000			03773nmm a2200181Ia 4500
008			230306s9999||||xx |||||||||||||||||und||
020			_a9780821879412 (online)
245		0	_aMathematics of finance : _bproceedings of an AMSIMSSIAM Joint Summer Research Conference on Mathematics of Finance, June 2226, 2003, Snowbird, Utah
260			_aProvidence, R.I. : _bAmerican Mathematical Society, _cc2004
300			_a1 online resource (xii, 398 p. : ill.)
490			_aContemporary mathematics _vv. 351 _x10983627
504			_aIncludes bibliographical references.
505			_tCredit 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 _O(\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 _rClaudio 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			_aBusiness mathematics
700			_aYin George
700			_aZhang Qing
856			_uhttp://www.ams.org/conm/351/
999			_c28768 _d28768