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Documents  91B26 | enregistrements trouvés : 7

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- 398 p.
ISBN 978-0-8218-3412-1

Contemporary mathematics , 0351

Localisation : Collection 1er étage

finance # mathématiques financières # équation différentielle stochastique # analyse stochastique # application # théorie de l'utilité # modèle de marché # processus gaussien # chaîne de Markov # processus de diffusion # contrôle stochastique optimal

91B16 ; 91B26 ; 91B28 ; 60G15 ; 60G40 ; 60J10 ; 60J60 ; 93E20

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- 272 p.
ISBN 978-0-8218-3466-4

Contemporary mathematics , 0336

Localisation : Collection 1er étage

analyse stochastique # modèle stochastique # processus stochastique # mathématique financière # intégrale stochastique # équilibre # entropie # risque de crédit # EDP stochastique

60-06 ; 91-06 ; 60E15 ; 60F10 ; 60G15 ; 60G50 ; 60H05 ; 60H10 ; 60H15 ; 60J60 ; 91B26 ; 91B30

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Research talks;Mathematics in Science and Technology

Industrial strategic decisions have evolved tremendously in the last decades towards a higher degree of quantitative analysis. Such decisions require taking into account a large number of uncertain variables and volatile scenarios, much like financial market investments. Furthermore, they can be evaluated by comparing to portfolios of investments in financial assets such as in stocks, derivatives and commodity futures. This revolution led to the development of a new field of managerial science known as Real Options.
The use of Real Option techniques incorporates also the value of flexibility and gives a broader view of many business decisions that brings in techniques from quantitative finance and risk management. Such techniques are now part of the decision making process of many corporations and require a substantial amount of mathematical background. Yet, there has been substantial debate concerning the use of risk neutral pricing and hedging arguments to the context of project evaluation. We discuss some alternatives to risk neutral pricing that could be suitable to evaluation of projects in a realistic context with special attention to projects dependent on commodities and non-hedgeable uncertainties. More precisely, we make use of a variant of the hedged Monte-Carlo method of Potters, Bouchaud and Sestovic to tackle strategic decisions. Furthermore, we extend this to different investor risk profiles. This is joint work with Edgardo Brigatti, Felipe Macias, and Max O. de Souza.
If time allows we shall also discuss the situation when the historical data for the project evaluation is very limited and we can make use of certain symmetries of the problem to perform (with good estimates) a nonintrusive stratified resampling of the data. This is joint work with E. Gobet and G. Liu.
Industrial strategic decisions have evolved tremendously in the last decades towards a higher degree of quantitative analysis. Such decisions require taking into account a large number of uncertain variables and volatile scenarios, much like financial market investments. Furthermore, they can be evaluated by comparing to portfolios of investments in financial assets such as in stocks, derivatives and commodity futures. This revolution led to the ...

91B26 ; 91B06 ; 91B30 ; 91B24

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Research schools;Computer Science;Probability and Statistics

In this talk, I will introduce the classical theory of multi-armed bandits, a field at the junction of statistics, optimization, game theory and machine learning, discuss the possible applications, and highlights the new perspectives and open questions that they propose We consider competitive capacity investment for a duopoly of two distinct producers. The producers are exposed to stochastically fluctuating costs and interact through aggregate supply. Capacity expansion is irreversible and modeled in terms of timing strategies characterized through threshold rules. Because the impact of changing costs on the producers is asymmetric, we are led to a nonzero-sum timing game describing the transitions among the discrete investment stages. Working in a continuous-time diffusion framework, we characterize and analyze the resulting Nash equilibrium and game values. Our analysis quantifies the dynamic competition effects and yields insight into dynamic preemption and over-investment in a general asymmetric setting. A case-study considering the impact of fluctuating emission costs on power producers investing in nuclear and coal-fired plants is also presented. In this talk, I will introduce the classical theory of multi-armed bandits, a field at the junction of statistics, optimization, game theory and machine learning, discuss the possible applications, and highlights the new perspectives and open questions that they propose We consider competitive capacity investment for a duopoly of two distinct producers. The producers are exposed to stochastically fluctuating costs and interact through aggregate ...

62L05 ; 68T05 ; 91A26 ; 91A80 ; 91B26

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- xiii; 450 p.
ISBN 978-981-4383-57-8

Interdisciplinary mathematical sciences , 0013

Localisation : Ouvrage RdC (STOC)

analyse stochastique # processus stochastiques # processus de Markov # modèle de marchés # finance # économétrie

60-06 ; 00B05 ; 00B15 ; 00B30 ; 60Hxx ; 60Jxx ; 91-06 ; 91B26 ; 93E03

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- 98 p.
ISBN 978-85-244-0081-0

Publicacoes matematicas

Localisation : Salle de manutention

économie # dynamique économique # économie de marché # méthode de Bellman # théorème de Turnpike # processus de Markov

91BXX ; 91B26 ; 91B02

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- 194 p.
ISBN 978-0-8218-2945-5

Translations of mathematical monographs , 0212

Localisation : Collection 1er étage

finance # obligation # intégrale stochastique # processus de diffusion # mouvement brownien # théorie des jeux # structure de marcher

91-02 ; 91B24 ; 91B28 ; 60H05 ; 91B26

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