Mathematics of finance : proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance, June 22-26, 2003, Snowbird, Utah
著者
書誌事項
Mathematics of finance : proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance, June 22-26, 2003, Snowbird, Utah
（Contemporary mathematics, v. 351）
American Mathematical Society, c2004
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注記
Includes bibliographical references
内容説明・目次
内容説明
The mathematics of finance involves a wide spectrum of techniques that go beyond traditional applied mathematics. The field has witnessed a tremendous amount of progress in recent years, which has inspired communication and networking among researchers in finance, economics, engineering, and industry. This volume contains papers based on talks given at the first AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance held at Snowbird (UT). Topics covered here include modeling, estimation, optimization, control, risk assessment and management, contingent claim pricing, dynamic hedging, and financial derivative design. The book is suitable for graduate students and research mathematicians interested in mathematical finance.
目次
Credit barrier models in a discrete framework by C. Albanese and O. X. Chen Optimal derivatives design under dynamic risk measures by P. Barrieu and N. El Karoui On pricing of forward and futures contracts on zero-coupon bonds in the Cox-Ingersoll-Ross model by J. Bialkowski and J. Jakubowski Pricing and hedging of credit risk: Replication and mean-variance approaches (I) by T. R. Bielecki, M. Jeanblanc, and M. Rutkowski Pricing and Hedging of credit risk: Replication and mean-variance approaches (II) by T. R. Bielecki, M. Jeanblanc, and M. Rutkowski Spot convenience yield models for the energy markets by R. Carmona and M. Ludkovski Optimal portfolio management with consumption by N. Castaneda-Leyva and D. Hernandez-Hernandez Some processes associated with a fractional Brownian motion by T. E. Duncan Pricing claims on non tradable assets by R. J. Elliott and J. van der Hoek Some optimal investment, production and consumption models by W. H. Fleming Asian options under multiscale stochastic volatility by J.-P. Fouque and C.-H. Han A regime switching model: Statistical estimation, empirical evidence, and change point detection by X. Guo Multinomial maximum likelihood estimation of market parameters for stock jump-diffusion models by F. B. Hanson, J. J. Westman, and Z. Zhu Optimal terminal wealth under partial information for HMM stock returns by U. G. Haussmann and J. Sass Computing optimal selling rules for stocks using linear programming by K. Helmes Optimization of consumption and portfolio and minimization of volatility by Y. Hu Options: To buy or not to buy? by M. Jonsson and R. Sircar Risk sensitive optimal investment: Solutions of the dynamical programming equation by H. Kaise and S. J. Sheu Hedging default risk in an incomplete market by A. E. B. Lim Mean-variance portfolio choice with discontinuous asset prices and nonnegative wealth processes by A. E. B. Lim and X. Y. Zhou Indifference prices of early exercise claims by M. Musiela and T. Zariphopoulou Random walk around some problems in identification and stochastic adaptive control with applications to finance by B. Pasik-Duncan Pricing and Hedging for incomplete jump diffusion benchmark models by E. Platen Why is the effect of proportional transaction costs $O(\delta^{2/3})$? by L. C. G. Rogers Estimation via stochastic filtering in financial market models by W. J. Runggaldier Stochastic optimal control modeling of debt crises by J. L. Stein Duality and risk sensitive portfolio optimization by L. Stettner Characterizing option prices by linear programs by R. H. Stockbridge Pricing defaultable bond with regime switching by J. W. Wang and Q. Zhang Affine regime-switching models for interest rate term structure by S. Wu and Y. Zeng Stochastic approximation methods for some finance problems by G. Yin and Q. Zhang.
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