03959nam 2200565 450 991048042730332120181108230327.00-8218-7941-30-8218-3412-6(CKB)3240000000069877(EBL)3113310(SSID)ssj0000629376(PQKBManifestationID)11439206(PQKBTitleCode)TC0000629376(PQKBWorkID)10718453(PQKB)10400893(MiAaPQ)EBC3113310(PPN)197106781(EXLCZ)99324000000006987720040305h20042004 uy| 0engur|n|---|||||txtccrMathematics 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, editorsProvidence, Rhode Island :American Mathematical Society,[2004]©20041 online resource (414 p.)Contemporary mathematics ;351Description based upon print version of record.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""Contemporary mathematics (American Mathematical Society) ;v. 351.Business mathematicsCongressesElectronic books.Business mathematics332.6/01/51Yin George1954-Zhang Qing1959-MiAaPQMiAaPQMiAaPQBOOK9910480427303321Mathematics of Finance439207UNINA