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[null,"1.","Record Nr.",null,"UNINA9910480427303321"]
[null,null,"Titolo",null,"Mathematics 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, editors"]
[null,null,"Pubbl/distr/stampa",null,"Providence, Rhode Island : , : American Mathematical Society, , [2004]"]
[{"$nulls":4},"©2004"]
[null,null,"ISBN",null,"0-8218-7941-3"]
[{"$nulls":4},"0-8218-3412-6"]
[null,null,"Descrizione fisica",null,"1 online resource (414 p.)"]
[null,null,"Collana",null,"Contemporary mathematics ; ; 351"]
[null,null,"Disciplina",null,"332.6/01/51"]
[null,null,"Soggetti",null,"Business mathematics"]
[{"$nulls":4},"Electronic books."]
[null,null,"Lingua di pubblicazione",null,"Inglese"]
[null,null,"Formato",null,"Materiale a stampa"]
[null,null,null,"Livello bibliografico","Monografia"]
[null,null,null,"Note generali","Description based upon print version of record."]
[null,null,null,"Nota di bibliografia","Includes bibliographical references."]
[null,null,"Nota di contenuto",null,"\"\"Contents\"\"; \"\"Preface\"\"; \"\"List of Speakers and Title of Talks\"\"; \"\"Credit Barrier Models in a Discrete Framework\"\"; \"\"Optimal Derivatives Design under Dynamic Risk Measures\"\"; \"\"On Pricing of Forward and Futures Contracts on Zero-Coupon Bonds in the Cox-Ingersoll-Ross Model\"\"; \"\"Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches (I)\"\"; \"\"Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches (II)\"\"; \"\"Spot Convenience Yield Models for the Energy Markets\"\"; \"\"Optimal Portfolio Management with Consumption\"\""]
[{"$nulls":4},"\"\"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\"\""]
[{"$nulls":4},"\"\"Optimization of Consumption and Portfolio and Minimization of Volatility\"\"\"\"Options: To Buy or not to Buy?\"\"; \"\"Risk Sensitive Optimal Investment: Solutions of the Dynamical Programming Equation\"\"; \"\"Hedging Default Risk in an Incomplete Market\"\"; \"\"Mean-Variance "]
[{"$nulls":4},"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\"\""]
[{"$nulls":4},"\"\"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\"\""]