Mathematical finance: Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5 - 7, 2000
Saved in:
| Format: | Conference Proceeding Book |
|---|---|
| Language: | English |
| Published: |
Basel ; Boston ; Berlin
Birkhäuser
2001
|
| Series: | Trends in mathematics
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 374 S. graph. Darst. : 24 cm |
| ISBN: | 3764365536 |
Staff View
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV013677312 | ||
| 003 | DE-604 | ||
| 005 | 20040909 | ||
| 007 | t | ||
| 008 | 010403s2001 gw d||| |||| 10||| eng d | ||
| 016 | 7 | |a 960922059 |2 DE-101 | |
| 020 | |a 3764365536 |9 3-7643-6553-6 | ||
| 035 | |a (OCoLC)46473941 | ||
| 035 | |a (DE-599)BVBBV013677312 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 044 | |a gw |c DE | ||
| 049 | |a DE-473 |a DE-824 |a DE-19 |a DE-91G |a DE-521 |a DE-11 | ||
| 050 | 0 | |a HG63.W658 2000 | |
| 082 | 0 | |a 332/.01/51 |2 21 | |
| 082 | 0 | |a 332/.01/51 21 | |
| 084 | |a QP 700 |0 (DE-625)141926: |2 rvk | ||
| 084 | |a QP 890 |0 (DE-625)141965: |2 rvk | ||
| 084 | |a SK 980 |0 (DE-625)143277: |2 rvk | ||
| 084 | |a WIR 160f |2 stub | ||
| 084 | |a WIR 522f |2 stub | ||
| 084 | |a 17 |2 sdnb | ||
| 084 | |a 27 |2 sdnb | ||
| 245 | 1 | 0 | |a Mathematical finance |b Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5 - 7, 2000 |c Michael Kohlmann ; Shanjian Tang, ed. |
| 264 | 1 | |a Basel ; Boston ; Berlin |b Birkhäuser |c 2001 | |
| 300 | |a 374 S. |b graph. Darst. : 24 cm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Trends in mathematics | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Finance -- Mathematical models -- Congresses | |
| 650 | 0 | 7 | |a Finanzmathematik |0 (DE-588)4017195-4 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)1071861417 |a Konferenzschrift |y 2000 |z Konstanz |2 gnd-content | |
| 689 | 0 | 0 | |a Finanzmathematik |0 (DE-588)4017195-4 |D s |
| 689 | 0 | |5 DE-604 | |
| 700 | 1 | |a Kohlmann, Michael |d 1947- |e Sonstige |0 (DE-588)143566954 |4 oth | |
| 711 | 2 | |a Workshop on Mathematical Finance |d 2000 |c Konstanz |j Sonstige |0 (DE-588)10024597-3 |4 oth | |
| 856 | 4 | 2 | |m Digitalisierung TU Muenchen |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009345537&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-009345537 | ||
Record in the Search Index
| _version_ | 1804128490159603712 |
|---|---|
| adam_text | Table
of
Contents
Note:
in the titles of co-authored papers the lecturer s name is in bold face)
Preface
.......................................................................5
Table of Contents
.............................................................7
Participants
.................................................................11
On-line portfolio strategy with prediction
Sergio Albeverio, LanJun Lao and XueLei Zhao
..............................19
Continuous time financial market, transaction cost and transaction intensity
Sergio Albeverio, LanJun Lao and XueLei Zhao
..............................29
Demand Heterogeneity and Price Volatility
D.R. Alexander and E.E. Haven
.............................................40
Optimal default boundary in a discrete time setting
Agata Altieri
and Tiziano Vargiolu
..........................................49
An Infinite Factor Model for the Interest Rate Derivatives
Arunabha Bagchi and K. Suresh Kumar
.....................................59
Arbitrage and Pricing with Collateral
José Fajardo
Barbadian
.....................................................69
On the existence of optimal controls for a singular stochastic control problem
in finance
IVed E. Benth, Kenneth H. Karlsen, and Kristin Reikvam
....................79
A Quadratic Approach To Interest Rates Models In Incomplete Markets
Francesca Biagini
............................................................89
Risk Sensitive Asset Management: Two Empirical Examples
T.Bielecki, A.Harris, J.Li, and S.Pliska
......................................99
Table
of
Contents
Bounded
Variation
Singular Stochastic Control and Associated
Dynkin Game
Frederik Boetius ............................................................
Ill
Option Pricing and Hedging Under Regular Levy Processes of
Exponential Type
Svetlana
I. Boyarchenko and Sergei Z. Levendorskii
.........................121
Installment Options and Static Hedging
Mark H. A. Davis, Walter
Schachermayer
and Robert G. Tompkins
.........131
Fractional Brownian Motion and Financial Modelling
RJ. Elliott and J. van
der Hoek ............................................
140
Stochastic Volatility and
Epsilon-Martingale
Decomposition
Jean-Pierre Fouque, George Papanicolaou and Ronnie Sircar
................152
Mutual Debts Compensation as Graph Theory Problem
Vladimir
Gazda
............................................................162
First Steps to Stochastic Finance
Hans-Joachim Girlich
.......................................................168
Fractional Calculus and Continuous-Time
Finance III: the Diffusion Limit
Rudolf Gorenflo, Francesco Mainardi, Enrico Scalas and Marco Raberto
___171
Passport Options Outside the Black Scholes World
Vicky Henderson
...........................................................181
New Developments in Backward Stochastic Riccati Equations
and Their Applications
Michael
Kohlmann
and Shanjian Tang
......................................194
Quantile hedging for a jump-diffusion financial market model
R.N.Krutchenko and A.V.Melnikov
.........................................215
Exponential formula and Girsanov theorem for mixed
semilinear
stochastic
differential equations
Yuriy
Krvavých
and Yuliya Mishura
........................................230
An introduction to optimal consumption with partial observation
D. Lefèvre,
В.
Oksendal, and
Agnès Sulem
..................................239
Table
of
Contents
Continuous Time CAPM, Price for Risk and Utility Maximization
Johannes Leitner
...........................................................250
LQ control and mean-variance portfolio selections:
The stochastic parameter case
Andrew E.B.
Lim
and Xun Yu Zhou
........................................261
Liquidity Risk in Energy Markets
S.Nagornii and G.Dozeman
.................................................271
Riccati Equation and Viscosity Solutions in Mean Variance Hedging
Bernhard Peisl .............................................................283
A Minimal Financial Market Model
Eckhard
Platen
.............................................................293
A note on equivalent martingale measures with bounded density
Miklós
Rásonyi .............................................................
302
Local optimality in the multi-dimensional multi-period mean-variance
portfolio problem
Manfred
Schäl ..............................................................307
Transaction Processes among Autonomous Traders
Julia
Schmelz ...............................................................317
The Laplace transform approach to valuing exotic options: the case of the
Asian option
Michael
Schröder ...........................................................328
Reversible Real Options
Mark Shackleton and
Rafał Wojakowski
....................................339
A Toolbox for Generalized Relative Entropies, EMM and Contingent
Claim Valuation
Wolfgang
Stummer .........................................................345
Incremental Value-at-Risk: traps and misinterpretations
Luisa
Tibiletti
..............................................................355
On option expected returns
Rafał
Wojakowski and Mark Shackleton
....................................365
|
| any_adam_object | 1 |
| author_GND | (DE-588)143566954 |
| building | Verbundindex |
| bvnumber | BV013677312 |
| callnumber-first | H - Social Science |
| callnumber-label | HG63 |
| callnumber-raw | HG63.W658 2000 |
| callnumber-search | HG63.W658 2000 |
| callnumber-sort | HG 263 W658 42000 |
| callnumber-subject | HG - Finance |
| classification_rvk | QP 700 QP 890 SK 980 |
| classification_tum | WIR 160f WIR 522f |
| ctrlnum | (OCoLC)46473941 (DE-599)BVBBV013677312 |
| dewey-full | 332/.01/51 332/.01/5121 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332/.01/51 332/.01/51 21 |
| dewey-search | 332/.01/51 332/.01/51 21 |
| dewey-sort | 3332 11 251 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Conference Proceeding Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02004nam a2200505 c 4500</leader><controlfield tag="001">BV013677312</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20040909 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">010403s2001 gw d||| |||| 10||| eng d</controlfield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">960922059</subfield><subfield code="2">DE-101</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">3764365536</subfield><subfield code="9">3-7643-6553-6</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)46473941</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV013677312</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">gw</subfield><subfield code="c">DE</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-473</subfield><subfield code="a">DE-824</subfield><subfield code="a">DE-19</subfield><subfield code="a">DE-91G</subfield><subfield code="a">DE-521</subfield><subfield code="a">DE-11</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG63.W658 2000</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332/.01/51</subfield><subfield code="2">21</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332/.01/51 21</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QP 700</subfield><subfield code="0">(DE-625)141926:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QP 890</subfield><subfield code="0">(DE-625)141965:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 980</subfield><subfield code="0">(DE-625)143277:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">WIR 160f</subfield><subfield code="2">stub</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">WIR 522f</subfield><subfield code="2">stub</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">17</subfield><subfield code="2">sdnb</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">27</subfield><subfield code="2">sdnb</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Mathematical finance</subfield><subfield code="b">Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5 - 7, 2000</subfield><subfield code="c">Michael Kohlmann ; Shanjian Tang, ed.</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Basel ; Boston ; Berlin</subfield><subfield code="b">Birkhäuser</subfield><subfield code="c">2001</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">374 S.</subfield><subfield code="b">graph. Darst. : 24 cm</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Trends in mathematics</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Mathematisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Finance -- Mathematical models -- Congresses</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)1071861417</subfield><subfield code="a">Konferenzschrift</subfield><subfield code="y">2000</subfield><subfield code="z">Konstanz</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Kohlmann, Michael</subfield><subfield code="d">1947-</subfield><subfield code="e">Sonstige</subfield><subfield code="0">(DE-588)143566954</subfield><subfield code="4">oth</subfield></datafield><datafield tag="711" ind1="2" ind2=" "><subfield code="a">Workshop on Mathematical Finance</subfield><subfield code="d">2000</subfield><subfield code="c">Konstanz</subfield><subfield code="j">Sonstige</subfield><subfield code="0">(DE-588)10024597-3</subfield><subfield code="4">oth</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung TU Muenchen</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009345537&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-009345537</subfield></datafield></record></collection> |
| genre | (DE-588)1071861417 Konferenzschrift 2000 Konstanz gnd-content |
| genre_facet | Konferenzschrift 2000 Konstanz |
| id | DE-604.BV013677312 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:50:04Z |
| institution | BVB |
| institution_GND | (DE-588)10024597-3 |
| isbn | 3764365536 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009345537 |
| oclc_num | 46473941 |
| open_access_boolean | |
| owner | DE-473 DE-BY-UBG DE-824 DE-19 DE-BY-UBM DE-91G DE-BY-TUM DE-521 DE-11 |
| owner_facet | DE-473 DE-BY-UBG DE-824 DE-19 DE-BY-UBM DE-91G DE-BY-TUM DE-521 DE-11 |
| physical | 374 S. graph. Darst. : 24 cm |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | Birkhäuser |
| record_format | marc |
| series2 | Trends in mathematics |
| spelling | Mathematical finance Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5 - 7, 2000 Michael Kohlmann ; Shanjian Tang, ed. Basel ; Boston ; Berlin Birkhäuser 2001 374 S. graph. Darst. : 24 cm txt rdacontent n rdamedia nc rdacarrier Trends in mathematics Mathematisches Modell Finance -- Mathematical models -- Congresses Finanzmathematik (DE-588)4017195-4 gnd rswk-swf (DE-588)1071861417 Konferenzschrift 2000 Konstanz gnd-content Finanzmathematik (DE-588)4017195-4 s DE-604 Kohlmann, Michael 1947- Sonstige (DE-588)143566954 oth Workshop on Mathematical Finance 2000 Konstanz Sonstige (DE-588)10024597-3 oth Digitalisierung TU Muenchen application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009345537&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Mathematical finance Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5 - 7, 2000 Mathematisches Modell Finance -- Mathematical models -- Congresses Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)1071861417 |
| title | Mathematical finance Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5 - 7, 2000 |
| title_auth | Mathematical finance Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5 - 7, 2000 |
| title_exact_search | Mathematical finance Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5 - 7, 2000 |
| title_full | Mathematical finance Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5 - 7, 2000 Michael Kohlmann ; Shanjian Tang, ed. |
| title_fullStr | Mathematical finance Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5 - 7, 2000 Michael Kohlmann ; Shanjian Tang, ed. |
| title_full_unstemmed | Mathematical finance Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5 - 7, 2000 Michael Kohlmann ; Shanjian Tang, ed. |
| title_short | Mathematical finance |
| title_sort | mathematical finance workshop of the mathematical finance research project konstanz germany october 5 7 2000 |
| title_sub | Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5 - 7, 2000 |
| topic | Mathematisches Modell Finance -- Mathematical models -- Congresses Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Mathematisches Modell Finance -- Mathematical models -- Congresses Finanzmathematik Konferenzschrift 2000 Konstanz |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009345537&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT kohlmannmichael mathematicalfinanceworkshopofthemathematicalfinanceresearchprojectkonstanzgermanyoctober572000 AT workshoponmathematicalfinancekonstanz mathematicalfinanceworkshopofthemathematicalfinanceresearchprojectkonstanzgermanyoctober572000 |