Verfügbarkeit: Recent developments in mathematical finance

Recent developments in mathematical finance: International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001

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Bibliographische Detailangaben
Körperschaft:	International Conference on Mathematical Finance Schanghai (VerfasserIn)
Weitere Verfasser:	Yong, Jiongmin 1958- (HerausgeberIn)
Format:	Tagungsbericht Buch
Sprache:	English
Veröffentlicht:	New Jersey ; London ; Singapore ; Hong Kong World Scientific [2002]
Schlagworte:	Business mathematics > Congresses Finanzmathematik Konferenzschrift > 2001 > Schanghai
Online-Zugang:	Table of contents Inhaltsverzeichnis
Beschreibung:	viii, 276 Seiten Illustrationen, Diagramme
ISBN:	9810247974

Internformat

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Datensatz im Suchindex

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adam_text	RECENT DEVELOPMENTS IN MATHEMATICAL FINANCE / YONG, JIONGMIN : 2002 TABLE OF CONTENTS / INHALTSVERZEICHNIS 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. LIUCONTINGENT 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. DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
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spelling	International Conference on Mathematical Finance 2001 Schanghai Verfasser (DE-588)5550729-3 aut Recent developments in mathematical finance International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 editor Jiongmin Yong (Fudan University, China) New Jersey ; London ; Singapore ; Hong Kong World Scientific [2002] © 2002 viii, 276 Seiten Illustrationen, Diagramme txt rdacontent n rdamedia nc rdacarrier Business mathematics -- Congresses Finanzmathematik (DE-588)4017195-4 gnd rswk-swf (DE-588)1071861417 Konferenzschrift 2001 Schanghai gnd-content Finanzmathematik (DE-588)4017195-4 s DE-604 Yong, Jiongmin 1958- (DE-588)121010481 edt Erscheint auch als Online-Ausgabe 978-981-279-957-9 http://www.loc.gov/catdir/toc/fy031/2002284517.html Table of contents LoC Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009909680&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Recent developments in mathematical finance International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 Business mathematics -- Congresses Finanzmathematik (DE-588)4017195-4 gnd
subject_GND	(DE-588)4017195-4 (DE-588)1071861417
title	Recent developments in mathematical finance International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001
title_auth	Recent developments in mathematical finance International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001
title_exact_search	Recent developments in mathematical finance International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001
title_full	Recent developments in mathematical finance International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 editor Jiongmin Yong (Fudan University, China)
title_fullStr	Recent developments in mathematical finance International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 editor Jiongmin Yong (Fudan University, China)
title_full_unstemmed	Recent developments in mathematical finance International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 editor Jiongmin Yong (Fudan University, China)
title_short	Recent developments in mathematical finance
title_sort	recent developments in mathematical finance international conference on mathematical finance shanghai china 10 13 may 2001
title_sub	International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001
topic	Business mathematics -- Congresses Finanzmathematik (DE-588)4017195-4 gnd
topic_facet	Business mathematics -- Congresses Finanzmathematik Konferenzschrift 2001 Schanghai
url	http://www.loc.gov/catdir/toc/fy031/2002284517.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009909680&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
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