Recent developments in mathematical finance International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 /
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| Format: | Electronic Conference Proceeding eBook |
| Language: | English |
| Published: |
Singapore ; River Edge, NJ :
World Scientific,
2002.
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| Online Access: | An electronic book accessible through the World Wide Web; click to view |
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Table of 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.