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LEADER: 02868cam a2200253Ia 4500
001 011945352-5
005 20090424090637.0
008 090312s2008 pl a b 100 0 eng c
035 0 $aocn314429425
040 $aUIU$cUIU$dOHX
245 00 $aAdvances in mathematics of finance /$ceditor of the volume: Łukasz Stettner.
260 $aWarszawa :$bPolish Academy of Sciences, Institute of Mathematics,$cc2008.
300 $a249 p. :$bill. ;$c25 cm.
440 0 $aBanach Center publications,$x0137-6934 ;$vv. 83
500 $aInternational conference proceedings.
504 $aIncludes bibliographical references.
505 00 $tConstrained portfolio liquidation in a limit order book model /$rAurélien Alfonsi, Antje Fruth, Alexander Schied --$tA stochastic overlapping generation model with a continuum of agents /$rEmmanuelle Augeraud-Véron, Delphine David --$tNumerical solution of Black-Scholes option pricing with variable yield discrete dividend payment /$rRafael Company, Lucas Jódar, Enrique Ponsoda --$tMarket completion using options /$rMark Davis, Jan Obłój --$tA pension fund in the accumulation phase: a stochastic control approach /$rSalvatore Federico --$tVariational sensitivity analysis of parametric Markovian market models /$rNorbert Hilber, Christoph Schwab, Christoph Winter --$tOptimal stopping with advanced information flow: selected examples /$rYaozhong Hu, Bernt Øksendal --$tInformation, inflation, and interest /$rLane P. Hughston, Andrea Macrina --$tLaplace transform identities for diffusions, with applications to rebates and barrier options /$rHardy Hulley, Eckhard Platen --$tPricing bonds and CDS in the model with rating migration induced by a Cox process /$rJacek Jakubowski, Mariusz Niewȩgłowski --$tConvergence of optimal strategies under proportional transaction costs /$rRafał Kucharski --$tRisk minimizing strategies for a portfolio of interest-rate securities /$rAndrzej Palczewski --$tLocal risk-minimization for multidimensional assets and payment streams /$rMartin Schweizer --$tDiscrete time infinite horizon risk sensitive portfolio selection with proportional transaction costs /$rŁukasz Stettner --$tExponential martingales and CIR model /$rWojciech Szatzschneider.
520 $a"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).
650 0 $aFinance$xMathematical models$vCongresses.
610 20 $aAdvances Mathematical Methods of Finance$vCongresses.
700 1 $aStettner, Łukasz.
710 2 $aStefan Banach International Mathematical Center.
988 $a20090424
906 $0OCLC