Mathematics of finance : proceedings of an AMSIMSSIAM Joint Summer Research Conference on Mathematics of Finance, June 2226, 2003, Snowbird, Utah
- Providence, R.I. : American Mathematical Society, c2004
- 1 online resource (xii, 398 p. : ill.)
- Contemporary mathematics v. 351 10983627 .
Includes bibliographical references.
Estimation via stochastic filtering in financial market models ; Stochastic optimal control modeling of debt crises ; Duality and risk sensitive portfolio optimization ; Characterizing option prices by linear programs ; Pricing defaultable bond with regime switching ; Affine regimeswitching models for interest rate term structure ; Stochastic approximation methods for some finance problems a Credit barrier models in a discrete framework ; Optimal derivatives design under dynamic risk measures ; On pricing of forward and futures contracts on zerocoupon bonds in the CoxIngersollRoss model ; Pricing and hedging of credit risk: replication and meanvariance approaches. I ; Pricing and hedging of credit risk: replication and meanvariance approaches. II ; Spot convenience yield models for the energy markets ; Optimal portfolio management with consumption ; Some processes associated with a fractional Brownian motion ; Pricing claims on non tradable assets ; Some optimal investment, production and consumption models ; Asian options under multiscale stochastic volatility ; A regime switching model: statistical estimation, empirical evidence, and change point detection ; Multinomial maximum likelihood estimation of market parameters for stock jumpdiffusion models ; Optimal terminal wealth under partial information for HMM stock returns ; Computing optimal selling rules for stocks using linear programming ; Optimization of consumption and portfolio and minimization of volatility ; Options: to buy or not to buy? ; Risk sensitive optimal investment: solutions of the dynamical programming equation ; Hedging default risk in an incomplete market ; Meanvariance portfolio choice with discontinuous asset prices and nonnegative wealth processes ; Indifference prices of early exercise claims ; Random walk around some problems in identification and stochastic adaptive control with applications to finance ; Pricing and hedging for incomplete jump diffusion benchmark models ; Why is the effect of proportional transaction costs ; Estimation via stochastic filtering in financial market models ; Stochastic optimal control modeling of debt crises ; Duality and risk sensitive portfolio optimization ; Characterizing option prices by linear programs ; Pricing defaultable bond with regime switching ; Affine regimeswitching models for interest rate term structure ; Stochastic approximation methods for some finance problems t ; Estimation via stochastic filtering in financial market models ; Stochastic optimal control modeling of debt crises ; Duality and risk sensitive portfolio optimization ; Characterizing option prices by linear programs ; Pricing defaultable bond with regime switching ; Affine regimeswitching models for interest rate term structure ; Stochastic approximation methods for some finance problems r ; Estimation via stochastic filtering in financial market models ; Stochastic optimal control modeling of debt crises ; Duality and risk sensitive portfolio optimization ; Characterizing option prices by linear programs ; Pricing defaultable bond with regime switching ; Affine regimeswitching models for interest rate term structure ; Stochastic approximation methods for some finance problems g ; Estimation via stochastic filtering in financial market models ; Stochastic optimal control modeling of debt crises ; Duality and risk sensitive portfolio optimization ; Characterizing option prices by linear programs ; Pricing defaultable bond with regime switching ; Affine regimeswitching models for interest rate term structure ; Stochastic approximation methods for some finance problems u
9780821879412 (online)
Business mathematics
Includes bibliographical references.
Estimation via stochastic filtering in financial market models ; Stochastic optimal control modeling of debt crises ; Duality and risk sensitive portfolio optimization ; Characterizing option prices by linear programs ; Pricing defaultable bond with regime switching ; Affine regimeswitching models for interest rate term structure ; Stochastic approximation methods for some finance problems a Credit barrier models in a discrete framework ; Optimal derivatives design under dynamic risk measures ; On pricing of forward and futures contracts on zerocoupon bonds in the CoxIngersollRoss model ; Pricing and hedging of credit risk: replication and meanvariance approaches. I ; Pricing and hedging of credit risk: replication and meanvariance approaches. II ; Spot convenience yield models for the energy markets ; Optimal portfolio management with consumption ; Some processes associated with a fractional Brownian motion ; Pricing claims on non tradable assets ; Some optimal investment, production and consumption models ; Asian options under multiscale stochastic volatility ; A regime switching model: statistical estimation, empirical evidence, and change point detection ; Multinomial maximum likelihood estimation of market parameters for stock jumpdiffusion models ; Optimal terminal wealth under partial information for HMM stock returns ; Computing optimal selling rules for stocks using linear programming ; Optimization of consumption and portfolio and minimization of volatility ; Options: to buy or not to buy? ; Risk sensitive optimal investment: solutions of the dynamical programming equation ; Hedging default risk in an incomplete market ; Meanvariance portfolio choice with discontinuous asset prices and nonnegative wealth processes ; Indifference prices of early exercise claims ; Random walk around some problems in identification and stochastic adaptive control with applications to finance ; Pricing and hedging for incomplete jump diffusion benchmark models ; Why is the effect of proportional transaction costs ; Estimation via stochastic filtering in financial market models ; Stochastic optimal control modeling of debt crises ; Duality and risk sensitive portfolio optimization ; Characterizing option prices by linear programs ; Pricing defaultable bond with regime switching ; Affine regimeswitching models for interest rate term structure ; Stochastic approximation methods for some finance problems t ; Estimation via stochastic filtering in financial market models ; Stochastic optimal control modeling of debt crises ; Duality and risk sensitive portfolio optimization ; Characterizing option prices by linear programs ; Pricing defaultable bond with regime switching ; Affine regimeswitching models for interest rate term structure ; Stochastic approximation methods for some finance problems r ; Estimation via stochastic filtering in financial market models ; Stochastic optimal control modeling of debt crises ; Duality and risk sensitive portfolio optimization ; Characterizing option prices by linear programs ; Pricing defaultable bond with regime switching ; Affine regimeswitching models for interest rate term structure ; Stochastic approximation methods for some finance problems g ; Estimation via stochastic filtering in financial market models ; Stochastic optimal control modeling of debt crises ; Duality and risk sensitive portfolio optimization ; Characterizing option prices by linear programs ; Pricing defaultable bond with regime switching ; Affine regimeswitching models for interest rate term structure ; Stochastic approximation methods for some finance problems u
9780821879412 (online)
Business mathematics