04815nam 2200529 450 991082884590332120220818060935.00-8218-7941-30-8218-3412-6(CKB)3240000000069877(EBL)3113310(SSID)ssj0000629376(PQKBManifestationID)11439206(PQKBTitleCode)TC0000629376(PQKBWorkID)10718453(PQKB)10400893(MiAaPQ)EBC3113310(RPAM)13512532(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 /George Yin, Qing Zhang, editorsProvidence, Rhode Island :American Mathematical Society,[2004]©20041 online resource (414 p.)Contemporary mathematics,3510271-4132Description based upon print version of record.Includes bibliographical references.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 /Jedrzej Bialkowski 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 /Rene Carmona and Michael Ludkovski --Optimal portfolio management with consumption /Netzahualcoyotl Castaneda-Leyva and Daniel Hernandez-Hernandez --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 Jorn 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][superscript 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.Contemporary mathematics,. 351.0271-4132Business mathematicsCongressesBusiness mathematics332.6/01/51Yin George1954-Zhang Qing1959-MiAaPQMiAaPQMiAaPQBOOK9910828845903321Mathematics of Finance439207UNINA