An edition of Advances in mathematics of finance
(2008)
Advances in mathematics of finance
by Łukasz Stettner
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"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).
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Advances in mathematics of finance
2008, Polish Academy of Sciences, Institute of Mathematics
in English
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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.
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| 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 | import new book |