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008 140929s2004 riua ob 100 0 eng
020 _a9780821879412 (online)
040 _aDLC
_cDLC
_dDLC
_dRPAM
050 0 0 _aHF5691
_b.A63 2003
082 0 0 _a332.6/01/51
_222
111 2 _aAMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance
_d(2003 :
_cSnowbird, Utah)
245 1 0 _aMathematics of finance :
_h[electronic resource]
_bproceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance, June 22-26, 2003, Snowbird, Utah /
_cGeroge Yin, Qing Zhang, editors.
260 _aProvidence, R.I. :
_bAmerican Mathematical Society,
_cc2004.
300 _a1 online resource (xii, 398 p. : ill.)
490 1 _aContemporary mathematics,
_x0271-4132 (print);
_x1098-3627 (online);
_vv. 351
504 _aIncludes bibliographical references.
505 0 0 _tCredit barrier models in a discrete framework /
_rClaudio Albanese and Oliver X. Chen --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06388
_tOptimal derivatives design under dynamic risk measures /
_rPauline Barrieu and Nicole El Karoui --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06389
_tOn pricing of forward and futures contracts on zero-coupon bonds in the Cox-Ingersoll-Ross model /
_rJ�edrzej Bia�kowski and Jacek Jakubowski --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06390
_tPricing and hedging of credit risk: replication and mean-variance approaches. I /
_rTomasz R. Bielecki, Monique Jeanblanc and Marek Rutkowski --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06391
_tPricing and hedging of credit risk: replication and mean-variance approaches. II /
_rTomasz R. Bielecki, Monique Jeanblanc and Marek Rutkowski --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06392
_tSpot convenience yield models for the energy markets /
_rRen�e Carmona and Michael Ludkovski --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06393
_tOptimal portfolio management with consumption /
_rNetzahualc�oyotl Casta�neda-Leyva and Daniel Hern�andez-Hern�andez --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06394
_tSome processes associated with a fractional Brownian motion /
_rT. E. Duncan --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06395
_tPricing claims on non tradable assets /
_rRobert J. Elliott and John van der Hoek --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06396
_tSome optimal investment, production and consumption models /
_rWendell H. Fleming --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06397
_tAsian options under multiscale stochastic volatility /
_rJean-Pierre Fouque and Chuan-Hsiang Han --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06398
_tA regime switching model: statistical estimation, empirical evidence, and change point detection /
_rXin Guo --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06399
_tMultinomial maximum likelihood estimation of market parameters for stock jump-diffusion models /
_rFloyd B. Hanson, John J. Westman and Zongwu Zhu --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06400
_tOptimal terminal wealth under partial information for HMM stock returns /
_rUlrich G. Haussmann and J�orn Sass --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06401
_tComputing optimal selling rules for stocks using linear programming /
_rKurt Helmes --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06402
_tOptimization of consumption and portfolio and minimization of volatility /
_rYaozhong Hu --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06403
_tOptions: to buy or not to buy? /
_rMattias Jonsson and Ronnie Sircar --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06404
_tRisk sensitive optimal investment: solutions of the dynamical programming equation /
_rH. Kaise and S. J. Sheu --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06405
_tHedging default risk in an incomplete market /
_rAndrew E. B. Lim --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06406
_tMean-variance portfolio choice with discontinuous asset prices and nonnegative wealth processes /
_rAndrew E. B. Lim and Xun Yu Zhou --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06407
_tIndifference prices of early exercise claims /
_rMarek Musiela and Thaleia Zariphopoulou --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06408
_tRandom walk around some problems in identification and stochastic adaptive control with applications to finance /
_rBozenna Pasik-Duncan --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06409
_tPricing and hedging for incomplete jump diffusion benchmark models /
_rEckhard Platen --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06410
_tWhy is the effect of proportional transaction costs $O(\delta ^{2/3})$? /
_rL. C. G. Rogers --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06411
_tEstimation via stochastic filtering in financial market models /
_rWolfgang J. Runggaldier --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06412
_tStochastic optimal control modeling of debt crises /
_rJerome L. Stein --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06413
_tDuality and risk sensitive portfolio optimization /
_rLukasz Stettner --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06414
_tCharacterizing option prices by linear programs /
_rRichard H. Stockbridge --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06415
_tPricing defaultable bond with regime switching /
_rJ. W. Wang and Q. Zhang --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06416
_tAffine regime-switching models for interest rate term structure /
_rShu Wu and Yong Zeng --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06417
_tStochastic approximation methods for some finance problems /
_rG. Yin and Q. Zhang --
_uhttp://www.ams.org/conm/351/
_uhttp://dx.doi.org/10.1090/conm/351/06418
506 1 _aAccess is restricted to licensed institutions
533 _aElectronic reproduction.
_bProvidence, Rhode Island :
_cAmerican Mathematical Society.
_d2012
538 _aMode of access : World Wide Web
588 _aDescription based on print version record.
650 0 _aBusiness mathematics
_vCongresses.
700 1 _aYin, George,
_d1954-
700 1 _aZhang, Qing,
_d1959-
776 0 _iPrint version:
_tMathematics of finance :
_w(DLC) 2004046167
_x0271-4132
_z9780821834121
786 _dAmerican Mathematical Society
830 0 _aContemporary mathematics (American Mathematical Society) ;
_vv. 351.
856 4 _3Contents
_uhttp://www.ams.org/conm/351/
856 4 _3Contents
_uhttp://dx.doi.org/10.1090/conm/351
942 _2EBK11633
_cEBK
999 _c40927
_d40927