LEADER 04815nam 2200529 450 001 9910828845903321 005 20220818060935.0 010 $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(RPAM)13512532 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 $eproceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance, June 22-26, 2003, Snowbird, Utah /$fGeorge 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$x0271-4132 300 $aDescription based upon print version of record. 320 $aIncludes bibliographical references. 327 $tCredit barrier models in a discrete framework /$rClaudio Albanese and Oliver X. Chen --$tOptimal derivatives design under dynamic risk measures /$rPauline Barrieu and Nicole El Karoui --$tOn pricing of forward and futures contracts on zero-coupon bonds in the Cox-Ingersoll-Ross model /$rJedrzej Bialkowski and Jacek Jakubowski --$tPricing and hedging of credit risk : replication and mean-variance approaches (I) /$rTomasz R. Bielecki, Monique Jeanblanc and Marek Rutkowski --$tPricing and hedging of credit risk : replication and mean-variance approaches (II) /$rTomasz R. Bielecki, Monique Jeanblanc and Marek Rutkowski --$tSpot convenience yield models for the energy markets /$rRene Carmona and Michael Ludkovski --$tOptimal portfolio management with consumption /$rNetzahualcoyotl Castaneda-Leyva and Daniel Hernandez-Hernandez --$tSome processes associated with a fractional Brownian motion /$rT. E. Duncan --$tPricing claims on non tradable assets /$rRobert J. Elliott and John van der Hoek --$tSome optimal investment, production and consumption models /$rWendell H. Fleming --$tAsian options under multiscale stochastic volatility /$rJean-Pierre Fouque and Chuan-Hsiang Han --$tA regime switching model : statistical estimation, empirical evidence, and change point detection /$rXin Guo --$tMultinomial maximum likelihood estimation of market parameters for stock jump-diffusion models /$rFloyd B. Hanson, John J. Westman and Zongwu Zhu --$tOptimal terminal wealth under partial information for HMM stock returns /$rUlrich G. Haussmann and Jorn Sass --$tComputing optimal selling rules for stocks using linear programming /$rKurt Helmes --$tOptimization of consumption and portfolio and minimization of volatility /$rYaozhong Hu --$tOptions : to buy or not to buy? /$rMattias Jonsson and Ronnie Sircar --$tRisk sensitive optimal investment : solutions of the dynamical programming equation /$rH. Kaise and S. J. Sheu --$tHedging default risk in an incomplete market /$rAndrew E. B. Lim --$tMean-variance portfolio choice with discontinuous asset prices and nonnegative wealth processes /$rAndrew E. B. Lim and Xun Yu Zhou --$tIndifference prices of early exercise claims /$rMarek Musiela and Thaleia Zariphopoulou --$tRandom walk around some problems in identification and stochastic adaptive control with applications to finance /$rBozenna Pasik-Duncan --$tPricing and hedging for incomplete jump diffusion benchmark models /$rEckhard Platen --$tWhy is the effect of proportional transaction costs O([delta][superscript 2/3])? /$rL. C. G. Rogers --$tEstimation via stochastic filtering in financial market models /$rWolfgang J. Runggaldier --$tStochastic optimal control modeling of debt crises /$rJerome L. Stein --$tDuality and risk sensitive portfolio optimization /$rLukasz Stettner --$tCharacterizing option prices by linear programs /$rRichard H. Stockbridge --$tPricing defaultable bond with regime switching /$rJ. W. Wang and Q. Zhang --$tAffine regime-switching models for interest rate term structure /$rShu Wu and Yong Zeng --$tStochastic approximation methods for some finance problems /$rG. Yin and Q. Zhang. 410 0$aContemporary mathematics,$v. 351.$x0271-4132 606 $aBusiness mathematics$vCongresses 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 $a9910828845903321 996 $aMathematics of Finance$9439207 997 $aUNINA