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.
Gespeichert in:
| Körperschaft: | |
|---|---|
| Weitere Verfasser: | |
| Format: | Elektronisch Tagungsbericht E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore ; River Edge, NJ :
World Scientific,
2002.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 online resource (viii, 276 pages) : illustrations |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 9789812799579 9812799575 9789810247973 9810247974 |
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| 245 | 1 | 0 | |a Recent developments in mathematical finance : |b International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 / |c editor Jiongmin Yong. |
| 260 | |a Singapore ; |a River Edge, NJ : |b World Scientific, |c 2002. | ||
| 300 | |a 1 online resource (viii, 276 pages) : |b illustrations | ||
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| 520 | 8 | |a 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. |b An exploration of developments in mathematical finance. It constitutes the proceedings of the International Conference on Mathematical Finance held in Shanghai in May 2001. The papers deal with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, and more. They also reflect on some developments in certain important aspects of mathematical finance. | |
| 505 | 0 | |a 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 | |
| 505 | 8 | |a 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. | |
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| contents | 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. |
| ctrlnum | (OCoLC)260368298 |
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| dewey-search | 332.63/2/0151 |
| dewey-sort | 3332.63 12 3151 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic Conference Proceeding eBook |
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| indexdate | 2024-11-27T13:16:32Z |
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| publisher | World Scientific, |
| record_format | marc |
| spelling | International Conference on Mathematical Finance (2001 : Shanghai, China) http://id.loc.gov/authorities/names/n2002105290 Recent developments in mathematical finance : International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 / editor Jiongmin Yong. Singapore ; River Edge, NJ : World Scientific, 2002. 1 online resource (viii, 276 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier Includes bibliographical references. Print version record. 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. An exploration of developments in mathematical finance. It constitutes the proceedings of the International Conference on Mathematical Finance held in Shanghai in May 2001. The papers deal with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, and more. They also reflect on some developments in certain important aspects of mathematical finance. 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. Business mathematics Congresses. Mathématiques financières Congrès. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Business mathematics fast Conference papers and proceedings fast Yong, J. (Jiongmin), 1958- http://id.loc.gov/authorities/names/nr91006592 has work: Recent developments in mathematical finance (Text) https://id.oclc.org/worldcat/entity/E39PCFvb9kgwM9BJ6mmhKYHJrC https://id.oclc.org/worldcat/ontology/hasWork Print version: International Conference on Mathematical Finance (2001 : Shanghai, China). Recent developments in mathematical finance. Singapore ; River Edge, NJ : World Scientific, 2002 9810247974 9789810247973 (DLC) 2002284517 (OCoLC)49629256 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=235749 Volltext |
| spellingShingle | Recent developments in mathematical finance : International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 / 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. Business mathematics Congresses. Mathématiques financières Congrès. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Business mathematics fast |
| 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. |
| title_fullStr | Recent developments in mathematical finance : International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 / editor Jiongmin Yong. |
| title_full_unstemmed | Recent developments in mathematical finance : International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 / editor Jiongmin Yong. |
| 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. Mathématiques financières Congrès. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Business mathematics fast |
| topic_facet | Business mathematics Congresses. Mathématiques financières Congrès. BUSINESS & ECONOMICS Investments & Securities General. Business mathematics Conference papers and proceedings |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=235749 |
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