Recent Developments in Mathematical Finance

Edited by Jiongmin Yong

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: 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.

Keywords: Proceedings; Conference; Mathematical Finance; Shanghai (China) (search for similar items in EconPapers)
Date: 2001
ISBN: 9789810247973
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https://www.worldscientific.com/worldscibooks/10.1142/4852 (text/html)
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Chapters in this book:

Ch 1 Dynamic Asset Management: Risk Sensitive Criterion with Nonnegative Factors Constraints , pp 1-11

Arunabha Bagchi and K. Suresh Kumar

Ch 2 Intensity-Based Valuation of Basket Credit Derivatives , pp 12-27

Tomasz R. Bielecki and Marek Rutkowski

Ch 3 Comonotonicity of Backward Stochastic Differential Equations , pp 28-38

Zengjing Chen and Xiangrong Wang

Ch 4 Some Lookback Option Pricing Problems , pp 39-48

Xin Guo

Ch 5 Option Pricing in a Market Where the Volatility Is Driven by Fractional Brownian Motions , pp 49-59

Yaozhong Hu

Ch 6 Optimal Investment and Consumption with Fixed and Proportional Transaction Costs , pp 60-71

Hong Liu

Ch 7 Sharp Estimates of Ruin Probabilities for Insurance Models Involving Investments , pp 72-84

Jin Ma and Xiaodong Sun

Ch 8 Risk-Sensitive Optimal Investment Problems with Partial Information on Infinite Time Horizon , pp 85-98

Hideo Nagai and Shige Peng

Ch 9 Filtration Consistent Nonlinear Expectations , pp 99-116

François Coquet, Ying Hu, Jean Mémin and Shige Peng

Ch 10 Pricing and Hedging of Index Derivatives under an Alternative Asset Price Model with Endogenous Stochastic Volatility , pp 117-126

David Heath and Eckhard Platen

Ch 11 Risk Sensitive Asset Management With Constrained Trading Strategies , pp 127-138

Tomasz R. Bielecki, Daniel Hernandez-Hernandez and Stanley R. Pliska

Ch 12 On Filtering in Markovian Term Structure Models , pp 139-150

Carl Chiarella, Sara Pasquali and Wolfgang J. Runggaldier

Ch 13 A Theory of Volatility , pp 151-167

Antoine Savine

Ch 14 Discrete Time Markets with Transaction Costs , pp 168-180

Lukasz Stettner

Ch 15 The Necessity of No Asymptotic Arbitrage in APT Pricing , pp 181-189

Xiaoai Lin, Xia Liu and Yeneng Sun

Ch 16 Financial Mean-Variance Problems and Stochastic LQ Problems: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations , pp 190-203

Shanjian Tang

Ch 17 Options on Dividend Paying Stocks , pp 204-217

Reimer Beneder and Ton Vorst

Ch 18 Some Remarks on Arbitrage Pricing Theory , pp 218-227

Jianming Xia and Jia-An Yan

Ch 19 Risk: From Insurance to Finance , pp 228-237

Hailiang Yang

Ch 20 Using Stochastic Approximation Algorithms in Stock Liquidation , pp 238-248

G. Yin, Q. Zhang and R.H. Liu

Ch 21 Contingent Claims in an Illiquid Market , pp 249-262

Hong Liu and Jiongmin Yong

Ch 22 Arbitrage Pricing Systems in a Market Driven by an Itô Process , pp 263-271

Shunlong Luo, Jia-an Yan and Qiang Zhang

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