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Showing 1 to 3 of 3 for “"Settore STAT-04/A - Metodi matematici dell'economia e delle scienze attuariali e finanziarie"”.
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Multidimensional modelling and optimization approaches for financial derivatives in incomplete markets
L'abstract è presente nell'allegato / the abstract is in the attachment
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COARSE CORRELATED EQUILIBRIA IN CONTINUOUS-TIME MEAN FIELD GAMES
… In Chapter 3 we consider a simple class of stationary MFGs of singular control. The reward, of ergodic type, is given by the long-time average of an expected utility functional. The interaction term is given by the stationary mean of the distribution of the representative player, which …
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Essays in Banking and Systemic Risk
This dissertation is a collection of three papers on banking and systemic risk. The first chapter develops a multi-objective optimization framework for banks’ securities portfolios, considering both individual and systemic risk. The findings show that while diversification can reduce individual …