LEADER 03959nam 2200565 450 001 9910480427303321 005 20181108230327.0 010 $a0-8218-7941-3 010 $a0-8218-3412-6 035 $a(CKB)3240000000069877 035 $a(EBL)3113310 035 $a(SSID)ssj0000629376 035 $a(PQKBManifestationID)11439206 035 $a(PQKBTitleCode)TC0000629376 035 $a(PQKBWorkID)10718453 035 $a(PQKB)10400893 035 $a(MiAaPQ)EBC3113310 035 $a(PPN)197106781 035 $a(EXLCZ)993240000000069877 100 $a20040305h20042004 uy| 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aMathematics of finance $eproceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance, June 22-26, 2003, Snowbird, Utah /$fGeroge Yin, Qing Zhang, editors 210 1$aProvidence, Rhode Island :$cAmerican Mathematical Society,$d[2004] 210 4$dİ2004 215 $a1 online resource (414 p.) 225 1 $aContemporary mathematics ;$v351 300 $aDescription based upon print version of record. 320 $aIncludes bibliographical references. 327 $a""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"" 327 $a""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"" 327 $a""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"" 327 $a""Why is the Effect of Proportional Transaction Costs O(I??2/3)?""""Estimation via Stochastic Filtering in Financial Market Models""; ""Stochastic Optimal Control Modeling of Debt Crises""; ""Duality and Risk Sensitive Portfolio Optimization""; ""Characterizing Option Prices by Linear Programs""; ""Pricing Defaultable Bond with Regime Switching""; ""Affine Regime-Switching Models for Interest Rate Term Structure""; ""Stochastic Approximation Methods for Some Finance Problems"" 410 0$aContemporary mathematics (American Mathematical Society) ;$vv. 351. 606 $aBusiness mathematics$vCongresses 608 $aElectronic books. 615 0$aBusiness mathematics 676 $a332.6/01/51 702 $aYin$b George$f1954- 702 $aZhang$b Qing$f1959- 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910480427303321 996 $aMathematics of Finance$9439207 997 $aUNINA