Mathematics 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, editors

• Pubblicazione: Providence, Rhode Island : , : American Mathematical Society, , [2004]; ©2004
• Descrizione fisica: 1 online resource (414 p.)
• Disciplina: 332.6/01/51
• Soggetto topico: Business mathematics
• Persona (resp. second.): YinGeorge <1954->; ZhangQing <1959->
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: 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.
• Titolo autorizzato: Mathematics of Finance
• ISBN: 0-8218-7941-3; 0-8218-3412-6
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910788666703321
• Lo trovi qui: Univ. Federico II
• Serie: Contemporary mathematics, ; . 351. . 0271-4132