Sugli sviluppi della matematica applicata in un settore interdisciplinare: la finanza matematica
Bollettino dell'Unione Matematica Italiana (1999)
- Volume: 2-A, Issue: 3, page 297-316
- ISSN: 0392-4041
Access Full Article
topAbstract
topHow to cite
topRunggaldier, Wolfgang J.. "Sugli sviluppi della matematica applicata in un settore interdisciplinare: la finanza matematica." Bollettino dell'Unione Matematica Italiana 2-A.3 (1999): 297-316. <http://eudml.org/doc/219374>.
@article{Runggaldier1999,
abstract = {La moderna finanza matematica è un settore interdisciplinare tra economia e matematica che, allo stato attuale, è a forte contenuto matematico, soprattutto probabilistico. Iniziamo questo articolo accennando alle origini di questa disciplina, che non sono molto lontane nel tempo e che erano di natura più economica/econometrica. Successivamente arriveremo a descrivere gli sviluppi più recenti e più tipicamente matematici.},
author = {Runggaldier, Wolfgang J.},
journal = {Bollettino dell'Unione Matematica Italiana},
language = {ita},
month = {12},
number = {3},
pages = {297-316},
publisher = {Unione Matematica Italiana},
title = {Sugli sviluppi della matematica applicata in un settore interdisciplinare: la finanza matematica},
url = {http://eudml.org/doc/219374},
volume = {2-A},
year = {1999},
}
TY - JOUR
AU - Runggaldier, Wolfgang J.
TI - Sugli sviluppi della matematica applicata in un settore interdisciplinare: la finanza matematica
JO - Bollettino dell'Unione Matematica Italiana
DA - 1999/12//
PB - Unione Matematica Italiana
VL - 2-A
IS - 3
SP - 297
EP - 316
AB - La moderna finanza matematica è un settore interdisciplinare tra economia e matematica che, allo stato attuale, è a forte contenuto matematico, soprattutto probabilistico. Iniziamo questo articolo accennando alle origini di questa disciplina, che non sono molto lontane nel tempo e che erano di natura più economica/econometrica. Successivamente arriveremo a descrivere gli sviluppi più recenti e più tipicamente matematici.
LA - ita
UR - http://eudml.org/doc/219374
ER -
References
top- AAVV, Atti del Convegno Ricordo di Bruno de Finetti Professore nell’Ateneo triestino, Dipartimento di Matematica Applicata «Bruno de Finetti», Trieste, 1987.
- ARTZNER, PH. - DELBAEN, F. - EBER, J.-M. - HEATH, D., Coherent measures of risk, Mathematical Finance, 9(1999), 203-228. Zbl0980.91042MR1850791DOI10.1111/1467-9965.00068
- ARROW, K. J. - DEBREU, G., Existence of an equilibrium for a competitive economy, Econometrica, 22(1954), 265-290. Zbl0055.38007MR77069
- BACHELIER, L., Théorie de la spéculation, Gauthier-Villars1900. Anche in: Annales Scientifiques de l’École Normale Supérieure, 1900, 21-86. JFM31.0241.02
- BALDI, P., Equazioni differenziali stocastiche e applicazioni, Quaderni UMI Vol. 28, Pitagora, Bologna, 1984. Zbl0606.60051
- BERNOULLI, D., Exposition of a new theory on the measurement of risk, trad. di E. Sommer in Econometrica, 22(1954), 23-36. Zbl0055.12004MR59834
- BIELECKI, T. R. - PLISKA, S. R., Risk sensitive asset management with transaction costs, Finance and Stochastics, 4(2000), 1-33. MR1790132DOI10.1007/s007800050001
- BJÖRK, T. - DI MASI, G. - KABANOV, YU. - RUNGGALDIER, W., Towards a general theory of bond markets, Finance and Stochastics, 1(1997), 141-174. Zbl0889.90019
- BLACK, F. - SCHOLES, M. S., The pricing of options and corporate liabilities, Journal of Political Economy, 81(1973), 637-654. Zbl1092.91524
- BOLLERSLEV, T., Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31(1986), 307-327. Zbl0616.62119MR853051DOI10.1016/0304-4076(86)90063-1
- CANESTRELLI, E. - NARDELLI, C., Criteri per la selezione del portafoglio, G. Giappichelli, Torino, 1991.
- CASTAGNOLI, E. - PECCATI, L., Introduzione alla selezione di portafoglio, Cooperativa di Cultura «Lorenzo Milani», Torino, 1991.
- COURTAULT, J.-M. - KABANOV, YU. - BRU, B. - CRÉPEL, P., Louis Bachelier on the centenary of Théorie de la Spéculation, Mathematical Finance, 10 (2000), 341-353. MR1800320DOI10.1111/1467-9965.00098
- COX, J. C. - ROSS, S. A. - RUBINSTEIN, M., Option pricing: a simplified approach, Journal of Financial Economics, 7(1979), 229-263. Zbl1131.91333
- CVITANIĆ, J. - KARATZAS, I., On dynamic measures of risk, Finance and Stochastics, 3(1999), 451-482. Zbl0982.91030MR1842283DOI10.1007/s007800050071
- CVITANIĆ, J. - PHAM, H. - TOUZI, N., A closed-form solution to the problem of super-replication under transaction costs, Finance and Stochastics, 3 (1999), 35-54. Zbl0924.90010
- DALANG, R. C. - MORTON, A. - WILLINGER, W., Equivalent martingale measures and no-arbitrage in stochastic securities market models, Stochastics and Stochastic Reports, 29(1990), 185-201. Zbl0694.90037MR1041035
- DAVIS, M. H. A. - NORMAN, A. R., Portfolio selection with transaction costs, Mathematics of Operations Research, 15(1990), 676-713. Zbl0717.90007MR1080472DOI10.1287/moor.15.4.676
- DELBAEN, F. - SCHACHERMAYER, W., A general version of the fundamental theorem of asset pricing, Mathematische Annalen, 300(1994), 463-520. Zbl0865.90014MR1304434DOI10.1007/BF01450498
- DIMSON, E. - MOUSSAVIAN, M., Three centuries of asset pricing, London Business School, Institute of Finance & Accounting WP-295, Jan 2000.
- DUFFIE, D. - KAN, R., A yield factor model of interest rates, Mathematical Finance, 6(1966), 379-406. Zbl0915.90014
- ELKAROUI, N. - QUENEZ, M. C., Dynamic programming and pricing of contingent claimsin an incomplete market, SIAM J. on Control and Optimiz., 33(1995), 29-66. Zbl0831.90010MR1311659DOI10.1137/S0363012992232579
- ENGLE, R. E., Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation, Econometrica, 50(1982), 987-1007. Zbl0491.62099MR666121DOI10.2307/1912773
- FAMA, E. F., The behaviour of stock market prices, Journal of Business, 38 (1965), 34-105.
- FÖLLMER, H. - LEUKERT, P., Efficient hedging: cost versus shortfall risk, Finance and Stochastics, 4(2000), 117-146. MR1780323DOI10.1007/s007800050008
- FÖLLMER, H. - SONDERMANN, D., Hedging of nonredundant contingent claims, In: Contributions to Mathematical Economics in Honor of Gérard Debreu, W. Hildenbrand, Mas-Colell, A., eds. North Holland, Amsterdam, 1986, 205-223. Zbl0663.90006MR902885
- FÖLLMER, H. - SCHWEIZER, M., Hedging of contingent claims under incomplete information, In: Applied Stochastic Analysis, M. H. A. Davis, R. J. Elliott, eds. Gordon & Breach, London, 1991, 389-414. Zbl0738.90007MR1108430
- FRITTELLI, M., Introduction to a theory of value coherent with the no-arbitrage principle, Finance and Stochastics, 4(2000), 275-297. MR1779580DOI10.1007/s007800050074
- FRITTELLI, M. - LAKNER, P., Almost sure characterization of martingales, Stochastics and Stochastics Reports, 49(1994), 181-190. Zbl0827.60032MR1785004
- GOURIEROUX, C., ARCH models and financial applications, Springer, 1997. Zbl0880.62107MR1439744DOI10.1007/978-1-4612-1860-9
- HARRISON, J. M. - KREPS, D. M., Martingales and arbitrage in multiperiod securities markets, Journal of Economic Theory, 20(1979), 381-408. Zbl0431.90019MR540823DOI10.1016/0022-0531(79)90043-7
- HARRISON, J. M. - PLISKA, S. R., Martingales and stochastic integrals in the theory of continuous trading, Stochastic Processes and Their Applications, 11(1981), 215-260. Zbl0482.60097MR622165DOI10.1016/0304-4149(81)90026-0
- HARRISON, J. M. - PLISKA, S. R., A stochastic calculus model of continuous trading: completemarkets, Stochastic Processes and Their Applications, 15 (1983), 313-316. Zbl0511.60094MR711188DOI10.1016/0304-4149(83)90038-8
- HULL, J. - WHITE, A., The pricing of options with stochastic volatilities, Journal of Finance, 42(1987), 281-300.
- KARATZAS, I., Optimization problems in the theory of continuous trading, SIAM J. on Control and Optimiz., 27(1989), 1221-1259. Zbl0701.90008MR1022426DOI10.1137/0327063
- KARATZAS, I. - LEHOCZKY, J. - SHREVE, S. E., Optimal portfolio and consumption decisions for a small investor on a finite horizon, SIAM J. on Control and Optimiz., 25(1987), 1557-1586. Zbl0644.93066MR912456DOI10.1137/0325086
- KORN, R., Optimal portfolios: stochastic models for optimal investment and risk management in continuous time, World Scientific, Singapore1997. Zbl0931.91017
- LINTNER, J., The valuation of risky assets and the selection of risky investments instock portfolios and capital budgets, Review of Economics and Statistics, 47(1965), 13-37.
- MAGILL, M. J. P. - COSTANTINIDES, G. M., Portfolio selection with transaction costs, Journal of Economic Theory, 13(1976), 245-263. Zbl0361.90001MR469196
- MANDELBROT, B., The variation of certain speculative prices, Journal of Business, 36(1963), 394-419.
- MANDELBROT, B., Fractals and scaling in finance: discontinuity, concentration, risk, Springer1997. Zbl1005.91001MR1475217
- MANTEGNA, R. N. - STANLEY, H. E., An introduction to Econophysics: correlation and complexity in finance, Cambridge University Press, 2000. Zbl0935.91023MR2343447
- MARKOWITZ, H. M., Portfolio selection, Journal of Finance, 7 (1952), 77-91.
- MERCURIO, F. - RUNGGALDIER, W. J., Option pricing for jump-diffusions: approximations and their interpretation, Mathematical Finance, 3(1993), 191-200. Zbl0884.90043
- MERTON, R. C., An intertemporal capital asset pricing model, Econometrica, 41(1973), 867-887. Zbl0283.90003MR441271
- MERTON, R. C., Option pricing when underlying stock returns are discontinuous, Journal of Financial Economics, 3(1976), 125-144. Zbl1131.91344
- MOSSIN, J., Equilibrium in a capital asset market, Econometrica, 3 (1966), 768-783.
- MULINACCI, S., An approximation of American option prices in a jump-diffusion model, Stochastic Processes and Their Applications, 62 (1996), 1-17. Zbl0848.90005MR1388760DOI10.1016/0304-4149(95)00085-2
- ROSS, S. A., The arbitrage theory of capital asset pricing, Journal of Economic Theory, 13(1976), 341-360. MR429063
- SHARPE, W. E., A simplified model of portfolio analysis, Management Science, 9(1963), 277-293.
- SHARPE, W. E., Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance, 19(1964), 425-442.
- SUNDARESAN, S. M., Continuous-Time Methods in Finance: A Review and an Assessment, Journal of Finance, 55(2000), 1569-1622.
- TAQQU, M. S., Bachelier and his Times: A Conversation with Bernard Bru, Finance and Stochastics, 5(2001). MR1807874DOI10.1007/PL00000039
- VONNEUMANN, J. - MORGENSTERN, O., Theory of Games and Economic Behaviour, Princeton University Press1944. Zbl0053.09303MR11937
NotesEmbed ?
topTo embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.