Mathematical finance : Workshop of the Mathematical Finance Research Project, Konstaz, Germany, October 5-7, 2000 / Michael Kohlmann, Shanjian Tang, editors.
Saved in:
| Published: |
Boston :
Birkhauser Verlag,
2001.
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| Series: | Trends in mathematics
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| Format: | Conference Proceeding Book |
Table of Contents:
- On-line portfolio strategy with prediction / Sergio Albeverio, LanJun Lao and XueLei Zhao
- Continuous time financial market, transaction cost and transaction intensity / Sergio Albeverio, LanJun Lao and XueLei Zhao
- Demand Heterogeneity and Price Volatility / D. R. Alexander and E. E. Haven
- Optimal default boundary in a discrete time setting / Agata Altieri and Tiziano Vargiolu
- An Infinite Factor Model for the Interest Rate Derivatives / Arunabha Bagchi and K. Suresh Kumar
- Arbitrage and Pricing with Collateral / Jose Fajardo Barbachan
- On the existence of optimal controls for a singular stochastic control problem in finance / Fred E. Benth, Kenneth H. Karlsen and Kristin Reikvam
- A Quadratic Approach to Interest Rates Models In Incomplete Markets / Francesca Biagini
- Risk Sensitive Asset Management: Two Empirical Examples / T. Bielecki, A. Harris and J. Li / [et al.]
- Bounded Variation Singular Stochastic Control and Associated Dynkin Game / Frederik Boetius
- Option Pricing and Hedging Under Regular Levy Processes of Exponential Type / Svetlana I. Boyarchenko and Sergei Z. Levendorskii
- Installment Options and Static Hedging / Mark H. A. Davis, Walter Schachermayer and Robert G. Tompkins
- Fractional Brownian Motion and Financial Modelling / R. J. Elliott and J. van der Hoek
- Stochastic Volatility and Epsilon-Martingale Decomposition / Jean-Pierre Fouque, George Papanicolaou and Ronnie Sircar
- Mutual Debts Compensation as Graph Theory Problem / Vladmir Gazda
- First Steps to Stochastic Finance / Hans-Joachim Girlich
- Fractional Calculus and Continuous-Time Finance III: the Diffusion Limit / Rudolf Gorenflo, Francesco Mainardi and Enrico Scalas / [et al.]
- Passport Options Outside the Black Scholes World / Vicky Henderson
- New Developments in Backward Stochastic Riccati Equations and Their Applications / Michael Kohlmann and Shanjian Tang
- Quantile hedging for a jump-diffusion financial market model / R. N. Krutchenko and A. V. Melnikov
- Exponential formula and Girsanov theorem for mixed semilinear stochastic differential equations / Yuriy Krvavych and Yuliya Mishura
- An introduction to optimal consumption with partial observation / D. Lefevre, B. Oksendal and Agnes Sulem
- Continuous Time CAPM, Price for Risk and Utility Maximization / Johannes Leitner
- LQ control and mean-variance portfolio selections: The stochastic parameter case / Andrew E. B. Lim and Xun Yu Zhou
- Liquidity Risk in Energy Markets / S. Nagornii and G. Dozeman
- Riccati Equation and Viscosity Solutions in Mean Variance Hedging / Bernhard Peisl
- A Minimal Financial Market Model / Eckhard Platen
- A note on equivalent martingale measures with bounded density / Miklos Rasonyi
- Local optimality in the multi-dimensional multi-period mean-variance portfolio problem / Manfred Schal
- Transaction Processes among Autonomous Traders / Julia Schmelz
- The Laplace transform approach to valuing exotic options: the case of the Asian option / Michael Schroder
- Reversible Real Options / Mark Shackleton and Rafal Wojakowski
- A Toolbox for Generalized Relative Entropies, EMM and Contingent Claim Valuation / Wolfgang Stummer
- Incremental Value-at-Risk: traps and misinterpretations / Luisa Tibiletti
- On option expected returns / Rafal Wojakowski and Mark Shackleton.
