Bank, Peter
- Cadenillas, Abel
- Humboldt Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II
Entstanden
- 2011
Ähnliche Objekte (12)
Illiquidity and derivative valuation
Illiquidity and Derivative Valuation
Valuation and risk management of interest rate and derivative securities
Derivative pricing and logarithmic portfolio optimization in incomplete markets
Derivative pricing and logarithmic portfolio optimization in incomplete markets
Valuation of portfolio credit derivatives : theory and application
Risk management of interest rate derivative portfolios: A stochastic control approach
Portfolio valuation under liquidity constraints with permanent price impact
When to cross the spread: Curve following with singular control
Coherent Risk Measures, Valuation Bounds, and (My,p)-Portfolio Optimization
Coherent risk measures, valuation bounds, and (my,p)-portfolio optimization
Prämienberechnung unter Berücksichtigung des Asset-Liability-Managements mittels Valuation Portfolio
Illiquidity and derivative valuation
Illiquidity and Derivative Valuation
Valuation and risk management of interest rate and derivative securities
Derivative pricing and logarithmic portfolio optimization in incomplete markets
Derivative pricing and logarithmic portfolio optimization in incomplete markets
Valuation of portfolio credit derivatives : theory and application
Risk management of interest rate derivative portfolios: A stochastic control approach
Portfolio valuation under liquidity constraints with permanent price impact
When to cross the spread: Curve following with singular control
Coherent Risk Measures, Valuation Bounds, and (My,p)-Portfolio Optimization
Coherent risk measures, valuation bounds, and (my,p)-portfolio optimization
Prämienberechnung unter Berücksichtigung des Asset-Liability-Managements mittels Valuation Portfolio
Illiquidity and derivative valuation
Illiquidity and Derivative Valuation
Valuation and risk management of interest rate and derivative securities
Derivative pricing and logarithmic portfolio optimization in incomplete markets
Derivative pricing and logarithmic portfolio optimization in incomplete markets
Valuation of portfolio credit derivatives : theory and application
Risk management of interest rate derivative portfolios: A stochastic control approach
Portfolio valuation under liquidity constraints with permanent price impact
When to cross the spread: Curve following with singular control
Coherent Risk Measures, Valuation Bounds, and (My,p)-Portfolio Optimization
Coherent risk measures, valuation bounds, and (my,p)-portfolio optimization