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Trends in Mathematics

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

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

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Hardcover | 1 June 2001

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In the centenary year of the publication of Bachelier's thesis, what today is considered as the foundation of modern finance, we had the opportunity to invite experts in this relatively new field in mathematics to participate in a meeting at the University of Konstanz, Germany. This could be the place to consider the historical development, but as Professor Girlich presented a remarkable lecture on the past of what now is known as mathematical finance, we refer the reader to the article in this volume. Instead w etak e the opportunity to express our thanks to those colleagues who made this workshop possible: to Professor Sondermann, University of Bonn, Ger many, who in a sense initiated the idea, to our friends Mark Davis, Robert Elliott, and Xun Yu Zhou, whose advices were extremely helpful in establishing the pro gram of the conference, and to the invited lecturers Nicole EI Karoui, Ec khard Platen, and Stan Pliska for carefully preparing their lectures. Also w egratefully appreciate our students' help during the conference and Mrs Weisser's successful efforts in providing our guests with visa and hotel reservations. Last we should mention the students of the business department who organized a great conference dinner on Mainau island and who documented the meeting in a lot of photos. Finally we thank our wives Evi and Jie for giving us leave from home (-v.ork) to organize the conference.

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Published: 29th October 2012

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Preface	p. 5
Table of Contents	p. 7
Participants	p. 11
On-line portfolio strategy with prediction	p. 19
Continuous time financial market, transaction cost and transaction intensity	p. 29
Demand Heterogeneity and Price Volatility	p. 40
Optimal default boundary in a discrete time setting	p. 49
An Infinite Factor Model for the Interest Rate Derivatives	p. 59
Arbitrage and Pricing with Collateral	p. 69
On the existence of optimal controls for a singular stochastic control problem in finance	p. 79
A Quadratic Approach to Interest Rates Models In Incomplete Markets	p. 89
Risk Sensitive Asset Management: Two Empirical Examples	p. 99
Bounded Variation Singular Stochastic Control and Associated Dynkin Game	p. 111
Option Pricing and Hedging Under Regular Levy Processes of Exponential Type	p. 121
Installment Options and Static Hedging	p. 131
Fractional Brownian Motion and Financial Modelling	p. 140
Stochastic Volatility and Epsilon-Martingale Decomposition	p. 152
Mutual Debts Compensation as Graph Theory Problem	p. 162
First Steps to Stochastic Finance	p. 168
Fractional Calculus and Continuous-Time Finance III: the Diffusion Limit	p. 171
Passport Options Outside the Black Scholes World	p. 181
New Developments in Backward Stochastic Riccati Equations and Their Applications	p. 194
Quantile hedging for a jump-diffusion financial market model	p. 215
Exponential formula and Girsanov theorem for mixed semilinear stochastic differential equations	p. 230
An introduction to optimal consumption with partial observation	p. 239
Continuous Time CAPM, Price for Risk and Utility Maximization	p. 250
LQ control and mean-variance portfolio selections: The stochastic parameter case	p. 261
Liquidity Risk in Energy Markets	p. 271
Riccati Equation and Viscosity Solutions in Mean Variance Hedging	p. 283
A Minimal Financial Market Model	p. 293
A note on equivalent martingale measures with bounded density	p. 302
Local optimality in the multi-dimensional multi-period mean-variance portfolio problem	p. 307
Transaction Processes among Autonomous Traders	p. 317
The Laplace transform approach to valuing exotic options: the case of the Asian option	p. 328
Reversible Real Options	p. 339
A Toolbox for Generalized Relative Entropies, EMM and Contingent Claim Valuation	p. 345
Incremental Value-at-Risk: traps and misinterpretations	p. 355
On option expected returns	p. 365
Table of Contents provided by Blackwell. All Rights Reserved.

Trends in Mathematics

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

At a Glance

Hardcover

Shipping

How to return your order

Defective items

You Can Find This Book In

Other Editions and Formats

Paperback

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