المؤلفون: Larsson, Stig, Lindberg, Carl, Warfheimer, Marcus

مصطلحات موضوعية: keyword:pairs trading, keyword:optimal stopping, keyword:Ornstein-Uhlenbeck type process, keyword:finite element method, keyword:error estimate, msc:45J05, msc:65L60, msc:65N30, msc:91G10

وصف الملف: application/pdf

Relation: mr:MR3066820; zbl:Zbl 06221230; reference:[1] Brenner, S. C., Scott, L. R.: The Mathematical Theory of Finite Element Methods. 3rd ed., Texts in Applied Mathematics 15.Springer New York (2008). MR 2373954; reference:[2] Ekström, E., Lindberg, C., Tysk, J.: Optimal liquidation of a pair trade.(to appear). MR 2792082; reference:[3] Elliott, R. J., Hoek, J. van der, Malcolm, W. P.: Pairs trading.Quant. Finance 5 (2005), 271-276. MR 2238537, 10.1080/14697680500149370; reference:[4] Evans, L. C.: Partial Differential Equations.Graduate Studies in Mathematics 19 American Mathematical Society, Providence, RI (1998). Zbl 0902.35002, MR 1625845; reference:[5] Garroni, M. G., Menaldi, J. L.: Second Order Elliptic Integro-Differential Problems.Chapman & Hall/CRC (2002). Zbl 1014.45002, MR 1911531; reference:[6] Gatev, E., Goetzmann, W., Rouwenhorst, G.: Pairs trading: performance of a relative-value arbitrage.Review of Financial Studies 19 (2006), 797-827. 10.1093/rfs/hhj020; reference:[7] Karatzas, I., Shreve, S. E.: Brownian Motion and Stochastic Calculus.Graduate Texts in Mathematics 113 Springer, New York (1988). Zbl 0638.60065, MR 0917065, 10.1007/978-1-4684-0302-2_2; reference:[8] Larsson, S., Thomée, V.: Partial Differential Equations with Numerical Methods.Texts in Applied Mathematics 45 Springer, Berlin (2003). Zbl 1025.65002, MR 1995838; reference:[9] Peskir, G., Shiryaev, A.: Optimal Stopping and Free-Boundary Problems, Lectures in Mathematics, ETH Zürich.Birkhäuser Basel (2006). MR 2256030; reference:[10] Protter, P. E.: Stochastic Integration and Differential Equations.Stochastic Modelling and Applied Probability 21, Second edition. Version 2.1. Corrected third printing Springer, Berlin (2005). MR 2273672; reference:[11] Schatz, A. H.: An observation concerning Ritz-Galerkin methods with indefinite bilinear forms.Math. Comput. 28 (1974), 959-962. Zbl 0321.65059, MR 0373326, 10.1090/S0025-5718-1974-0373326-0

الاتاحة: http://hdl.handle.net/10338.dmlcz/143276