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1. |
Record Nr. |
UNINA9910454066103321 |
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Titolo |
Recent developments in mathematical finance [[electronic resource] ] : International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 / / editor Jiongmin Yong |
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Pubbl/distr/stampa |
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Singapore ; ; River Edge, NJ, : World Scientific, 2002 |
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ISBN |
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1-281-94836-5 |
9786611948368 |
981-279-957-5 |
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Descrizione fisica |
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1 online resource (288p. ) : illustrations |
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Altri autori (Persone) |
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Disciplina |
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Soggetti |
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Business mathematics |
Electronic books. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Bibliographic Level Mode of Issuance: Monograph |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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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 |
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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. |
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Sommario/riassunto |
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An exploration of developments in mathematical finance, containing the proceedings of a conference on the subject. The papers address the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, and more. |
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2. |
Record Nr. |
UNINA9910959022503321 |
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Autore |
Ghura Dhaneshwar |
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Titolo |
Oil and Growth in the Republic of Congo / / Dhaneshwar Ghura, Rina Bhattacharya |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2006 |
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ISBN |
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9786613825766 |
9781462394197 |
1462394191 |
9781452797564 |
1452797560 |
9781283513319 |
1283513315 |
9781451989229 |
1451989229 |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (41 p.) |
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Collana |
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Altri autori (Persone) |
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Soggetti |
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Petroleum - Democratic Republic of the Congo |
Oil industries - Democratic Republic of the Congo |
Agricultural and Natural Resource Economics |
Currency |
Energy: Demand and Supply |
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Energy: General |
Environmental and Ecological Economics: General |
Environmental management |
Foreign Exchange |
Foreign exchange |
Industries: Energy |
Investment & securities |
Investments: Energy |
Macroeconomics |
Natural Resources |
Natural resources |
Nonrenewable Resources and Conservation: General |
Oil prices |
Oil sector |
Oil |
Petroleum industry and trade |
Petroleum, oil & gas industries |
Prices |
Real effective exchange rates |
Congo, Democratic Republic of the |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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""Contents""; ""I. INTRODUCTION""; ""II. POLITICAL AND SECURITY SITUATION ""; ""III. ECONOMIC PERFORMANCE SINCE 1970""; ""IV. THE ROLE OF OIL IN CONGO""; ""V. NATURAL RESOURCES AND GROWTH""; ""VI. EMPIRICAL ANALYSIS OF THE DETERMINANTS OF ECONOMIC GROWTH""; ""VII. REAL EFFECTIVE EXCHANGE RATE DETERMINANTS""; ""VIII. CONCLUSIONS AND POLICY IMPLICATIONS""; ""List of Acronyms""; ""References"" |
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Sommario/riassunto |
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This paper investigates the linkages between oil and growth in Congo, where there appears to be no evidence of direct spillover effects. The empirical results suggest however that political instability has a negative effect on non-oil growth, and that the presence of oil could have fueled political instability by being associated with weakening institutions. The results also show that fiscal discipline is beneficial for growth. In addition, there are strong linkages between world oil prices and the real effective exchange rate, with movements in the latter having important indirect repercussions for growth. |
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