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Irle, Albrecht

Overview
Works: 39 works in 87 publications in 2 languages and 772 library holdings
Roles: Author
Classifications: QA279.7, 332.0151
Publication Timeline
Key
Publications about Albrecht Irle
Publications by Albrecht Irle
Most widely held works by Albrecht Irle
Finanzmathematik : die Bewertung von Derivaten by Albrecht Irle( Book )
14 editions published between 1998 and 2012 in German and Undetermined and held by 226 libraries worldwide
Mit der Verleihung des Nobelpreises an Scholes und Merton (1997) wurden finanzmathematische Arbeiten gewürdigt, die den Handel mit Optionen und anderen Finanzderivaten entscheidend gefördert haben. Dieses Buch gibt eine Einführung in die Theorie der Bewertung solcher derivater Finanzprodukte. Ein Schwerpunkt liegt in der Darstellung von Methoden zur Untersuchung von europäischen und amerikanischen Optionen, insbesondere wird eine ausführliche Behandlung der Black-Scholes-Formel gegeben. Moderne finanzmathematische Methoden, wie sie in diesem Buch beschrieben werden, sind eng mit der Theorie der stochastischen Prozesse verbunden. Es werden daher die benötigten Begriffe und Resultate über stochastische Prozesse bis hin zur stochastischen Integration in ihrer Wechselbeziehung zu finanzwirtschaftlichen Problemstellungen behandelt. Ziel des Buches ist es, den mit den Grundlagen der Wahrscheinlichkeitstheorie vorgebildeten Leser in die Methoden zur Untersuchung und Bewertung von Finanzderivaten einzuführen und damit ein vertieftes Verständnis für die Praxis der Finanzmärkte zu vermitteln. "... To summarize, this is a very useful complement to Teubner's program on mathematical stochastics." N.Schmitz. Statistical Papers, Dortmund "... Der vorliegende Text gibt eine Einführung in das anspruchsvolle und doch praxis
Wahrscheinlichkeitstheorie und Statistik : Grundlagen - Resultate - Anwendungen by Albrecht Irle( Book )
6 editions published between 2001 and 2010 in German and held by 152 libraries worldwide
Aufbauend auf einer ausführlichen Darstellung der wahrscheinlichkeitstheoretischen Grundbegriffe und deren Anwendungen werden die Gesetze der großen Zahlen und der zentrale Grenzwertsatz behandelt, gefolgt von einer Darstellung der statistischen Modellbildung, der Schätztheorie und der Testtheorie. Ziel des Buches ist es, den mit den Grundlagen der Mathematik vertrauten Leser in die Methoden der Wahrscheinlichkeitstheorie und Statistik so einzuführen, dass dieser ein verlässliches Fundament an Kenntnissen erwirbt, sowohl für die Anwendung dieser Methoden in praktischen Problemen als auch für weiterführende Studien
Sequentialanalyse : optimale sequentielle Tests by Albrecht Irle( Book )
4 editions published in 1990 in German and Undetermined and held by 64 libraries worldwide
Übungsbuch Finanzmathematik : Leitfaden, Aufgaben und Lösungen zur Derivatbewertung by Albrecht Irle( Book )
4 editions published in 2007 in German and held by 55 libraries worldwide
Minimax theorems under convexity conditions : a survey. A permutation representation theoretical version of a theorem of Frobenius / Bernd Wagner [u.a.] by Albrecht Irle( Book )
5 editions published in 1980 in English and German and held by 21 libraries worldwide
Sequentielle Verfahren by Albrecht Irle( Book )
8 editions published between 1982 and 1983 in German and Undetermined and held by 21 libraries worldwide
Übungsbuch Finanzmathematik Leitfaden, Aufgaben und Lösungen zur Derivatbewertung ( file )
2 editions published in 2007 in German and held by 16 libraries worldwide
Wahrscheinlichkeitstheorie by Norbert Schmitz( Book )
5 editions published between 1983 and 1986 in Undetermined and German and held by 9 libraries worldwide
Programmsystem PAS-Stahlbeton by Albrecht Irle( Book )
2 editions published in 1979 in German and held by 9 libraries worldwide
Kassel ( Map )
1 edition published in 2001 in German and held by 7 libraries worldwide
Runs in superpositions of renewal processes with applications to discrimination by Gerold Alsmeyer( Book )
2 editions published in 2002 in English and held by 5 libraries worldwide
Switching rates and the asymptotic behavior of herding models ( Computer File )
1 edition published in 2010 in English and held by 3 libraries worldwide
Markov chains have experienced a surge of economic interest in the form of behavioral agent-based models that aim at explaining the statistical regularities of financial returns. We review some of the relevant mathematical facts and show how they apply to agent-based herding models, with the particular goal of establishing their asymptotic behavior because several studies have pointed out that the ability of such models to reproduce the stylized facts hinges crucially on the size of the agent population (typically denoted by n), a phenomenon that is also known as n-dependence. Our main finding is that n-(in)dependence traces back to both the topology and the velocity of information transmission among heterogeneous financial agents. -- Markov chains ; agent-based finance ; herding ; N-dependence
On patterns in sequences of random events by J. M Gani( Book )
2 editions published in 1997 in English and held by 3 libraries worldwide
A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets ( Computer File )
1 edition published in 2008 in English and held by 3 libraries worldwide
We consider a portfolio optimization problem in a Black-Scholes model with n stocks, in which an investor faces both fixed and proportional transaction costs. The performance of an investment strategy is measured by the average return of the corresponding portfolio over an infinite time horizon. At first, we derive a representation of the portfolio value process, which only depends on the relative fractions of the total portfolio value that the investor holds in the different stocks. This representation allows us to consider these so-called risky fractions as the decision variables of the investor. We show a certain kind of stationarity (Harris recurrence) for a quite flexible class of strategies (constant boundary strategies). Then, using renewal theoretic methods, we are able to describe the asymptotic return by the behaviour of the risky fractions in a "typical" period between two trades. Our results generalize those of [4], who considered a financial market model with one bond and one stock, to a market with a finite number n>1 of stocks. -- Portfolio theory ; transaction costs ; Harris recurrence ; renewal theory
A note on arbitrage under transaction costs ( Computer File )
1 edition published in 2008 in English and held by 3 libraries worldwide
Guasoni (2006) introduced a simple condition for the absence of arbitrage opportunities. In this note we show that his results remain valid under a weaker notion of arbitrage which arises by excluding liquidation costs from the value process of a portfolio. -- Arbitrage ; transaction costs ; fractional Brownian motion
Sequentielle Entscheidungsverfahren bei kontinuierlicher Beobachtung by Albrecht Irle( Book )
2 editions published in 1973 in German and held by 2 libraries worldwide
A statistical equilibrium model of competitive firms ( Computer File )
1 edition published in 2008 in English and held by 2 libraries worldwide
We argue that the complex interactions of competitive heterogeneous firms lead to a statistical equilibrium distribution of firms' profit rates, which turns out to be an exponential power (or Subbotin) distribution. Moreover, we construct a diffusion process that has the Subbotin distribution as its stationary probability density, leading to a phenomenologically inspired interpretation of variations in the shape parameter of the statistical equilibrium distribution. Our main finding is that firms' idiosyncratic efforts and the tendency for competition to equalize profit rates are two sides of the same coin
Agent-based models for financial markets by Jonas Kauschke( Archival Material )
2 editions published in 2010 in English and held by 1 library worldwide
A note on arbitrage under transaction costs by Albrecht Irle( file )
2 editions published in 2008 in English and held by 0 libraries worldwide
A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets by Albrecht Irle( file )
2 editions published in 2008 in English and held by 0 libraries worldwide
 
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Alternative Names
Albrecht Irle deutscher Mathematiker
Albrecht Irle Duits wiskundige
Albrecht Irle German mathematician
Albrecht Irle tysk matematikar
Albrecht Irle tysk matematiker
Irle, A. 1949-
Languages
German (40)
English (18)
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