Recent developments in mathematical finance
Subtitle: International Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001
By: editor Jiongmin Yong.
Contributors: Yong, J. 1958-
Publisher: World Scientific
Published: 2002
Place of publication: Singapore; River Edge, NJ
Language: eng
Number of pages: 276
Subjects: Business mathematics -- Congresses.
Genres: Congresses.
Notes: Includes bibliographical references.
Table of contents: title: Machine generated contents note: Preface v; title: Dynamic Asset Management: Risk Sensitive Criterion with Nonnegative Factors Constraints 1; title: A. Bagchi and K. S. Kumar; title: Intensity-Based Valuation of Basket Credit Derivatives 12; title: T. R. Bielecki and M. Rutkowski; title: Comonotonicity of Backward Stochastic Differential Equations 28; title: Z. Chen and X. Wang; title: Some Lookback Option Pricing Problems 39; title: X. Guo; title: Option Pricing in a Market Where the Volatility Is Driven by Fractional Brownian Motions 49; title: Y. Hu; title: Optimal Investment and Consumption with Fixed and Proportional Transaction Costs 60; title: H. Liu; title: Sharp Estimates of Ruin Probabilities for Insurance Models Involving Investments 72; title: J. Ma and X. Sun; title: Risk-Sensitive Optimal Investment Problems with Partial Information on Infinite Time Horizon 85; title: H. Nagai and S. Peng; title: Filtration Consistent Nonlinear Expectations 99; title: F. Coquet, Y. Hu, J. Memin, and S. Peng; title: Pricing and Hedging of Index Derivatives under an Alternative Asset Price Model with Endogenous; title: Stochastic Volatility 117; title: D. Heath and E. Platen; title: Risk Sensitive Asset Management with Constrained; title: iaing Strategies 127; title: T. R. Bielecki, D. Hernandez-Hernandez, and S. R. Pliska; title: On Filtering in Markovian Term Structure Models 139; title: C. Chiarella, S. Pasquali, and W. J. Runggaldier; title: A Theory of Volatility 151; title: A. Savine; title: Discrete Time Markets with Transaction Costs 168; title: L. Stettner; title: The Necessity of No Asymptotic Arbitrage in APT Pricing 181; title: X. Lin, X. Liu, and Y. Sun; title: Financial Mean-Variance Problems and Stochastic LQ Problems: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations 190; title: S. Tang; title: Options on Dividend Paying Stocks 204; title: R. Beneder and T. Vorst; title: Some Remarks on Arbitrage Pricing Theory 218; title: J. Xia and J. Yan; title: Risk: From Insurance to Finance 228; title: H. Yang; title: Using Stochastic Approximation Algorithms in Stock Liquidation 238; title: G. Yin, Q. Zhang, and R. H. Liu; title: Contingent Claims in an Illiquid Market 249; title: H. Liu and J. Yong; title: Arbitrage Pricing Systems in a Market Driven by an Ito Process 263; title: S. Luo, J. Yan, and Q. Zhang; title: Participants of the Conference 273.