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020			_z9810247974
035			_a(CaPaEBR)ebr10255822
035			_a(OCoLC)260368298
040			_aCaPaEBR _cCaPaEBR
050	1	4	_aHF5691 _b.I565 2002eb
082	0	4	_a332.63/2/0151 _221
111	2		_aInternational Conference on Mathematical Finance _d(2001 : _cShanghai, China)
245	1	0	_aRecent developments in mathematical finance _h[electronic resource] : _bInternational Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 / _ceditor Jiongmin Yong.
260			_aSingapore ; _aRiver Edge, NJ : _bWorld Scientific, _c2002.
300			_aviii, 276 p. : _bill.
504			_aIncludes bibliographical references.
505	8		_aMachine generated contents note: Preface v -- Dynamic Asset Management: Risk Sensitive Criterion with Nonnegative Factors Constraints 1 -- A. Bagchi and K. S. Kumar -- Intensity-Based Valuation of Basket Credit Derivatives 12 -- T. R. Bielecki and M. Rutkowski -- Comonotonicity of Backward Stochastic Differential Equations 28 -- Z. Chen and X. Wang -- Some Lookback Option Pricing Problems 39 -- X. Guo -- Option Pricing in a Market Where the Volatility Is Driven by Fractional Brownian Motions 49 -- Y. Hu -- Optimal Investment and Consumption with Fixed and Proportional Transaction Costs 60 -- H. Liu -- Sharp Estimates of Ruin Probabilities for Insurance Models Involving Investments 72 -- J. Ma and X. Sun -- Risk-Sensitive Optimal Investment Problems with Partial Information on Infinite Time Horizon 85 -- H. Nagai and S. Peng -- Filtration Consistent Nonlinear Expectations 99 -- F. Coquet, Y. Hu, J. Memin, and S. Peng -- Pricing and Hedging of Index Derivatives under an Alternative Asset Price Model with Endogenous -- Stochastic Volatility 117 -- D. Heath and E. Platen -- Risk Sensitive Asset Management with Constrained -- iaing Strategies 127 -- T. R. Bielecki, D. Hernandez-Hernandez, and S. R. Pliska -- On Filtering in Markovian Term Structure Models 139 -- C. Chiarella, S. Pasquali, and W. J. Runggaldier -- A Theory of Volatility 151 -- A. Savine -- Discrete Time Markets with Transaction Costs 168 -- L. Stettner -- The Necessity of No Asymptotic Arbitrage in APT Pricing 181 -- X. Lin, X. Liu, and Y. Sun -- Financial Mean-Variance Problems and Stochastic LQ Problems: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations 190 -- S. Tang -- Options on Dividend Paying Stocks 204 -- R. Beneder and T. Vorst -- Some Remarks on Arbitrage Pricing Theory 218 -- J. Xia and J. Yan -- Risk: From Insurance to Finance 228 -- H. Yang -- Using Stochastic Approximation Algorithms in Stock Liquidation 238 -- G. Yin, Q. Zhang, and R. H. Liu -- Contingent Claims in an Illiquid Market 249 -- H. Liu and J. Yong -- Arbitrage Pricing Systems in a Market Driven by an Ito Process 263 -- S. Luo, J. Yan, and Q. Zhang -- Participants of the Conference 273.
533			_aElectronic reproduction. _bPalo Alto, Calif. : _cebrary, _d2013. _nAvailable via World Wide Web. _nAccess may be limited to ebrary affiliated libraries.
650		0	_aBusiness mathematics _vCongresses.
655		7	_aElectronic books. _2local
700	1		_aYong, J. _q(Jiongmin), _d1958-
710	2		_aebrary, Inc.
856	4	0	_uhttp://site.ebrary.com/lib/daystar/Doc?id=10255822 _zAn electronic book accessible through the World Wide Web; click to view
908			_a170314
942	0	0	_cEB
999			_c92672 _d92672