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003 | RPAM | ||
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007 | cr/||||||||||| | ||
008 | 140929s2004 riua ob 100 0 eng | ||
020 | _a9780821879412 (online) | ||
040 |
_aDLC _cDLC _dDLC _dRPAM |
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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 |
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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 |
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942 |
_2EBK11633 _cEBK |
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999 |
_c40927 _d40927 |