TY  - DATA
AU  - Yin George
AU  - Zhang Qing
TI  - Mathematics of finance: proceedings of an AMSIMSSIAM Joint Summer Research Conference on Mathematics of Finance, June 2226, 2003, Snowbird, Utah 
T2  - Contemporary mathematics 
SN  - 9780821879412 (online)
PY  - 2004///
CY  - Providence, R.I.
PB  - American Mathematical Society
KW  - Business mathematics
N1  - Includes bibliographical references; 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; 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
UR  - http://www.ams.org/conm/351/
ER  -