| Description |
1 online resource (viii, 276 pages) : illustrations |
| Contents |
D. Heath and E. Platen -- Risk Sensitive Asset Management with Constrained -- iaing Strategies 127 -- T.R. Bielecki, D. Hernandez-Hernandez, and S.R. Pliska -- On Filtering in Markovian Term Structure Models 139 -- C. Chiarella, S. Pasquali, and W.J. Runggaldier -- A Theory of Volatility 151 -- A. Savine -- Discrete Time Markets with Transaction Costs 168 -- L. Stettner -- The Necessity of No Asymptotic Arbitrage in APT Pricing 181 -- X. Lin, X. Liu, and Y. Sun -- Financial Mean-Variance Problems and Stochastic LQ Problems: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations 190 -- S. Tang -- Options on Dividend Paying Stocks 204 -- R. Beneder and T. Vorst -- Some Remarks on Arbitrage Pricing Theory 218 -- J. Xia and J. Yan -- Risk: From Insurance to Finance 228 -- H. Yang -- Using Stochastic Approximation Algorithms in Stock Liquidation 238 -- G. Yin, Q. Zhang, and R.H. Liu -- Contingent Claims in an Illiquid Market 249 -- H. Liu and J. Yong -- Arbitrage Pricing Systems in a Market Driven by an Ito Process 263 -- S. Luo, J. Yan, and Q. Zhang -- Participants of the Conference 273 |
| Bibliography |
Includes bibliographical references |
| Notes |
Print version record |
| Subject |
Business mathematics -- Congresses.
|
| Genre/Form |
Conference papers and proceedings.
|
|
Conference papers and proceedings.
|
| Form |
Electronic book
|
| Author |
Yong, J. (Jiongmin), 1958-
|
| ISBN |
9789812799579 (electronic bk.) |
|
9812799575 (electronic bk.) |
|
