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Mathematical Finance : Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5-7, 2000 - Michael Kohlmann

Mathematical Finance

Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5-7, 2000

By: Michael Kohlmann (Editor), Tang Shanjian (Editor)


Published: 1st June 2001
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The year 2000 is the centenary year of the publication of Bachelier's thesis which - together with Harry Markovitz Ph.D. dissertation on portfolio selection in 1952 and Fischer Black's and Myron Scholes' solution of an option pricing problem in 1973 - is considered as the starting point of modern finance as a mathematical discipline. On this remarkable anniversary the workshop on mathematical finance held at the University of Konstanz brought together practitioners, economists and mathematicians to discuss the state of the art. Apart from contributions to the known discrete, Brownian, and L‚vy process models, first attempts to describe a market in a reasonable way by a fractional Brownian motion model are presented, opening many new aspects for practitioners and new problems for mathematicians. As most dynamical financial problems are stochastic filtering or control problems many talks presented adaptations of control methods and techniques to the classical financial problems in . portfolio selection . irreversible investment . risk sensitive asset allocation . capital asset pricing . hedging contingent claims . option pricing . interest rate theory. The contributions of practitioners link the theoretical results to the steadily increasing flow of real world problems from financial institutions into mathematical laboratories. The present volume reflects this exchange of theoretical and applied results, methods and techniques that made the workshop a fruitful contribution to the interdisciplinary work in mathematical finance.

Prefacep. 5
Table of Contentsp. 7
Participantsp. 11
On-line portfolio strategy with predictionp. 19
Continuous time financial market, transaction cost and transaction intensityp. 29
Demand Heterogeneity and Price Volatilityp. 40
Optimal default boundary in a discrete time settingp. 49
An Infinite Factor Model for the Interest Rate Derivativesp. 59
Arbitrage and Pricing with Collateralp. 69
On the existence of optimal controls for a singular stochastic control problem in financep. 79
A Quadratic Approach to Interest Rates Models In Incomplete Marketsp. 89
Risk Sensitive Asset Management: Two Empirical Examplesp. 99
Bounded Variation Singular Stochastic Control and Associated Dynkin Gamep. 111
Option Pricing and Hedging Under Regular Levy Processes of Exponential Typep. 121
Installment Options and Static Hedgingp. 131
Fractional Brownian Motion and Financial Modellingp. 140
Stochastic Volatility and Epsilon-Martingale Decompositionp. 152
Mutual Debts Compensation as Graph Theory Problemp. 162
First Steps to Stochastic Financep. 168
Fractional Calculus and Continuous-Time Finance III: the Diffusion Limitp. 171
Passport Options Outside the Black Scholes Worldp. 181
New Developments in Backward Stochastic Riccati Equations and Their Applicationsp. 194
Quantile hedging for a jump-diffusion financial market modelp. 215
Exponential formula and Girsanov theorem for mixed semilinear stochastic differential equationsp. 230
An introduction to optimal consumption with partial observationp. 239
Continuous Time CAPM, Price for Risk and Utility Maximizationp. 250
LQ control and mean-variance portfolio selections: The stochastic parameter casep. 261
Liquidity Risk in Energy Marketsp. 271
Riccati Equation and Viscosity Solutions in Mean Variance Hedgingp. 283
A Minimal Financial Market Modelp. 293
A note on equivalent martingale measures with bounded densityp. 302
Local optimality in the multi-dimensional multi-period mean-variance portfolio problemp. 307
Transaction Processes among Autonomous Tradersp. 317
The Laplace transform approach to valuing exotic options: the case of the Asian optionp. 328
Reversible Real Optionsp. 339
A Toolbox for Generalized Relative Entropies, EMM and Contingent Claim Valuationp. 345
Incremental Value-at-Risk: traps and misinterpretationsp. 355
On option expected returnsp. 365
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9783764365530
ISBN-10: 3764365536
Series: Trends in Mathematics
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 374
Published: 1st June 2001
Publisher: Birkhauser Verlag AG
Country of Publication: CH
Dimensions (cm): 24.77 x 17.78  x 2.54
Weight (kg): 0.82