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Recent Developments in Mathematical Finance : Proceedings of the International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001.
The book deals with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, etc. It also reflects on some recent developments in certain important aspects of mathematical finance. Contents: Intensit...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Singapore :
World Scientific Publishing Company,
2001.
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| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 003 | OCoLC | ||
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| 100 | 1 | |a Yong, Jiongmin. | |
| 245 | 1 | 0 | |a Recent Developments in Mathematical Finance : |b Proceedings of the International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001. |
| 260 | |a Singapore : |b World Scientific Publishing Company, |c 2001. | ||
| 300 | |a 1 online resource (286 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
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| 520 | |a The book deals with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, etc. It also reflects on some recent developments in certain important aspects of mathematical finance. Contents: Intensity-Based Valuation of Basket Credit Derivatives (T R Bielecki & M Rutkowski); Comonotonicity of Backward Stochastic Differential Equations (Z Chen & X Wang); Some Lookback Option Pricing Problems (X Guo); Optimal Investment and Consumption with Fixed and Proportional Transaction Costs (H Liu); Filtra. | ||
| 505 | 8 | |a Machine generated contents note: Preface v -- Dynamic Asset Management: Risk Sensitive Criterion with Nonnegative Factors Constraints 1 -- A. Bagchi and K.S. Kumar -- Intensity-Based Valuation of Basket Credit Derivatives 12 -- T.R. Bielecki and M. Rutkowski -- Comonotonicity of Backward Stochastic Differential Equations 28 -- Z. Chen and X. Wang -- Some Lookback Option Pricing Problems 39 -- X. Guo -- Option Pricing in a Market Where the Volatility Is Driven by Fractional Brownian Motions 49 -- Y. Hu -- Optimal Investment and Consumption with Fixed and Proportional Transaction Costs 60 -- H. Liu -- Sharp Estimates of Ruin Probabilities for Insurance Models Involving Investments 72 -- J. Ma and X. Sun -- Risk-Sensitive Optimal Investment Problems with Partial Information on Infinite Time Horizon 85 -- H. Nagai and S. Peng -- Filtration Consistent Nonlinear Expectations 99 -- F. Coquet, Y. Hu, J. Memin, and S. Peng -- Pricing and Hedging of Index Derivatives under an Alternative Asset Price Model with Endogenous -- Stochastic Volatility 117 -- D. Heath and E. Platen -- Risk Sensitive Asset Management with Constrained -- iaing Strategies 127 -- T.R. Bielecki, D. Hernandez-Hernandez, and S.R. Pliska -- On Filtering in Markovian Term Structure Models 139 -- C. Chiarella, S. Pasquali, and W.J. Runggaldier -- A Theory of Volatility 151 -- A. Savine -- Discrete Time Markets with Transaction Costs 168 -- L. Stettner -- The Necessity of No Asymptotic Arbitrage in APT Pricing 181 -- X. Lin, X. Liu, and Y. Sun -- Financial Mean-Variance Problems and Stochastic LQ Problems: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations 190 -- S. Tang -- Options on Dividend Paying Stocks 204 -- R. Beneder and T. Vorst -- Some Remarks on Arbitrage Pricing Theory 218 -- J. Xia and J. Yan -- Risk: From Insurance to Finance 228 -- H. Yang -- Using Stochastic Approximation Algorithms in Stock Liquidation 238 -- G. Yin, Q. Zhang, and R.H. Liu -- Contingent Claims in an Illiquid Market 249 -- H. Liu and J. Yong -- Arbitrage Pricing Systems in a Market Driven by an Ito Process 263 -- S. Luo, J. Yan, and Q. Zhang -- Participants of the Conference 273. | |
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