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Recent developments in mathematical finance : International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 /
An exploration of developments in mathematical finance, containing the proceedings of a conference on the subject. The papers address the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, and more.
| Clasificación: | Libro Electrónico |
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| Autor Corporativo: | |
| Otros Autores: | |
| Formato: | Electrónico Congresos, conferencias eBook |
| Idioma: | Inglés |
| Publicado: |
Singapore ; River Edge, NJ :
World Scientific,
2002.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Preface
- Dynamic Asset Management: Risk Sensitive Criterion with Nonnegative Factors Constraints / A. Bagchi and K.S. Kumar
- Intensity-Based Valuation of Basket Credit Derivatives / T.R. Bielecki and M. Rutkowski
- Comonotonicity of Backward Stochastic Differential Equations / Z. Chen and X. Wang
- Some Lookback Option Pricing Problems / X. Guo
- Option Pricing in a Market Where the Volatility Is Driven by Fractional Brownian Motions / Y. Hu
- Optimal Investment and Consumption with Fixed and Proportional Transaction Costs / H. Liu
- Sharp Estimates of Ruin Probabilities for Insurance Models Involving Investments / J. Ma and X. Sun
- Risk-Sensitive Optimal Investment Problems with Partial Information on Infinite Time Horizon / H. Nagai and S. Peng
- Filtration Consistent Nonlinear Expectations / 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 / D. Heath and E. Platen
- Risk Sensitive Asset Management with Constrained trading Strategies / T.R. Bielecki, D. Hernandez-Hernandez, and S.R. Pliska
- On Filtering in Markovian Term Structure Models / C. Chiarella, S. Pasquali, and W.J. Runggaldier
- A Theory of Volatility / A. Savine
- Discrete Time Markets with Transaction Costs / L. Stettner
- The Necessity of No Asymptotic Arbitrage in APT Pricing / X. Lin, X. Liu, and Y. Sun
- Financial Mean-Variance Problems and Stochastic LQ Problems: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations / S. Tang
- Options on Dividend Paying Stocks / R. Beneder and T. Vorst
- Some Remarks on Arbitrage Pricing Theory / J. Xia and J. Yan
- Risk: From Insurance to Finance / H. Yang
- Using Stochastic Approximation Algorithms in Stock Liquidation / G. Yin, Q. Zhang, and R.H. Liu
- Contingent Claims in an Illiquid Market / H. Liu and J. Yong
- Arbitrage Pricing Systems in a Market Driven by an Ito Process / S. Luo, J. Yan, and Q. Zhang
- Participants of the Conference.