Contemporary Mathematics 2004; 398 pp; softcover Volume: 351 ISBN10: 0821834126 ISBN13: 9780821834121 List Price: US$109 Member Price: US$87.20 Order Code: CONM/351
 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 AMSIMSSIAM 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. Readership Graduate students and research mathematicians interested in the mathematics of finance. Table of Contents  C. Albanese and O. X. Chen  Credit barrier models in a discrete framework
 P. Barrieu and N. El Karoui  Optimal derivatives design under dynamic risk measures
 J. Białkowski and J. Jakubowski  On pricing of forward and futures contracts on zerocoupon bonds in the CoxIngersollRoss model
 T. R. Bielecki, M. Jeanblanc, and M. Rutkowski  Pricing and hedging of credit risk: Replication and meanvariance approaches (I)
 T. R. Bielecki, M. Jeanblanc, and M. Rutkowski  Pricing and Hedging of credit risk: Replication and meanvariance approaches (II)
 R. Carmona and M. Ludkovski  Spot convenience yield models for the energy markets
 N. CastañedaLeyva and D. HernándezHernández  Optimal portfolio management with consumption
 T. E. Duncan  Some processes associated with a fractional Brownian motion
 R. J. Elliott and J. van der Hoek  Pricing claims on non tradable assets
 W. H. Fleming  Some optimal investment, production and consumption models
 J.P. Fouque and C.H. Han  Asian options under multiscale stochastic volatility
 X. Guo  A regime switching model: Statistical estimation, empirical evidence, and change point detection
 F. B. Hanson, J. J. Westman, and Z. Zhu  Multinomial maximum likelihood estimation of market parameters for stock jumpdiffusion models
 U. G. Haussmann and J. Sass  Optimal terminal wealth under partial information for HMM stock returns
 K. Helmes  Computing optimal selling rules for stocks using linear programming
 Y. Hu  Optimization of consumption and portfolio and minimization of volatility
 M. Jonsson and R. Sircar  Options: To buy or not to buy?
 H. Kaise and S. J. Sheu  Risk sensitive optimal investment: Solutions of the dynamical programming equation
 A. E. B. Lim  Hedging default risk in an incomplete market
 A. E. B. Lim and X. Y. Zhou  Meanvariance portfolio choice with discontinuous asset prices and nonnegative wealth processes
 M. Musiela and T. Zariphopoulou  Indifference prices of early exercise claims
 B. PasikDuncan  Random walk around some problems in identification and stochastic adaptive control with applications to finance
 E. Platen  Pricing and Hedging for incomplete jump diffusion benchmark models
 L. C. G. Rogers  Why is the effect of proportional transaction costs \(O(\delta^{2/3})\)?
 W. J. Runggaldier  Estimation via stochastic filtering in financial market models
 J. L. Stein  Stochastic optimal control modeling of debt crises
 L. Stettner  Duality and risk sensitive portfolio optimization
 R. H. Stockbridge  Characterizing option prices by linear programs
 J. W. Wang and Q. Zhang  Pricing defaultable bond with regime switching
 S. Wu and Y. Zeng  Affine regimeswitching models for interest rate term structure
 G. Yin and Q. Zhang  Stochastic approximation methods for some finance problems
