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Mathematical Finance Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5–7, 2000
Title
Mathematical Finance [electronic resource] : Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5–7, 2000 / edited by Michael Kohlmann, Shanjian Tang.
ISBN
9783034882910
Publication
Basel : Birkhäuser Basel : Imprint: Birkhäuser, 2001.
Physical Description
1 online resource (374 p).
Local Notes
Access is available to the Yale community.
Access and use
Access restricted by licensing agreement.
Variant and related titles
Springer ENIN.
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Format
Books / Online
Language
English
Added to Catalog
April 03, 2019
Series
Trends in Mathematics,
Contents
Note: in the titles of co-authored papers the lecturer’s name is in bold face)
Preface
Participants
On-line portfolio strategy with prediction
Continuous time financial market, transaction cost and transaction intensity
Demand Heterogeneity and Price Volatility
Optimal default boundary in a discrete time setting
An Infinite Factor Model for the Interest Rate Derivatives
Arbitrage and Pricing with Collateral
On the existence of optimal controls for a singular stochastic control problem in finance
A Quadratic Approach To Interest Rates Models In Incomplete Markets
Risk Sensitive Asset Management: Two Empirical Examples
Bounded Variation Singular Stochastic Control and Associated Dynkin Game
Option Pricing and Hedging Under Regular Lévy Processes of Exponential Type
Installment Options and Static Hedging
Fractional Brownian Motion and Financial Modelling
Stochastic Volatility and Epsilon-Martingale Decomposition
Mutual Debts Compensation as Graph Theory Problem
First Steps to Stochastic Finance
Fractional Calculus and Continuous-Time Finance III: the Diffusion Limit
Passport Options Outside the Black Scholes World
New Developments in Backward Stochastic Riccati Equations and Their Applications
Quantile hedging for a jump-diffusion financial market model
Exponential formula and Girsanov theorem for mixed semilinear stochastic differential equations
An introduction to optimal consumption with partial observation
Continuous Time CAPM, Price for Risk and Utility Maximization
LQ control and mean—variance portfolio selections: The stochastic parameter case
Liquidity Risk in Energy Markets
Riccati Equation and Viscosity Solutions in Mean Variance Hedging
A Minimal Financial Market Model
A note on equivalent martingale measures with bounded density
Local optimality in the multi-dimensional multi-period mean-variance portfolio problem
Transaction Processes among Autonomous Traders
The Laplace transform approach to valuing exotic options: the case of the Asian option
Reversible Real Options
A Toolbox for Generalized Relative Entropies, EMM and Contingent Claim Valuation
Incremental Value-at-Risk: traps and misinterpretations
On option expected returns.
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