UID:
almahu_9947552203102882
Format:
1 online resource (xii, 398 p. : ill.)
Edition:
Electronic reproduction. Providence, Rhode Island : American Mathematical Society. 2012
ISBN:
9780821879412 (online)
Series Statement:
Contemporary mathematics, v. 351
Note:
Credit barrier models in a discrete framework /
,
Optimal derivatives design under dynamic risk measures /
,
On pricing of forward and futures contracts on zero-coupon bonds in the Cox-Ingersoll-Ross model /
,
Pricing and hedging of credit risk: replication and mean-variance approaches. I /
,
Pricing and hedging of credit risk: replication and mean-variance approaches. II /
,
Spot convenience yield models for the energy markets /
,
Optimal portfolio management with consumption /
,
Some processes associated with a fractional Brownian motion /
,
Pricing claims on non tradable assets /
,
Some optimal investment, production and consumption models /
,
Asian options under multiscale stochastic volatility /
,
A regime switching model: statistical estimation, empirical evidence, and change point detection /
,
Multinomial maximum likelihood estimation of market parameters for stock jump-diffusion models /
,
Optimal terminal wealth under partial information for HMM stock returns /
,
Computing optimal selling rules for stocks using linear programming /
,
Optimization of consumption and portfolio and minimization of volatility /
,
Options: to buy or not to buy? /
,
Risk sensitive optimal investment: solutions of the dynamical programming equation /
,
Hedging default risk in an incomplete market /
,
Mean-variance portfolio choice with discontinuous asset prices and nonnegative wealth processes /
,
Indifference prices of early exercise claims /
,
Random walk around some problems in identification and stochastic adaptive control with applications to finance /
,
Pricing and hedging for incomplete jump diffusion benchmark models /
,
Why is the effect of proportional transaction costs $O(\delta ^{2/3})$? /
,
Estimation via stochastic filtering in financial market models /
,
Stochastic optimal control modeling of debt crises /
,
Duality and risk sensitive portfolio optimization /
,
Characterizing option prices by linear programs /
,
Pricing defaultable bond with regime switching /
,
Affine regime-switching models for interest rate term structure /
,
Stochastic approximation methods for some finance problems /
,
Mode of access : World Wide Web
Additional Edition:
Print version: Mathematics of finance : ISSN 0271-4132 ISBN 9780821834121
Language:
English
Keywords:
Electronic books.
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