Recent developments in mathematical finance : International Conference on Mathematical Finance : Shanghai, China, 10-13 May 2001
著者
書誌事項
Recent developments in mathematical finance : International Conference on Mathematical Finance : Shanghai, China, 10-13 May 2001
World Scientific, c2002
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注記
Includes bibliographical references
内容説明・目次
内容説明
The book deals with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, etc. It also reflects on some recent developments in certain important aspects of mathematical finance.
目次
- Intensity-based valuation of basket credit derivatives, T.R. Bielecki and M. Rutkowski
- comonotonicity of backward stochastic differential equations, Z. Chen and X. Wang
- some lookback option pricing problems, X. Guo
- optimal investment and consumption with fixed and proportional transaction costs, H. Liu
- filtration consistent nonlinear expectations, F. Coquet et al
- a theory of volatility, A. Savine
- discrete time markets with transaction costs, L. Stettner
- options on dividend paying stocks, R. Beneder and T. Vorst
- risk - from insurance to finance, H. Yang
- arbitrage pricing systems in a market driven by an Ito process, S. Luo et al. (Part contents)
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