European Women in Mathematics : proceedings of the tenth general meeting, Malta, 24-30 August 2001 / editors, Emilia Mezzetti, Sylvie Paycha.

Format:

Book

Author/Creator:

European Women in Mathematics. Meeting (10th : 2001 : Malta)

Contributor:

Mezzetti, Emilia.

Paycha, Sylvie.

Language:

English

Subjects (All):

Women in mathematics--Congresses.

Women in mathematics.

Mathematics--Congresses.

Mathematics.

Women in science--Congresses.

Women in science.

Physical Description:

1 online resource (420 p.)

Other Title:

Proceedings of the tenth general meeting, European Women in Mathematics

Place of Publication:

River Edge, N.J. : World Scientific, c2001.

Language Note:

English

Summary:

This volume can be divided into two parts: a purely mathematical part with contributions on finance mathematics, interactions between geometry and physics and different areas of mathematics; another part on the popularization of mathematics and the situation of women in mathematics.

Contents:

CONTENTS; Preface; Introduction; 1 About the Organization European Women in Mathematics; Presentation of EWM ; History of the EWM office A brief history of the EWM office in Helsinki, 1991-2001 by Marjatta Naatanen; History of EWM meeting A brief account of the meeting since the 5th meeting in Luminy by Emilia Mezzetti and Sylvie Paycha; The 5th general EWM meeting - Luminy, 1991; The 6th general EWM meeting - Warsaw, 1993; The 7th general EWM meeting - Madrid, 1995; The 8th general EWM meeting - Trieste, 1997; The 9th general EWM meeting - Loccum, 1999

Report on EWM activities A report on activities since the 9th meeting in Loccum by Laura FainsilberAbout EWM proceedings The mathematical part of EWM meetings by Capi Corrales Rodriganez and Laura Tedeschini Lalli; 1. Before the meeting; 2. The lectures; 3. Writing and publishing the lectures; 4. Conclusions; 5. Other forms: Interdisciplinary workshops; 6. Poster Sessions; 2 Photo Gallery; 3 Contributions; 3.1 Mathematics applied to finance; Introduction by Francine Diener; Derivatives: a scientific revolution of the seventies by Francine Diener; 1. What are derivatives?; 2. Option pricing

2.1. The one step model: hedging portfolio2.2. The two steps model: dynamic hedging; 2.3. The CRR model: risk neutral probability; 3. Some remarks; 3.1. From the CRR to the BS model; 3.2. Hidden hypothesis of the model; 3.3. Disappearance of risk; References; Why heavy tails in financial series? Estimations and tests by Monique Pontier; 1. First attempt to fit Black-Scholes' model; 1.1. Estimations of b and cr; 1.2. Gaussian hypothesis; 2. Fractal structure?; 2.1.; 2.2. Stationnarity property; 2.3. Self-similarity hypothesis test; 3. Jumps and Gaussian laws; 3.1. Jumps detection

3.1.1. Application on real data3.2. Study of the series out of jumps; Acknowledgements; References; Portfolio optimization in finance by Nadine Bellamy; 1. Introduction; 1.1. The problem; 1.2. The criterions; 2. Mean- variance analysis in a discrete time model; Conclusion and remark; 3. Portfolio optimization by expected utility in discrete time models; 3.1. Utility functions; 3.2. The maximization problem; 3.3. Maximization problem in a one period model; 3.3.1. The model; 3.3.2. The maximization problem; 3.3.3. Direct method; 3.4. Lagrangian method; 3.4.1. The method

3.4.2. Back to problem (6)3.5. Dynamic programming; 3.5.1. Bellman's principle of optimality; 3.5.2. Example : dynamic programming in a deterministic case; 3.5.3. Dynamic programming in the probabilistic case; 4. Optimization in continuous-time models; 4.1. Martingale method and Lagrangian method; 4.2. The dynamic programming method; 4.3. An example of incomplete market : a discontinuous model; 5. Conclusion; References; Report on discussion on The ethics of using mathematics in finance by Francine Diener; 3.2 Geometry; 3.2.1 Cohomology theories: a useful tool in geometry

Introduction by Emilia Mezzetti and Sylvie Paycha

Notes:

Description based upon print version of record.

Includes bibliographical references.

ISBN:

1-281-90602-6

9786611906023

981-270-427-2

OCLC:

922951903