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Mathematical finance : Workshop of the Mathematical Finance Research Project, Konstaz, Germany, October 5-7, 2000

Mathematical finance : Workshop of the Mathematical Finance Research Project, Konstaz, Germany, October 5-7, 2000 (Loan 1 times)

Material type
단행본
Personal Author
Kohlmann, M. (Michael) Tang, Shanjian.
Title Statement
Mathematical finance : Workshop of the Mathematical Finance Research Project, Konstaz, Germany, October 5-7, 2000 / Michael Kohlmann, Shanjian Tang, editors.
Publication, Distribution, etc
Basel ;   Boston :   Birkhauser Verlag,   c2001.  
Physical Medium
374 p. : ill. ; 24 cm.
Series Statement
Trends in mathematics
ISBN
3764365536 (alk. paper) 0817665536 (alk. paper)
Bibliography, Etc. Note
Includes bibliographical references.
Subject Added Entry-Topical Term
Finance -- Mathematical models -- Congresses.
000 01077camuu2200289 a 4500
001 000000755337
005 20020218134156
008 010308s2001 sq a b 100 0 eng
010 ▼a ?01025663
020 ▼a 3764365536 (alk. paper)
020 ▼a 0817665536 (alk. paper)
040 ▼a DLC ▼c DLC ▼d 211009
042 ▼a pcc
049 1 ▼l 111198066
050 0 0 ▼a HG63 ▼b .W658 2000
082 0 0 ▼a 332/.01/51 ▼2 21
090 ▼a 332.0151 ▼b W926m
111 2 ▼a Workshop of the Mathematical Finance Research Project ▼d (2000 : ▼c Konstanz, Germany)
245 1 0 ▼a Mathematical finance : ▼b Workshop of the Mathematical Finance Research Project, Konstaz, Germany, October 5-7, 2000 / ▼c Michael Kohlmann, Shanjian Tang, editors.
260 ▼a Basel ; ▼a Boston : ▼b Birkhauser Verlag, ▼c c2001.
300 ▼a 374 p. : ▼b ill. ; ▼c 24 cm.
440 0 ▼a Trends in mathematics
504 ▼a Includes bibliographical references.
650 0 ▼a Finance ▼x Mathematical models ▼v Congresses.
700 1 ▼a Kohlmann, M. ▼q (Michael)
700 1 ▼a Tang, Shanjian.

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/Western Books/ Call Number 332.0151 W926m Accession No. 111198066 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of Contents

Note: in the titles of co-authored papers the lecturer's name is in bold face).- Preface.- Participants.- On-line portfolio strategy with prediction.- Continuous time financial market, transaction cost and transaction intensity.- Demand Heterogeneity and Price Volatility.- Optimal default boundary in a discrete time setting.- An Infinite Factor Model for the Interest Rate Derivatives.- Arbitrage and Pricing with Collateral.- On the existence of optimal controls for a singular stochastic control problem in finance.- A Quadratic Approach To Interest Rates Models In Incomplete Markets.- Risk Sensitive Asset Management: Two Empirical Examples.- Bounded Variation Singular Stochastic Control and Associated Dynkin Game.- Option Pricing and Hedging Under Regular Levy Processes of Exponential Type.- Installment Options and Static Hedging.- Fractional Brownian Motion and Financial Modelling.- Stochastic Volatility and Epsilon-Martingale Decomposition.- Mutual Debts Compensation as Graph Theory Problem.- First Steps to Stochastic Finance.- Fractional Calculus and Continuous-Time Finance III: the Diffusion Limit.- Passport Options Outside the Black Scholes World.- New Developments in Backward Stochastic Riccati Equations and Their Applications.- Quantile hedging for a jump-diffusion financial market model.- Exponential formula and Girsanov theorem for mixed semilinear stochastic differential equations.- An introduction to optimal consumption with partial observation.- Continuous Time CAPM, Price for Risk and Utility Maximization.- LQ control and mean-variance portfolio selections: The stochastic parameter case.- Liquidity Risk in Energy Markets.- Riccati Equation and Viscosity Solutions in Mean Variance Hedging.- A Minimal Financial Market Model.- A note on equivalent martingale measures with bounded density.- Local optimality in the multi-dimensional multi-period mean-variance portfolio problem.- Transaction Processes among Autonomous Traders.- The Laplace transform approach to valuing exotic options: the case of the Asian option.- Reversible Real Options.- A Toolbox for Generalized Relative Entropies, EMM and Contingent Claim Valuation.- Incremental Value-at-Risk: traps and misinterpretations.- On option expected returns.


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