Mathematical Finance: Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5–7, 2000: Trends in Mathematics
Editat de Michael Kohlmann, Tang Shanjianen Limba Engleză Hardback – iun 2001
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Paperback (1) | 898.31 lei 6-8 săpt. | |
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Birkhäuser Basel – iun 2001 | 907.86 lei 6-8 săpt. |
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Specificații
ISBN-13: 9783764365530
ISBN-10: 3764365536
Pagini: 380
Ilustrații: 374 p.
Dimensiuni: 155 x 235 x 26 mm
Greutate: 0.82 kg
Ediția:2001
Editura: Birkhäuser Basel
Colecția Birkhäuser
Seria Trends in Mathematics
Locul publicării:Basel, Switzerland
ISBN-10: 3764365536
Pagini: 380
Ilustrații: 374 p.
Dimensiuni: 155 x 235 x 26 mm
Greutate: 0.82 kg
Ediția:2001
Editura: Birkhäuser Basel
Colecția Birkhäuser
Seria Trends in Mathematics
Locul publicării:Basel, Switzerland
Public țintă
ResearchCuprins
Note: in the titles of co-authored papers the lecturer’s name is in bold face).- Preface.- Participants.- On-line portfolio strategy with prediction.- Continuous time financial market, transaction cost and transaction intensity.- Demand Heterogeneity and Price Volatility.- Optimal default boundary in a discrete time setting.- An Infinite Factor Model for the Interest Rate Derivatives.- Arbitrage and Pricing with Collateral.- On the existence of optimal controls for a singular stochastic control problem in finance.- A Quadratic Approach To Interest Rates Models In Incomplete Markets.- Risk Sensitive Asset Management: Two Empirical Examples.- Bounded Variation Singular Stochastic Control and Associated Dynkin Game.- Option Pricing and Hedging Under Regular Lévy Processes of Exponential Type.- Installment Options and Static Hedging.- Fractional Brownian Motion and Financial Modelling.- Stochastic Volatility and Epsilon-Martingale Decomposition.- Mutual Debts Compensation as Graph Theory Problem.- First Steps to Stochastic Finance.- Fractional Calculus and Continuous-Time Finance III: the Diffusion Limit.- Passport Options Outside the Black Scholes World.- New Developments in Backward Stochastic Riccati Equations and Their Applications.- Quantile hedging for a jump-diffusion financial market model.- Exponential formula and Girsanov theorem for mixed semilinear stochastic differential equations.- An introduction to optimal consumption with partial observation.- Continuous Time CAPM, Price for Risk and Utility Maximization.- LQ control and mean—variance portfolio selections: The stochastic parameter case.- Liquidity Risk in Energy Markets.- Riccati Equation and Viscosity Solutions in Mean Variance Hedging.- A Minimal Financial Market Model.- A note on equivalentmartingale measures with bounded density.- Local optimality in the multi-dimensional multi-period mean-variance portfolio problem.- Transaction Processes among Autonomous Traders.- The Laplace transform approach to valuing exotic options: the case of the Asian option.- Reversible Real Options.- A Toolbox for Generalized Relative Entropies, EMM and Contingent Claim Valuation.- Incremental Value-at-Risk: traps and misinterpretations.- On option expected returns.