Recent Developments In Mathematical Finance - Proceedings Of The International Conference On Mathematical Finance
Will be published approx. on 3. January 2002
Book
Hardback
288 pages
978-981-02-4797-3 (ISBN)
Description
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.
More details
Language
English
Place of publication
Singapore
Singapore
Target group
College/higher education
Professional and scholarly
Product notice
Laminated cover
Dimensions
Height: 215 mm
Width: 164 mm
Thickness: 21 mm
Weight
531 gr
ISBN-13
978-981-02-4797-3 (9789810247973)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Person
Content
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)