Mathematics of finance : proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance, June 22-26, 2003, Snowbird, Utah
Geroge Yin, Qing Zhang, editors
| Extent: | Online-Ressource (xii, 398 p) ill |
|---|---|
| Series: | Contemporary mathematics ; 351 |
| Conferences: | AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance ; (Snowbird, Utah) : 2003 |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Includes bibliographical references ""Contents""; ""Preface""; ""List of Speakers and Title of Talks""; ""Credit Barrier Models in a Discrete Framework""; ""Optimal Derivatives Design under Dynamic Risk Measures""; ""On Pricing of Forward and Futures Contracts on Zero-Coupon Bonds in the Cox-Ingersoll-Ross Model""; ""Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches (I)""; ""Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches (II)""; ""Spot Convenience Yield Models for the Energy Markets""; ""Optimal Portfolio Management with Consumption"" ""Some Processes Associated with a Fractional Brownian Motion""""Pricing Claims on Non Tradable Assets""; ""Some Optimal Investment, Production and Consumption Models""; ""Asian Options under Multiscale Stochastic Volatility""; ""A Regime Switching Model: Statistical Estimation, Empirical Evidence, and Change Point Detection""; ""Multinomial Maximum Likelihood Estimation of Market Parameters for Stock Jump-Diffusion Models""; ""Optimal Terminal Wealth under Partial Information for HMM Stock Returns""; ""Computing Optimal Selling Rules for Stocks Using Linear Programming"" ""Optimization of Consumption and Portfolio and Minimization of Volatility""""Options: To Buy or not to Buy?""; ""Risk Sensitive Optimal Investment: Solutions of the Dynamical Programming Equation""; ""Hedging Default Risk in an Incomplete Market""; ""Mean-Variance Portfolio Choice with Discontinuous Asset Prices and Nonnegative Wealth Processes""; ""Indifference Prices of Early Exercise Claims""; ""Random Walk around Some Problems in Identification and Stochastic Adaptive Control with Applications to Finance""; ""Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models"" ""Why is the Effect of Proportional Transaction Costs O(Î?2/3)?""""Estimation via Stochastic Filtering in Financial Market Models""; ""Stochastic Optimal Control Modeling of Debt Crises""; ""Duality and Risk Sensitive Portfolio Optimization""; ""Characterizing Option Prices by Linear Programs""; ""Pricing Defaultable Bond with Regime Switching""; ""Affine Regime-Switching Models for Interest Rate Term Structure""; ""Stochastic Approximation Methods for Some Finance Problems"" Credit barrier models in a discrete framework / Claudio Albanese and Oliver X. Chen Optimal derivatives design under dynamic risk measures / Pauline Barrieu and Nicole El Karoui On pricing of forward and futures contracts on zero-coupon bonds in the Cox-Ingersoll-Ross model / Jȩdrzej Białkowski and Jacek Jakubowski Pricing and hedging of credit risk: replication and mean-variance approaches. I / Tomasz R. Bielecki, Monique Jeanblanc and Marek Rutkowski Pricing and hedging of credit risk: replication and mean-variance approaches. II / Tomasz R. Bielecki, Monique Jeanblanc and Marek Rutkowski Spot convenience yield models for the energy markets / René Carmona and Michael Ludkovski Optimal portfolio management with consumption / Netzahualcóyotl Castañeda-Leyva and Daniel Hernández-Hernández Some processes associated with a fractional Brownian motion / T. E. Duncan Pricing claims on non tradable assets / Robert J. Elliott and John van der Hoek Some optimal investment, production and consumption models / Wendell H. Fleming Asian options under multiscale stochastic volatility / Jean-Pierre Fouque and Chuan-Hsiang Han A regime switching model: statistical estimation, empirical evidence, and change point detection / Xin Guo Multinomial maximum likelihood estimation of market parameters for stock jump-diffusion models / Floyd B. Hanson, John J. Westman and Zongwu Zhu Optimal terminal wealth under partial information for HMM stock returns / Ulrich G. Haussmann and Jörn Sass Computing optimal selling rules for stocks using linear programming / Kurt Helmes Optimization of consumption and portfolio and minimization of volatility / Yaozhong Hu Options: to buy or not to buy? / Mattias Jonsson and Ronnie Sircar Risk sensitive optimal investment: solutions of the dynamical programming equation / H. Kaise and S. J. Sheu Hedging default risk in an incomplete market / Andrew E. B. Lim Mean-variance portfolio choice with discontinuous asset prices and nonnegative wealth processes / Andrew E. B. Lim and Xun Yu Zhou Indifference prices of early exercise claims / Marek Musiela and Thaleia Zariphopoulou Random walk around some problems in identification and stochastic adaptive control with applications to finance / Bozenna Pasik-Duncan Pricing and hedging for incomplete jump diffusion benchmark models / Eckhard Platen Why is the effect of proportional transaction costs $O(\delta {̂2/3})$? / L. C. G. Rogers Estimation via stochastic filtering in financial market models / Wolfgang J. Runggaldier Stochastic optimal control modeling of debt crises / Jerome L. Stein Duality and risk sensitive portfolio optimization / Lukasz Stettner Characterizing option prices by linear programs / Richard H. Stockbridge Pricing defaultable bond with regime switching / J. W. Wang and Q. Zhang Affine regime-switching models for interest rate term structure / Shu Wu and Yong Zeng Stochastic approximation methods for some finance problems / G. Yin and Q. Zhang |
| ISBN: | 978-0-8218-7941-2 ; 0-8218-5686-3 ; 0-8218-7941-3 ; 0-8218-3412-6 ; 978-0-8218-5686-4 ; 978-0-8218-7941-2 ; 978-0-8218-3412-1 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012679040