An edition of Advances in mathematics of finance (2008)

Advances in mathematics of finance

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Advances in mathematics of finance
Łukasz Stettner, Łukasz Stettn ...
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Last edited by MARC Bot
November 30, 2023 | History
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An edition of Advances in mathematics of finance (2008)

Advances in mathematics of finance

by

"This volume contains 15 papers contributed by the participands of the 2nd General AMaMeF conference and Banach Center converence 'Advances in mathematics of finance' organized in Bȩdlewo, Poland from 30th April till 5th May, 2007. AMaMeF (Advances Mathematical Methods of Finance) is a scientific programme of the European Science Foundation for 2005-2010"--Preface (p. 5).

Publish Date
Publisher
Polish Academy of Sciences, Institute of Mathematics
Language
English
Pages
249

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Subjects

Mathematical models, Congresses, Finance, Advances Mathematical Methods of Finance

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Edition Availability
Cover of: Advances in mathematics of finance
Advances in mathematics of finance
2008, Polish Academy of Sciences, Institute of Mathematics
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Book Details

Table of Contents

Constrained portfolio liquidation in a limit order book model -- Aurélien Alfonsi, Antje Fruth, Alexander Schied
A stochastic overlapping generation model with a continuum of agents -- Emmanuelle Augeraud-Véron, Delphine David
Numerical solution of Black-Scholes option pricing with variable yield discrete dividend payment -- Rafael Company, Lucas Jódar, Enrique Ponsoda
Market completion using options -- Mark Davis, Jan Obłój
A pension fund in the accumulation phase: a stochastic control approach -- Salvatore Federico
Variational sensitivity analysis of parametric Markovian market models -- Norbert Hilber, Christoph Schwab, Christoph Winter
Optimal stopping with advanced information flow: selected examples -- Yaozhong Hu, Bernt Øksendal
Information, inflation, and interest -- Lane P. Hughston, Andrea Macrina
Laplace transform identities for diffusions, with applications to rebates and barrier options -- Hardy Hulley, Eckhard Platen
Pricing bonds and CDS in the model with rating migration induced by a Cox process -- Jacek Jakubowski, Mariusz Niewȩgłowski
Convergence of optimal strategies under proportional transaction costs -- Rafał Kucharski
Risk minimizing strategies for a portfolio of interest-rate securities -- Andrzej Palczewski
Local risk-minimization for multidimensional assets and payment streams -- Martin Schweizer
Discrete time infinite horizon risk sensitive portfolio selection with proportional transaction costs -- Łukasz Stettner
Exponential martingales and CIR model -- Wojciech Szatzschneider.

Edition Notes

International conference proceedings.

Includes bibliographical references.

Published in
Warszawa
Series
Banach Center publications -- v. 83, Banach Center publications -- v. 83

Classifications

Library of Congress
HF5691 .A38 2008, HF5691 .A483 2008

The Physical Object

Pagination
249 p. :
Number of pages
249

ID Numbers

Open Library
OL25002982M
LCCN
2010491152
OCLC/WorldCat
314429425

Source records

Library of Congress MARC record
Library of Congress MARC record
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Download catalog record: RDF / JSON / OPDS | Wikipedia citation
November 30, 2023 Edited by MARC Bot import existing book
December 26, 2022 Edited by MARC Bot import existing book
September 24, 2020 Edited by MARC Bot import existing book
October 20, 2011 Created by LC Bot Imported from Library of Congress MARC record