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Lecture Notes in Economics and Mathematical Systems 540 Springer Holger Kraft
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- Compralo SubitoLecture Notes in Economics and Mathematical Systems 540 Springer Holger Kraft
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Numero oggetto eBay:203847233113
Specifiche dell'oggetto
- Condizione
- Subject
- Business & Economics
- Topic
- Economics
- ISBN
- 9783540212300
- EAN
- 9783540212300
Informazioni su questo prodotto
Product Identifiers
Publisher
Springer Berlin / Heidelberg
ISBN-10
3540212302
ISBN-13
9783540212300
eBay Product ID (ePID)
30763149
Product Key Features
Number of Pages
X, 174 Pages
Publication Name
Optimal Portfolios with Stochastic Interest Rates and Defaultable ASSETS
Language
English
Subject
Investments & Securities / Portfolio Management, Finance / General, Econometrics, Applied
Publication Year
2004
Type
Textbook
Subject Area
Mathematics, Business & Economics
Series
Lecture Notes in Economics and Mathematical Systems Ser.
Format
Perfect
Dimensions
Item Height
0.2 in
Item Weight
21.2 Oz
Item Length
9.3 in
Item Width
6.1 in
Additional Product Features
Intended Audience
Scholarly & Professional
LCCN
2004-103617
Dewey Edition
0
Series Volume Number
540
Number of Volumes
1 vol.
Illustrated
Yes
Dewey Decimal
332.6015192
Table Of Content
1 Preliminaries from Stochastics.- 1.1 Stochastic Differential Equations.- 1.2 Stochastic Optimal Control.- 2 Optimal Portfolios with Stochastic Interest Rates.- 2.1 Introduction.- 2.2 Ho-Lee and Vasicek Model.- 2.3 Dothan and Black-Karasinski Model.- 2.4 Cox-Ingersoll-Ross Model.- 2.5 Widening the Investment Universe.- 2.6 Conclusion.- 3 Elasticity Approach to Portfolio Optimization.- 3.1 Introduction.- 3.2 Elasticity in Portfolio Optimization.- 3.3 Duration in Portfolio Optimization.- 3.4 Conclusion.- 3.5 Appendix.- 4 Barrier Derivatives with Curved Boundaries.- 4.1 Introduction.- 4.2 Bjork's Result.- 4.3 Deterministic Exponential Boundaries.- 4.4 Discounted Barrier and Gaussian Interest Rates.- 4.5 Application: Pricing of Defaultable Bonds.- 4.6 Conclusion.- 5 Optimal Portfolios with Defaultable Assets -- A Firm Value Approach.- 5.1 Introduction.- 5.2 The Unconstrained Case.- 5.3 From the Unconstrained to the Constrained Case.- 5.4 The Constrained Case.- 5.5 Conclusion.- References.- Abbreviations.- Notations.
Synopsis
This thesis summarizes most of my recent research in the field of portfolio optimization. The main topics which I have addressed are portfolio problems with stochastic interest rates and portfolio problems with defaultable assets. The starting point for my research was the paper "A stochastic control ap proach to portfolio problems with stochastic interest rates" (jointly with Ralf Korn), in which we solved portfolio problems given a Vasicek term structure of the short rate. Having considered the Vasicek model, it was obvious that I should analyze portfolio problems where the interest rate dynamics are gov erned by other common short rate models. The relevant results are presented in Chapter 2. The second main issue concerns portfolio problems with default able assets modeled in a firm value framework. Since the assets of a firm then correspond to contingent claims on firm value, I searched for a way to easily deal with such claims in portfolio problems. For this reason, I developed the elasticity approach to portfolio optimization which is presented in Chapter 3. However, this way of tackling portfolio problems is not restricted to portfolio problems with default able assets only, but it provides a general framework allowing for a compact formulation of portfolio problems even if interest rates are stochastic., The continuous-time portfolio problem consists of finding the optimal investment strategy of an investor. In the classical Merton problem the investor can allocate his funds to a riskless savings account and risky assets. However, to get explicit results, it is assumed that the interest rates are deterministic and that the assets are default free. In this monograph both assumptions are weakened: The author analyzes and solves portfolio problems with stochastic interest rates and with defaultable assets. Besides, he briefly discusses how portfolio problems with foreign assets can be handled. The focus of the monograph is twofold: On the one hand, the economical problems are carefully explained, on the other hand their formal solution is rigorously presented. For this reason the text should be of interest to researchers with a Finance background as well as to researchers with a more formal background who would like to see how mathematics is applied to portfolio theory., This thesis summarizes most of my recent research in the field of portfolio optimization. The main topics which I have addressed are portfolio problems with stochastic interest rates and portfolio problems with defaultable assets. The starting point for my research was the paper "A stochastic control ap- proach to portfolio problems with stochastic interest rates" (jointly with Ralf Korn), in which we solved portfolio problems given a Vasicek term structure of the short rate. Having considered the Vasicek model, it was obvious that I should analyze portfolio problems where the interest rate dynamics are gov- erned by other common short rate models. The relevant results are presented in Chapter 2. The second main issue concerns portfolio problems with default able assets modeled in a firm value framework. Since the assets of a firm then correspond to contingent claims on firm value, I searched for a way to easily deal with such claims in portfolio problems. For this reason, I developed the elasticity approach to portfolio optimization which is presented in Chapter 3. However, this way of tackling portfolio problems is not restricted to portfolio problems with default able assets only, but it provides a general framework allowing for a compact formulation of portfolio problems even if interest rates are stochastic.
LC Classification Number
HG1-9999
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MochiMoney
100% di Feedback positivi•6,2 mila oggetti venduti
Registrato come venditore professionale
Feedback sul venditore (1.843)
- 7***n (1114)- Feedback lasciato dall'acquirente.Mese scorsoAcquisto verificatoGreat Seller! Packaging was great!!!
- a***d (29)- Feedback lasciato dall'acquirente.Ultimi 6 mesiAcquisto verificatoShowed up in a timely manner. The seller was a reasonable negotiator. The item was as described, in very good conditionAshworth Golf Shoes Classic Saddle w/ Olive Leather Upper & Lining Size 8.5 M (N° 204368857840)
- _***_ (167)- Feedback lasciato dall'acquirente.Ultimi 6 mesiAcquisto verificatoAll around great seller! Would buy from again!! Thank you!!!