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Mathematics of Finance.
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Providence :
American Mathematical Society,
2004.
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| Colección: | Contemporary Mathematics.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Contents
- Preface
- List of Speakers and Title of Talks
- Credit Barrier Models in a Discrete Framework
- Optimal Derivatives Design under Dynamic Risk Measures
- On Pricing of Forward and Futures Contracts on Zero-Coupon Bonds in the Cox-Ingersoll-Ross Model
- Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches (I)
- Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches (II)
- Spot Convenience Yield Models for the Energy Markets
- Optimal Portfolio Management with Consumption
- Some Processes Associated with a Fractional Brownian MotionPricing Claims on Non Tradable Assets
- Some Optimal Investment, Production and Consumption Models
- Asian Options under Multiscale Stochastic Volatility
- A Regime Switching Model: Statistical Estimation, Empirical Evidence, and Change Point Detection
- Multinomial Maximum Likelihood Estimation of Market Parameters for Stock Jump-Diffusion Models
- Optimal Terminal Wealth under Partial Information for HMM Stock Returns
- Computing Optimal Selling Rules for Stocks Using Linear Programming
- Optimization of Consumption and Portfolio and Minimization of VolatilityOptions: To Buy or not to Buy?
- Risk Sensitive Optimal Investment: Solutions of the Dynamical Programming Equation
- Hedging Default Risk in an Incomplete Market
- Mean-Variance Portfolio Choice with Discontinuous Asset Prices and Nonnegative Wealth Processes
- Indifference Prices of Early Exercise Claims
- Random Walk around Some Problems in Identification and Stochastic Adaptive Control with Applications to Finance
- Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models
- Why is the Effect of Proportional Transaction Costs O(Î?2/3)?Estimation via Stochastic Filtering in Financial Market Models
- Stochastic Optimal Control Modeling of Debt Crises
- Duality and Risk Sensitive Portfolio Optimization
- Characterizing Option Prices by Linear Programs
- Pricing Defaultable Bond with Regime Switching
- Affine Regime-Switching Models for Interest Rate Term Structure
- Stochastic Approximation Methods for Some Finance Problems