**Contemporary Mathematics**

Volume: 351;
2004;
398 pp;
Softcover

MSC: Primary 91; 60; 93;

Print ISBN: 978-0-8218-3412-1

Product Code: CONM/351

List Price: $109.00

Individual Member Price: $87.20

**Electronic ISBN: 978-0-8218-7941-2
Product Code: CONM/351.E**

List Price: $109.00

Individual Member Price: $87.20

# Mathematics of Finance

Share this page *Edited by *
*George Yin; Qing Zhang*

The mathematics of finance involves a wide spectrum of techniques that go beyond traditional applied mathematics. The field has witnessed a tremendous amount of progress in recent years, which has inspired communication and networking among researchers in finance, economics, engineering, and industry. This volume contains papers based on talks given at the first AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance held at Snowbird (UT).

Topics covered here include modeling, estimation, optimization, control, risk assessment and management, contingent claim pricing, dynamic hedging, and financial derivative design. The book is suitable for graduate students and research mathematicians interested in mathematical finance.

#### Table of Contents

# Table of Contents

## Mathematics of Finance

- Contents v6 free
- Preface ix10 free
- List of Speakers and Title of Talks xi12 free
- Credit Barrier Models in a Discrete Framework 114 free
- Optimal Derivatives Design under Dynamic Risk Measures 1326
- On Pricing of Forward and Futures Contracts on Zero-Coupon Bonds in the Cox-Ingersoll-Ross Model 2740
- Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches (I) 3750
- Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches (II) 5568
- Spot Convenience Yield Models for the Energy Markets 6578
- Optimal Portfolio Management with Consumption 8194
- Some Processes Associated with a Fractional Brownian Motion 93106
- Pricing Claims on Non Tradable Assets 103116
- Some Optimal Investment, Production and Consumption Models 115128
- Asian Options under Multiscale Stochastic Volatility 125138
- A Regime Switching Model: Statistical Estimation, Empirical Evidence, and Change Point Detection 139152
- Multinomial Maximum Likelihood Estimation of Market Parameters for Stock Jump-Diffusion Models 155168
- Optimal Terminal Wealth under Partial Information for HMM Stock Returns 171184
- Computing Optimal Selling Rules for Stocks Using Linear Programming 187200
- Optimization of Consumption and Portfolio and Minimization of Volatility 199212
- Options: To Buy or not to Buy? 207220
- Risk Sensitive Optimal Investment: Solutions of the Dynamical Programming Equation 217230
- Hedging Default Risk in an Incomplete Market 231244
- Mean-Variance Portfolio Choice with Discontinuous Asset Prices and Nonnegative Wealth Processes 247260
- Indifference Prices of Early Exercise Claims 259272
- Random Walk around Some Problems in Identification and Stochastic Adaptive Control with Applications to Finance 273286
- Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models 287300
- Why is the Effect of Proportional Transaction Costs O(δ2/3)? 303316
- Estimation via Stochastic Filtering in Financial Market Models 309322
- Stochastic Optimal Control Modeling of Debt Crises 319332
- Duality and Risk Sensitive Portfolio Optimization 333346
- Characterizing Option Prices by Linear Programs 349362
- Pricing Defaultable Bond with Regime Switching 361374
- Affine Regime-Switching Models for Interest Rate Term Structure 375388
- Stochastic Approximation Methods for Some Finance Problems 387400

#### Readership

Graduate students and research mathematicians interested in the mathematics of finance.