Recent developments in mathematical finance : International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 / / editor Jiongmin Yong.
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Year of Publication: | 2002 |
Language: | English |
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Physical Description: | viii, 276 p. :; ill. |
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International Conference on Mathematical Finance (2001 : Shanghai, China) Recent developments in mathematical finance [electronic resource] : International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 / editor Jiongmin Yong. Singapore ; River Edge, NJ : World Scientific, 2002. viii, 276 p. : ill. Includes bibliographical references. 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. Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries. Business mathematics Congresses. Electronic books. Yong, J. (Jiongmin), 1958- ProQuest (Firm) https://ebookcentral.proquest.com/lib/oeawat/detail.action?docID=1680999 Click to View |
language |
English |
format |
Electronic Conference Proceeding eBook |
author2 |
Yong, J. 1958- ProQuest (Firm) |
author_facet |
Yong, J. 1958- ProQuest (Firm) International Conference on Mathematical Finance Shanghai, China) ProQuest (Firm) |
author2_variant |
j y jy |
author2_fuller |
(Jiongmin), |
author2_role |
TeilnehmendeR TeilnehmendeR |
author_corporate |
International Conference on Mathematical Finance Shanghai, China) ProQuest (Firm) |
author_sort |
International Conference on Mathematical Finance Shanghai, China) |
title |
Recent developments in mathematical finance International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 / |
spellingShingle |
Recent developments in mathematical finance International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 / 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. |
title_sub |
International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 / |
title_full |
Recent developments in mathematical finance [electronic resource] : International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 / editor Jiongmin Yong. |
title_fullStr |
Recent developments in mathematical finance [electronic resource] : International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 / editor Jiongmin Yong. |
title_full_unstemmed |
Recent developments in mathematical finance [electronic resource] : International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 / editor Jiongmin Yong. |
title_auth |
Recent developments in mathematical finance International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 / |
title_new |
Recent developments in mathematical finance |
title_sort |
recent developments in mathematical finance international conference on mathematical finance, shanghai, china, 10-13 may 2001 / |
publisher |
World Scientific, |
publishDate |
2002 |
physical |
viii, 276 p. : ill. |
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. |
callnumber-first |
H - Social Science |
callnumber-subject |
HF - Commerce |
callnumber-label |
HF5691 |
callnumber-sort |
HF 45691 I565 42002 |
genre |
Electronic books. |
genre_facet |
Congresses. Electronic books. |
url |
https://ebookcentral.proquest.com/lib/oeawat/detail.action?docID=1680999 |
illustrated |
Illustrated |
dewey-hundreds |
300 - Social sciences |
dewey-tens |
330 - Economics |
dewey-ones |
332 - Financial economics |
dewey-full |
332.63/2/0151 |
dewey-sort |
3332.63 12 3151 |
dewey-raw |
332.63/2/0151 |
dewey-search |
332.63/2/0151 |
oclc_num |
879024768 |
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Recent developments in mathematical finance International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 / |
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