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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Yong, Jiongmin
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Singapore : World Scientific Publishing Company, 2001.
Temas:
Business mathematics > Congresses.
Mathématiques financières > Congrès.
Business mathematics
Conference papers and proceedings
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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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