Recent Developments in Mathematical Finance

Released on by Jiongmin Yong
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  • Recent Developments in Mathematical Finance Book Detail

  • Author : Jiongmin Yong
  • Release Date : 2002
  • Publisher : World Scientific
  • Genre : Business & Economics
  • Pages : 286
  • ISBN 13 : 9812799575
  • File Size : 46,46 MB
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Recent Developments in Mathematical Finance by Jiongmin Yong PDF Summary

Book 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. Contents: Intensity-Based Valuation of Basket Credit Derivatives (T R Bielecki & M Rutkowski); Comonotonicity of Backward Stochastic Differential Equations (Z Chen & 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 & T Vorst); Risk: From Insurance to Finance (H Yang); Arbitrage Pricing Systems in a Market Driven by an It Process (S Luo et al.); and other papers. Readership: Graduate students and researchers in mathematical finance and economics.

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This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical

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The book deals with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultabl