| 000 -LEADER |
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| fixed length control field |
03773nmm a2200181Ia 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
230306s9999||||xx |||||||||||||||||und|| |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9780821879412 (online) |
| 245 #0 - TITLE STATEMENT |
|---|
| Title |
Mathematics of finance : |
| Remainder of title |
proceedings of an AMSIMSSIAM Joint Summer Research Conference on Mathematics of Finance, June 2226, 2003, Snowbird, Utah |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. |
|---|
| Place of publication, distribution, etc. |
Providence, R.I. : |
| Name of publisher, distributor, etc. |
American Mathematical Society, |
| Date of publication, distribution, etc. |
c2004 |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
1 online resource (xii, 398 p. : ill.) |
| 490 ## - SERIES STATEMENT |
|---|
| Series statement |
Contemporary mathematics |
| Volume/sequential designation |
v. 351 |
| International Standard Serial Number |
10983627 |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
|---|
| Bibliography, etc. note |
Includes bibliographical references. |
| 505 ## - FORMATTED CONTENTS NOTE |
|---|
| Title |
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 |
| -- |
(\delta ^23) |
| -- |
; 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 |
| Statement of responsibility |
Claudio Albanese and Oliver X Chen ; Pauline Barrieu and Nicole El Karoui ; Jedrzej Biakowski and Jacek Jakubowski ; Tomasz R Bielecki Monique Jeanblanc and Marek Rutkowski ; Tomasz R Bielecki Monique Jeanblanc and Marek Rutkowski ; Rene Carmona and Michael Ludkovski ; Netzahualcoyotl CastanedaLeyva and Daniel HernandezHernandez ; T E Duncan ; Robert J Elliott and John van der Hoek ; Wendell H Fleming ; JeanPierre Fouque and ChuanHsiang Han ; Xin Guo ; Floyd B Hanson John J Westman and Zongwu Zhu ; Ulrich G Haussmann and Jorn Sass ; Kurt Helmes ; Yaozhong Hu ; Mattias Jonsson and Ronnie Sircar ; H Kaise and S J Sheu ; Andrew E B Lim ; Andrew E B Lim and Xun Yu Zhou ; Marek Musiela and Thaleia Zariphopoulou ; Bozenna PasikDuncan ; Eckhard Platen ; L C G Rogers ; Wolfgang J Runggaldier ; Jerome L Stein ; Lukasz Stettner ; Richard H Stockbridge ; J W Wang and Q Zhang ; Shu Wu and Yong Zeng ; G Yin and Q Zhang |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Business mathematics |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Yin George |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Zhang Qing |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
<a href="http://www.ams.org/conm/351/">http://www.ams.org/conm/351/</a> |
