RISK-SENSITIVE
INVESTMENT MANAGEMENT
9026hc_9789814578035_tp.indd 130/6/14 1:37 pm
ADVANCEDSERIESONSTATISTICALSCIENCE&
APPLIEDPROBABILITY
Editor:Ole E. Barndorff-Nielsen
Published
Vol. 7 Stochastic Methods in Hydrology: Rain, Landforms and Floods
eds. O. E. Barndorff-Nielsen et al.
Vol. 8 Statistical Experiments and Decisions: Asymptotic Theory
by A. N. Shiryaev and V. G. Spokoiny
Vol. 9 Non-Gaussian Merton–Black–Scholes Theory
by S. I. Boyarchenko and S. Z. Levendorskii
Vol. 10 Limit Theorems for Associated Random Fields and Related Systems
by A. Bulinski and A. Shashkin
Vol. 11 Stochastic Modeling of Electricity and Related Markets
by F. E. Benth, J. altyte. Benth and S. Koekebakker
Vol. 12 An Elementary Introduction to Stochastic Interest Rate Modeling
by N. Privault
Vol. 13 Change of Time and Change of Measure
by O. E. Barndorff-Nielsen and A. Shiryaev
Vol. 14 Ruin Probabilities (2nd Edition)
by S. Asmussen and H. Albrecher
Vol. 15 Hedging Derivatives
by T. Rheinlnder and J. Sexton
Vol. 16 An Elementary Introduction to Stochastic Interest Rate Modeling
(2nd Edition)
by N. Privault
Vol. 17 Modeling and Pricing in Financial Markets for Weather Derivatives
by F. E. Benth and J. altyte. Benth
Vol. 18 Analysis for Diffusion Processes on Riemannian Manifolds
by Feng-Yu Wang
Vol. 19 Risk-Sensitive Investment Management
by Mark H. A. Davis and Sbastien Lleo
*To view the complete list of the published volumes in the series, please visit:
worldscientifc/series/asssap
Philly - Risk-Sensitive Investment Management.indd 130/6/2014 2:43:06 PM
Advanced Series on
Statistical Science &
Applied Probability Vol. 19
NEW JERSEYLONDONSINGAPOREBEIJINGSHANGHAIHONG KONGTAIPEICHENNAI
World Scientifc
RISK-SENSITIVE
INVESTMENT
MANAGEMENT
Mark H. A. Davis
Imperial College London, UK
Sbastien Lleo
NEOMA Business School, France
9026hc_9789814578035_tp.indd 230/6/14 1:37 pm。