Yong J. (Ed.) Recent Developments in Mathematical Finance: Proceedings of the International Conference on Mathematical Finance

World Scientific Pub Co Inc – 2002, 286 pages
ISBN: 9810247974, 978-810247973An exploration of developments in mathematical finance. It constitutes the proceedings of the International Conference on Mathematical Finance held in Shanghai in May 2001. The papers deal with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, and more. They also reflect on some developments in certain important aspects of mathematical finance.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 Itô Process (S Luo et al.)
and other papers