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Irle, Albrecht

Overview
Works: 30 works in 61 publications in 2 languages and 626 library holdings
Classifications: QA279.7, 332.6320151
Publication Timeline
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Publications about Albrecht Irle
Publications by Albrecht Irle
Most widely held works by Albrecht Irle
Finanzmathematik : die Bewertung von Derivaten by Albrecht Irle( Book )
11 editions published between 1998 and 2012 in German and Undetermined and held by 235 libraries worldwide
Kompakt und verst ndlich gelingt es dem Autor den Leser in die Methoden zur Untersuchung und Bewertung von Finanzderivaten einzuf hren. So erlangen Sie ein vertieftes Verst ndnis f r die faszinierende Welt der Finanzm rkte
Wahrscheinlichkeitstheorie und Statistik : Grundlagen - Resultate - Anwendungen by Albrecht Irle( Book )
5 editions published between 2001 and 2010 in German and held by 140 libraries worldwide
Übungsbuch Finanzmathematik : Leitfaden, Aufgaben und Lösungen zur Derivatbewertung by Albrecht Irle( file )
5 editions published in 2007 in German and held by 115 libraries worldwide
Sequentialanalyse : optimale sequentielle Tests by Albrecht Irle( Book )
4 editions published in 1990 in German and Undetermined and held by 61 libraries worldwide
Sequentielle Verfahren by Albrecht Irle( Book )
4 editions published between 1982 and 1983 in German and Undetermined and held by 14 libraries worldwide
Minimax theorems under convexity conditions : a survey by Albrecht Irle( Book )
3 editions published in 1980 in English and German and held by 10 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 )
2 editions published in 1980 in English and held by 10 libraries worldwide
Wahrscheinlichkeitstheorie by Norbert Schmitz( Book )
2 editions published in 1984 in German and Undetermined and held by 6 libraries worldwide
Runs in superpositions of renewal processes with applications to discrimination by Gerold Alsmeyer( Book )
1 edition published in 2002 in English and held by 4 libraries worldwide
Agent-based models for financal markets by Jonas Kauschke( Archival Material )
2 editions published in 2010 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
On patterns in sequences of random events by J. M Gani( Book )
1 edition published in 1997 in English and held by 3 libraries worldwide
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
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
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
Wahrscheinlichkeitstheorie by Norbert Schmitz( Book )
2 editions published between 1983 and 1985 in Undetermined and held by 2 libraries worldwide
Contributions to the theory of optimal stopping by Sören Christensen( Book )
1 edition published in 2010 in English and held by 1 library worldwide
Comparisons and asymptotics in the theory of portfolio optimization under fixed and proportional transaction costs by Andreas Ludwig( Book )
1 edition published in 2012 in English and held by 1 library worldwide
Switching rates and the asymptotic behavior of herding models ( Computer File )
1 edition published in 2010 in English and held by 1 library worldwide
 
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Alternative Names
Irle, A. 1949-
Languages
German (28)
English (15)
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