close
1.

図書

図書
Dimitri P. Bertsekas and John N. Tsitsiklis
出版情報: Belmont, Mass. : Athena Scientific, c2002  ix, 416 p. ; 25 cm
所蔵情報: loading…
2.

図書

図書
R.M. Dudley
出版情報: Cambridge : Cambridge University Press, 2002  x, 555 p. ; 23 cm
シリーズ名: Cambridge studies in advanced mathematics ; 74
所蔵情報: loading…
目次情報: 続きを見る
Foundations: set theory / 1:
General topology / 2:
Measures / 3:
Integration / 4:
Lp spaces: introduction to functional analysis / 5:
Convex sets and duality of normed spaces / 6:
Measure, topology, and differentiation / 7:
Introduction to probability theory / 8:
Convergence of laws and central limit theorems / 9:
Conditional expectations and martingales / 10:
Convergence of laws on separable metric spaces / 11:
Stochastic processes / 12:
Measurability: Borel isomorphism and analytic sets / 13:
Appendixes
Axiomatic set theory / A:
Complex numbers, vector spaces, and Taylor's theorem with remainder
The problem of measure
Rearranging sums of nonnegative terms
Pathologies of compact nonmetric spaces
Indices
Foundations: set theory / 1:
General topology / 2:
Measures / 3:
3.

図書

図書
Hans Föllmer, Alexander Schied
出版情報: Berlin : W. de Gruyter, 2002  ix, 422 p. ; 25 cm
シリーズ名: De Gruyter studies in mathematics ; 27
所蔵情報: loading…
目次情報: 続きを見る
Introduction
Mathematical finance in one period / I:
Arbitrage theory / 1:
Assets, portfolios, and arbitrage opportunities / 1.1:
Absence of arbitrage and martingale measures / 1.2:
Derivative securities / 1.3:
Complete market models / 1.4:
Geometric characterization of arbitrage-free models / 1.5:
Contingent initial data / 1.6:
Preferences / 2:
Preference relations and their numerical representation / 2.1:
Von Neumann-Morgenstern representation / 2.2:
Expected utility / 2.3:
Uniform preferences / 2.4:
Robust preferences on asset profiles / 2.5:
Probability measures with given marginals / 2.6:
Optimality and equilibrium / 3:
Portfolio optimization and the absence of arbitrage / 3.1:
Exponential utility and relative entropy / 3.2:
Optimal contingent claims / 3.3:
Microeconomic equilibrium / 3.4:
Monetary measures of risk / 4:
Risk measures and their acceptance sets / 4.1:
Robust representation of convex risk measures / 4.2:
Convex risk measures on L[infinity] / 4.3:
Value at Risk / 4.4:
Measures of risk in a financial market / 4.5:
Shortfall risk / 4.6:
Dynamic hedging / II:
Dynamic arbitrage theory / 5:
The multi-period market model / 5.1:
Arbitrage opportunities and martingale measures / 5.2:
European contingent claims / 5.3:
Complete markets / 5.4:
The binomial model / 5.5:
Convergence to the Black-Scholes price / 5.6:
American contingent claims / 6:
Hedging strategies for the seller / 6.1:
Stopping strategies for the buyer / 6.2:
Arbitrage-free prices / 6.3:
Lower Snell envelopes / 6.4:
Superhedging / 7:
P-supermartingales and upper Snell envelopes / 7.1:
Uniform Doob decomposition / 7.2:
Superhedging of American and European claims / 7.3:
Superhedging with derivatives / 7.4:
Efficient hedging / 8:
Quantile hedging / 8.1:
Hedging with minimal shortfall risk / 8.2:
Hedging under constraints / 9:
Absence of arbitrage opportunities / 9.1:
Upper Snell envelopes / 9.2:
Superhedging and risk measures / 9.4:
Minimizing the hedging error / 10:
Local quadratic risk / 10.1:
Minimal martingale measures / 10.2:
Variance-optimal hedging / 10.3:
Appendix
Convexity / A.1:
Absolutely continuous probability measures / A.2:
The Neyman-Pearson lemma / A.3:
The essential supremum of a family of random variables / A.4:
Spaces of measures / A.5:
Some functional analysis / A.6:
Introduction
Mathematical finance in one period / I:
Arbitrage theory / 1:
4.

図書

図書
J.K. Wani
出版情報: New York : Appleton-Century-Crofts, 1971  xiv, 315 p. ; 24 cm
シリーズ名: The Appleton-Century statistics series
所蔵情報: loading…
5.

図書

図書
by John McDonald ; illustrated by Robert Osborn
出版情報: New York : W. W. Norton, c1950  128 p. ; 22 cm
所蔵情報: loading…
6.

図書

図書
S.R.S. Varadhan
出版情報: New York : Courant Institute of Mathematical Sciences , Providence, RI. : American Mathematical Society, 2001  vii, 167 p. ; 26 cm
シリーズ名: Courant lecture notes in mathematics ; 7
所蔵情報: loading…
目次情報: 続きを見る
Measure theory Weak convergence Independent sums Dependent random variables Martingales
Stationary stochastic processes Dynamic programming and filtering
Bibliography
Index
Measure theory Weak convergence Independent sums Dependent random variables Martingales
Stationary stochastic processes Dynamic programming and filtering
Bibliography
7.

図書

図書
Peter W. Zehna
出版情報: Boston : Allyn and Bacon, c1969  x, 193 p. ; 22 cm
シリーズ名: The Allyn and Bacon series : topics in contemporary mathematics
所蔵情報: loading…
8.

図書

図書
Hans Föllmer, Alexander Schied
出版情報: New York : Walter de Gruyter, c2004  xi, 459 p. ; 25 cm
シリーズ名: De Gruyter studies in mathematics ; 27
所蔵情報: loading…
9.

図書

図書
Yanhong Wu
出版情報: New York, N.Y. : Springer, c2005  xiii, 158 p. ; 24 cm
シリーズ名: Lecture notes in statistics ; 180
所蔵情報: loading…
目次情報: 続きを見る
CUSUM Procedure
Change-point Estimation
Confidence Interval for Change-point
Infrence for Post-change Mean
Estimation After False Signal
Inference with Change in Variance
Sequential Classification and Segmentation
An Adaptive CUSUM Procedure
Dependent Observation Case
Other Methods and Remarks
CUSUM Procedure
Change-point Estimation
Confidence Interval for Change-point
10.

図書

図書
George G. Roussas
出版情報: Amsterdam ; Tokyo : Elsevier Academic Press, c2005  xviii, 443 p. ; 24 cm
所蔵情報: loading…
目次情報: 続きを見る
Preface
Certain Classes of Sets, Measurability, Pointwise Approximation / 1:
Definition and Construction of a Measure and Its Basic Properties / 2:
Some Modes of Convergence of a Sequence of Random Variables and Their Relationships / 3:
The Integral of a Random Variable and Its Basic Properties / 4:
Standard Convergence Theorems, The Fubini Theorem / 5:
Standard Moment and Probability Inequalities, Convergence in the r-th Mean and Its Implications / 6:
The Hahn-Jordan Decomposition Theorem, The Lebesgue Decomposition Theorem, and The Radon-Nikcodym Theorem / 7:
Distribution Functions and Their Basic Properties, Helly-Bray Type Results / 8:
Conditional Expectation and Conditional Probability, and Related Properties and Results / 9:
Independence / 10:
Topics from the Theory of Characteristic Functions / 11:
The Central Limit Problem: The Centered Case / 12:
The Central Limit Problem: The Noncentered Case / 13:
Topics from Sequences of Independent Random Variables / 14:
Topics from Ergodic Theory / 15:
Preface
Certain Classes of Sets, Measurability, Pointwise Approximation / 1:
Definition and Construction of a Measure and Its Basic Properties / 2:
文献の複写および貸借の依頼を行う
 文献複写・貸借依頼