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Mathematics of Finance
About this Title
George Yin and Qing Zhang, Editors
Publication: Contemporary Mathematics
Publication Year:
2004; Volume 351
ISBNs: 978-0-8218-3412-1 (print); 978-0-8218-7941-2 (online)
DOI: https://doi.org/10.1090/conm/351
MathSciNet review: 2070911
ReadershipTable of Contents
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Front/Back Matter
Articles
- Claudio Albanese and Oliver X. Chen – Credit barrier models in a discrete framework [MR 2076286]
- Pauline Barrieu and Nicole El Karoui – Optimal derivatives design under dynamic risk measures [MR 2076287]
- Jȩdrzej Białkowski and Jacek Jakubowski – On pricing of forward and futures contracts on zero-coupon bonds in the Cox-Ingersoll-Ross model [MR 2076288]
- Tomasz R. Bielecki, Monique Jeanblanc and Marek Rutkowski – Pricing and hedging of credit risk: replication and mean-variance approaches. I [MR 2076289]
- Tomasz R. Bielecki, Monique Jeanblanc and Marek Rutkowski – Pricing and hedging of credit risk: replication and mean-variance approaches. II [MR 2076530]
- René Carmona and Michael Ludkovski – Spot convenience yield models for the energy markets [MR 2076531]
- Netzahualcóyotl Castañeda-Leyva and Daniel Hernández-Hernández – Optimal portfolio management with consumption [MR 2076532]
- T. E. Duncan – Some processes associated with a fractional Brownian motion [MR 2076533]
- Robert J. Elliott and John van der Hoek – Pricing claims on non tradable assets [MR 2076534]
- Wendell H. Fleming – Some optimal investment, production and consumption models [MR 2076535]
- Jean-Pierre Fouque and Chuan-Hsiang Han – Asian options under multiscale stochastic volatility [MR 2076536]
- Xin Guo – A regime switching model: statistical estimation, empirical evidence, and change point detection [MR 2076537]
- Floyd B. Hanson, John J. Westman and Zongwu Zhu – Multinomial maximum likelihood estimation of market parameters for stock jump-diffusion models [MR 2076538]
- Ulrich G. Haussmann and Jörn Sass – Optimal terminal wealth under partial information for HMM stock returns [MR 2076539]
- Kurt Helmes – Computing optimal selling rules for stocks using linear programming [MR 2076540]
- Yaozhong Hu – Optimization of consumption and portfolio and minimization of volatility [MR 2076541]
- Mattias Jonsson and Ronnie Sircar – Options: to buy or not to buy? [MR 2076542]
- H. Kaise and S. J. Sheu – Risk sensitive optimal investment: solutions of the dynamical programming equation [MR 2076543]
- Andrew E. B. Lim – Hedging default risk in an incomplete market [MR 2076544]
- Andrew E. B. Lim and Xun Yu Zhou – Mean-variance portfolio choice with discontinuous asset prices and nonnegative wealth processes [MR 2076545]
- Marek Musiela and Thaleia Zariphopoulou – Indifference prices of early exercise claims [MR 2076546]
- Bozenna Pasik-Duncan – Random walk around some problems in identification and stochastic adaptive control with applications to finance [MR 2076547]
- Eckhard Platen – Pricing and hedging for incomplete jump diffusion benchmark models [MR 2076548]
- L. C. G. Rogers – Why is the effect of proportional transaction costs $O(\delta ^{2/3})$? [MR 2076549]
- Wolfgang J. Runggaldier – Estimation via stochastic filtering in financial market models [MR 2076550]
- Jerome L. Stein – Stochastic optimal control modeling of debt crises [MR 2076551]
- Lukasz Stettner – Duality and risk sensitive portfolio optimization [MR 2076552]
- Richard H. Stockbridge – Characterizing option prices by linear programs [MR 2076553]
- J. W. Wang and Q. Zhang – Pricing defaultable bond with regime switching [MR 2076554]
- Shu Wu and Yong Zeng – Affine regime-switching models for interest rate term structure [MR 2076555]
- G. Yin and Q. Zhang – Stochastic approximation methods for some finance problems [MR 2076556]