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Mathematics of Finance
 
Edited by: George Yin :  Wayne State University, Detroit, MI
Qing Zhang :  University of Georgia, Athens, GA
Mathematics of Finance
eBook ISBN:  978-0-8218-7941-2
Product Code:  CONM/351.E
List Price: $125.00
MAA Member Price: $112.50
AMS Member Price: $100.00
Add to cart
Mathematics of Finance
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Mathematics of Finance
Edited by: George Yin :  Wayne State University, Detroit, MI
Qing Zhang :  University of Georgia, Athens, GA
eBook ISBN:  978-0-8218-7941-2
Product Code:  CONM/351.E
List Price: $125.00
MAA Member Price: $112.50
AMS Member Price: $100.00
Add to cart
  • Book Details
     
     
    Contemporary Mathematics
    Volume: 351; 2004; 398 pp
    MSC: Primary 91; 60; 93

    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.
    Readership

    Graduate students and research mathematicians interested in the mathematics of finance.
  • Table of Contents
     
     
    • Articles
    • Claudio Albanese and Oliver X. Chen — Credit barrier models in a discrete framework [ MR 2076286 ]
    • Pauline Barrieu and Nicole El Karoui — Optimal derivatives design under dynamic risk measures [ MR 2076287 ]
    • Jȩdrzej Białkowski and Jacek Jakubowski — On pricing of forward and futures contracts on zero-coupon bonds in the Cox-Ingersoll-Ross model [ MR 2076288 ]
    • Tomasz R. Bielecki, Monique Jeanblanc and Marek Rutkowski — Pricing and hedging of credit risk: replication and mean-variance approaches. I [ MR 2076289 ]
    • Tomasz R. Bielecki, Monique Jeanblanc and Marek Rutkowski — Pricing and hedging of credit risk: replication and mean-variance approaches. II [ MR 2076530 ]
    • René Carmona and Michael Ludkovski — Spot convenience yield models for the energy markets [ MR 2076531 ]
    • Netzahualcóyotl Castañeda-Leyva and Daniel Hernández-Hernández — Optimal portfolio management with consumption [ MR 2076532 ]
    • T. E. Duncan — Some processes associated with a fractional Brownian motion [ MR 2076533 ]
    • Robert J. Elliott and John van der Hoek — Pricing claims on non tradable assets [ MR 2076534 ]
    • Wendell H. Fleming — Some optimal investment, production and consumption models [ MR 2076535 ]
    • Jean-Pierre Fouque and Chuan-Hsiang Han — Asian options under multiscale stochastic volatility [ MR 2076536 ]
    • Xin Guo — A regime switching model: statistical estimation, empirical evidence, and change point detection [ MR 2076537 ]
    • Floyd B. Hanson, John J. Westman and Zongwu Zhu — Multinomial maximum likelihood estimation of market parameters for stock jump-diffusion models [ MR 2076538 ]
    • Ulrich G. Haussmann and Jörn Sass — Optimal terminal wealth under partial information for HMM stock returns [ MR 2076539 ]
    • Kurt Helmes — Computing optimal selling rules for stocks using linear programming [ MR 2076540 ]
    • Yaozhong Hu — Optimization of consumption and portfolio and minimization of volatility [ MR 2076541 ]
    • Mattias Jonsson and Ronnie Sircar — Options: to buy or not to buy? [ MR 2076542 ]
    • H. Kaise and S. J. Sheu — Risk sensitive optimal investment: solutions of the dynamical programming equation [ MR 2076543 ]
    • Andrew E. B. Lim — Hedging default risk in an incomplete market [ MR 2076544 ]
    • Andrew E. B. Lim and Xun Yu Zhou — Mean-variance portfolio choice with discontinuous asset prices and nonnegative wealth processes [ MR 2076545 ]
    • Marek Musiela and Thaleia Zariphopoulou — Indifference prices of early exercise claims [ MR 2076546 ]
    • Bozenna Pasik-Duncan — Random walk around some problems in identification and stochastic adaptive control with applications to finance [ MR 2076547 ]
    • Eckhard Platen — Pricing and hedging for incomplete jump diffusion benchmark models [ MR 2076548 ]
    • L. C. G. Rogers — Why is the effect of proportional transaction costs $O(\delta ^{2/3})$? [ MR 2076549 ]
    • Wolfgang J. Runggaldier — Estimation via stochastic filtering in financial market models [ MR 2076550 ]
    • Jerome L. Stein — Stochastic optimal control modeling of debt crises [ MR 2076551 ]
    • Lukasz Stettner — Duality and risk sensitive portfolio optimization [ MR 2076552 ]
    • Richard H. Stockbridge — Characterizing option prices by linear programs [ MR 2076553 ]
    • J. W. Wang and Q. Zhang — Pricing defaultable bond with regime switching [ MR 2076554 ]
    • Shu Wu and Yong Zeng — Affine regime-switching models for interest rate term structure [ MR 2076555 ]
    • G. Yin and Q. Zhang — Stochastic approximation methods for some finance problems [ MR 2076556 ]
  • Requests
     
     
    Review Copy – for publishers of book reviews
    Permission – for use of book, eBook, or Journal content
    Accessibility – to request an alternate format of an AMS title
Contemporary Mathematics
Volume: 351; 2004; 398 pp
MSC: Primary 91; 60; 93

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.
Readership

Graduate students and research mathematicians interested in the mathematics of finance.
  • Articles
  • Claudio Albanese and Oliver X. Chen — Credit barrier models in a discrete framework [ MR 2076286 ]
  • Pauline Barrieu and Nicole El Karoui — Optimal derivatives design under dynamic risk measures [ MR 2076287 ]
  • Jȩdrzej Białkowski and Jacek Jakubowski — On pricing of forward and futures contracts on zero-coupon bonds in the Cox-Ingersoll-Ross model [ MR 2076288 ]
  • Tomasz R. Bielecki, Monique Jeanblanc and Marek Rutkowski — Pricing and hedging of credit risk: replication and mean-variance approaches. I [ MR 2076289 ]
  • Tomasz R. Bielecki, Monique Jeanblanc and Marek Rutkowski — Pricing and hedging of credit risk: replication and mean-variance approaches. II [ MR 2076530 ]
  • René Carmona and Michael Ludkovski — Spot convenience yield models for the energy markets [ MR 2076531 ]
  • Netzahualcóyotl Castañeda-Leyva and Daniel Hernández-Hernández — Optimal portfolio management with consumption [ MR 2076532 ]
  • T. E. Duncan — Some processes associated with a fractional Brownian motion [ MR 2076533 ]
  • Robert J. Elliott and John van der Hoek — Pricing claims on non tradable assets [ MR 2076534 ]
  • Wendell H. Fleming — Some optimal investment, production and consumption models [ MR 2076535 ]
  • Jean-Pierre Fouque and Chuan-Hsiang Han — Asian options under multiscale stochastic volatility [ MR 2076536 ]
  • Xin Guo — A regime switching model: statistical estimation, empirical evidence, and change point detection [ MR 2076537 ]
  • Floyd B. Hanson, John J. Westman and Zongwu Zhu — Multinomial maximum likelihood estimation of market parameters for stock jump-diffusion models [ MR 2076538 ]
  • Ulrich G. Haussmann and Jörn Sass — Optimal terminal wealth under partial information for HMM stock returns [ MR 2076539 ]
  • Kurt Helmes — Computing optimal selling rules for stocks using linear programming [ MR 2076540 ]
  • Yaozhong Hu — Optimization of consumption and portfolio and minimization of volatility [ MR 2076541 ]
  • Mattias Jonsson and Ronnie Sircar — Options: to buy or not to buy? [ MR 2076542 ]
  • H. Kaise and S. J. Sheu — Risk sensitive optimal investment: solutions of the dynamical programming equation [ MR 2076543 ]
  • Andrew E. B. Lim — Hedging default risk in an incomplete market [ MR 2076544 ]
  • Andrew E. B. Lim and Xun Yu Zhou — Mean-variance portfolio choice with discontinuous asset prices and nonnegative wealth processes [ MR 2076545 ]
  • Marek Musiela and Thaleia Zariphopoulou — Indifference prices of early exercise claims [ MR 2076546 ]
  • Bozenna Pasik-Duncan — Random walk around some problems in identification and stochastic adaptive control with applications to finance [ MR 2076547 ]
  • Eckhard Platen — Pricing and hedging for incomplete jump diffusion benchmark models [ MR 2076548 ]
  • L. C. G. Rogers — Why is the effect of proportional transaction costs $O(\delta ^{2/3})$? [ MR 2076549 ]
  • Wolfgang J. Runggaldier — Estimation via stochastic filtering in financial market models [ MR 2076550 ]
  • Jerome L. Stein — Stochastic optimal control modeling of debt crises [ MR 2076551 ]
  • Lukasz Stettner — Duality and risk sensitive portfolio optimization [ MR 2076552 ]
  • Richard H. Stockbridge — Characterizing option prices by linear programs [ MR 2076553 ]
  • J. W. Wang and Q. Zhang — Pricing defaultable bond with regime switching [ MR 2076554 ]
  • Shu Wu and Yong Zeng — Affine regime-switching models for interest rate term structure [ MR 2076555 ]
  • G. Yin and Q. Zhang — Stochastic approximation methods for some finance problems [ MR 2076556 ]
Review Copy – for publishers of book reviews
Permission – for use of book, eBook, or Journal content
Accessibility – to request an alternate format of an AMS title
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