04725nam 2200565 a 450 991078228000332120240206153039.01-281-94836-59786611948368981-279-957-5(CKB)1000000000537945(StDuBDS)AH24685473(SSID)ssj0000233764(PQKBManifestationID)11220592(PQKBTitleCode)TC0000233764(PQKBWorkID)10233877(PQKB)10165920(MiAaPQ)EBC1680999(WSP)00004852(Au-PeEL)EBL1680999(CaPaEBR)ebr10255822(CaONFJC)MIL194836(OCoLC)879024768(EXLCZ)99100000000053794520020708d2002 uy 0engur|||||||||||txtccrRecent developments in mathematical finance[electronic resource] International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 /editor Jiongmin YongSingapore ;River Edge, NJ World Scientific20021 online resource (288p. )illustrationsBibliographic Level Mode of Issuance: Monograph981-02-4797-4 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.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.An exploration of developments in mathematical finance. It constitutes the proceedings of the International Conference on Mathematical Finance held in Shanghai in May 2001. The papers deal with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, and more. They also reflect on some developments in certain important aspects of mathematical finance.Business mathematicsCongressesBusiness mathematics332.63/2/0151Yong J(Jiongmin),1958-57163International Conference on Mathematical FinanceMiAaPQMiAaPQMiAaPQBOOK9910782280003321Recent developments in mathematical finance3831338UNINA