Recent developments in mathematical finance : International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 / editor Jiongmin Yong.

Format:

Book

Conference/Event

Author/Creator:

International Conference on Mathematical Finance, Corporate Author.

Contributor:

Yong, J. (Jiongmin), 1958-

Conference Name:

International Conference on Mathematical Finance (2001 : Shanghai, China)

International Conference on Mathematical Finance

Language:

English

Subjects (All):

Business mathematics--Congresses.

Business mathematics.

Physical Description:

1 online resource (288p. ) illustrations

Edition:

1st ed.

Place of Publication:

Singapore ; River Edge, NJ : World Scientific, 2002.

Language Note:

English

Summary:

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.

Contents:

Machine generated contents note: 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. Liu

Contingent 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.

Notes:

Bibliographic Level Mode of Issuance: Monograph

Includes bibliographical references.

ISBN:

9786611948368

9781281948366

1281948365

9789812799579

9812799575

OCLC:

879024768