Recent Developments In Mathematical Finance - Proceedings Of The International Conference On Mathematical Finance

Inbunden, Engelska, 2002

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Beskrivning

The book deals with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, etc. It also reflects on some recent developments in certain important aspects of mathematical finance.

Produktinformation

Utgivningsdatum:2002-01-03
Mått:164 x 215 x 21 mm
Vikt:531 g
Format:Inbunden
Språk:Engelska
Förlag:World Scientific Publishing Co Pte Ltd
ISBN:9789810247973

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Innehållsförteckning

Intensity-based valuation of basket credit derivatives, T.R. Bielecki and M. Rutkowski; comonotonicity of backward stochastic differential equations, Z. Chen and X. Wang; some lookback option pricing problems, X. Guo; optimal investment and consumption with fixed and proportional transaction costs, H. Liu; filtration consistent nonlinear expectations, F. Coquet et al; a theory of volatility, A. Savine; discrete time markets with transaction costs, L. Stettner; options on dividend paying stocks, R. Beneder and T. Vorst; risk - from insurance to finance, H. Yang; arbitrage pricing systems in a market driven by an Ito process, S. Luo et al. (Part contents)