Recent Developments in Mathematical Finance
Editor
- Jiongmin Yong(Fudan University, China)
Abstract
Individual chapters are listed in the "Chapters" tab
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Book Chapters
The following chapters of this book are listed in IDEAS- Arunabha Bagchi & K. Suresh Kumar, 2001. "Dynamic Asset Management: Risk Sensitive Criterion with Nonnegative Factors Constraints," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 1, pages 1-11, World Scientific Publishing Co. Pte. Ltd..
- Tomasz R. Bielecki & Marek Rutkowski, 2001. "Intensity-Based Valuation of Basket Credit Derivatives," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 2, pages 12-27, World Scientific Publishing Co. Pte. Ltd..
- Zengjing Chen & Xiangrong Wang, 2001. "Comonotonicity of Backward Stochastic Differential Equations," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 3, pages 28-38, World Scientific Publishing Co. Pte. Ltd..
- Xin Guo, 2001. "Some Lookback Option Pricing Problems," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 4, pages 39-48, World Scientific Publishing Co. Pte. Ltd..
- Yaozhong Hu, 2001. "Option Pricing in a Market Where the Volatility Is Driven by Fractional Brownian Motions," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 5, pages 49-59, World Scientific Publishing Co. Pte. Ltd..
- Hong Liu, 2001. "Optimal Investment and Consumption with Fixed and Proportional Transaction Costs," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 6, pages 60-71, World Scientific Publishing Co. Pte. Ltd..
- Jin Ma & Xiaodong Sun, 2001. "Sharp Estimates of Ruin Probabilities for Insurance Models Involving Investments," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 7, pages 72-84, World Scientific Publishing Co. Pte. Ltd..
- Hideo Nagai & Shige Peng, 2001. "Risk-Sensitive Optimal Investment Problems with Partial Information on Infinite Time Horizon," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 8, pages 85-98, World Scientific Publishing Co. Pte. Ltd..
- François Coquet & Ying Hu & Jean Mémin & Shige Peng, 2001. "Filtration Consistent Nonlinear Expectations," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 9, pages 99-116, World Scientific Publishing Co. Pte. Ltd..
- David Heath & Eckhard Platen, 2001. "Pricing and Hedging of Index Derivatives under an Alternative Asset Price Model with Endogenous Stochastic Volatility," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 10, pages 117-126, World Scientific Publishing Co. Pte. Ltd..
- Tomasz R. Bielecki & Daniel Hernandez-Hernandez & Stanley R. Pliska, 2001. "Risk Sensitive Asset Management With Constrained Trading Strategies," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 11, pages 127-138, World Scientific Publishing Co. Pte. Ltd..
- Carl Chiarella & Sara Pasquali & Wolfgang J. Runggaldier, 2001. "On Filtering in Markovian Term Structure Models," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 12, pages 139-150, World Scientific Publishing Co. Pte. Ltd..
- Antoine Savine, 2001. "A Theory of Volatility," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 13, pages 151-167, World Scientific Publishing Co. Pte. Ltd..
- Lukasz Stettner, 2001. "Discrete Time Markets with Transaction Costs," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 14, pages 168-180, World Scientific Publishing Co. Pte. Ltd..
- Xiaoai Lin & Xia Liu & Yeneng Sun, 2001. "The Necessity of No Asymptotic Arbitrage in APT Pricing," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 15, pages 181-189, World Scientific Publishing Co. Pte. Ltd..
- Shanjian Tang, 2001. "Financial Mean-Variance Problems and Stochastic LQ Problems: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 16, pages 190-203, World Scientific Publishing Co. Pte. Ltd..
- Reimer Beneder & Ton Vorst, 2001. "Options on Dividend Paying Stocks," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 17, pages 204-217, World Scientific Publishing Co. Pte. Ltd..
- Jianming Xia & Jia-An Yan, 2001. "Some Remarks on Arbitrage Pricing Theory," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 18, pages 218-227, World Scientific Publishing Co. Pte. Ltd..
- Hailiang Yang, 2001. "Risk: From Insurance to Finance," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 19, pages 228-237, World Scientific Publishing Co. Pte. Ltd..
- G. Yin & Q. Zhang & R.H. Liu, 2001. "Using Stochastic Approximation Algorithms in Stock Liquidation," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 20, pages 238-248, World Scientific Publishing Co. Pte. Ltd..
- Hong Liu & Jiongmin Yong, 2001. "Contingent Claims in an Illiquid Market," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 21, pages 249-262, World Scientific Publishing Co. Pte. Ltd..
- Shunlong Luo & Jia-an Yan & Qiang Zhang, 2001. "Arbitrage Pricing Systems in a Market Driven by an Itô Process," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 22, pages 263-271, World Scientific Publishing Co. Pte. Ltd..
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Keywords
Proceedings; Conference; Mathematical Finance; Shanghai (China);All these keywords.
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