viii, 276 pages : illustrations ; 23 cm
Bibliography, etc. Note
Includes bibliographical references.
Formatted Contents Note
Machine generated contents note: Preface v Dynamic Asset Management: Risk Sensitive Criterion with Nonnegative Factors Constraints 1 A. Bagchi and K. S. Kumar Intensity-Based Valuation of Basket Credit Derivatives 12 T. R. Bielecki and M. Rutkowski Comonotonicity of Backward Stochastic Differential Equations 28 Z. Chen and X. Wang Some Lookback Option Pricing Problems 39 X. Guo Option Pricing in a Market Where the Volatility Is Driven by Fractional Brownian Motions 49 Y. Hu Optimal Investment and Consumption with Fixed and Proportional Transaction Costs 60 H. Liu Sharp Estimates of Ruin Probabilities for Insurance Models Involving Investments 72 J. Ma and X. Sun Risk-Sensitive Optimal Investment Problems with Partial Information on Infinite Time Horizon 85 H. Nagai and S. Peng Filtration Consistent Nonlinear Expectations 99 F. Coquet, Y. Hu, J. Memin, and S. Peng Pricing and Hedging of Index Derivatives under an Alternative Asset Price Model with Endogenous Stochastic Volatility 117 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.