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TitleMathematical Finance [electronic resource] : Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5-7, 2000 / edited by Michael Kohlmann, Shanjian Tang
ImprintBasel : Birkhรคuser Basel : Imprint: Birkhรคuser, 2001
Connect tohttp://dx.doi.org/10.1007/978-3-0348-8291-0
Descript 374 p. online resource

CONTENT

Note: in the titles of co-authored papers the lecturerโ{128}{153}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 Lรฉvy 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 meanโ{128}{148}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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