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Birkhäuser

Mathematical Finance

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

  • Conference proceedings
  • © 2001

Overview

Editors:
  1. Michael Kohlmann

    1. Fakultät für Mathematik und Informatik, Universität Konstanz, Konstanz, Germany

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    You can also search for this editor in PubMed   Google Scholar

  2. Shanjian Tang

    1. Department of Mathematics, Fudan University, Shanghai, China

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    You can also search for this editor in PubMed   Google Scholar

Part of the book series: Trends in Mathematics (TM)

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Table of contents (35 papers)

  1. Front Matter

    Pages 1-18
    Download chapter PDF

  2. On-line portfolio strategy with prediction

    • Sergio Albeverio, LanJun Lao, XueLei Zhao
    Pages 19-28

  3. Continuous time financial market, transaction cost and transaction intensity

    • Sergio Albeverio, LanJun Lao, XueLei Zhao
    Pages 29-39

  4. Demand Heterogeneity and Price Volatility

    • David R. Alexander, Emmanuel E. Haven
    Pages 40-48

  5. Optimal default boundary in a discrete time setting

    • Agata Altieri, Tiziano Vargiolu
    Pages 49-58

  6. An Infinite Factor Model for the Interest Rate Derivatives

    • Arunabha Bagchi, K. Suresh Kumar
    Pages 59-68

  7. Arbitrage and Pricing with Collateral

    • José Fajardo Barbachan
    Pages 69-78

  8. On the existence of optimal controls for a singular stochastic control problem in finance

    • Fred E. Benth, Kenneth H. Karlsen, Kristin Reikvam
    Pages 79-88

  9. A Quadratic Approach To Interest Rates Models In Incomplete Markets

    • Francesca Biagini
    Pages 89-98

  10. Risk Sensitive Asset Management: Two Empirical Examples

    • T. Bielecki, A. Harris, J. Li, S. Pliska
    Pages 99-110

  11. Bounded Variation Singular Stochastic Control and Associated Dynkin Game

    • Frederik Boetius
    Pages 111-120

  12. Option Pricing and Hedging Under Regular Lévy Processes of Exponential Type

    • Svetlana I. Boyarchenko, Sergei Z. Levendorskii
    Pages 121-130

  13. Installment Options and Static Hedging

    • Mark H. A. Davis, Walter Schachermayer, Robert G. Tompkins
    Pages 130-139

  14. Fractional Brownian Motion and Financial Modelling

    • R. J. Elliott, J. van der Hoek
    Pages 140-151

  15. Stochastic Volatility and Epsilon-Martingale Decomposition

    • Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar
    Pages 152-161

  16. Mutual Debts Compensation as Graph Theory Problem

    • Vladimir Gazda
    Pages 162-167

  17. First Steps to Stochastic Finance

    • Hans-Joachim Girlichl
    Pages 168-170

  18. Fractional Calculus and Continuous-Time Finance III : the Diffusion Limit

    • Rudolf Gorenflo, Francesco Mainardi, Enrico Scalas, Marco Raberto
    Pages 171-180

  19. Passport Options Outside the Black Scholes World

    • Vicky Henderson
    Pages 181-193

  20. New Developments in Backward Stochastic Riccati Equations and Their Applications

    • Michael Kohlmann, Shanjian Tang
    Pages 194-214
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Keywords

Editors and Affiliations

  • Fakultät für Mathematik und Informatik, Universität Konstanz, Konstanz, Germany

    Michael Kohlmann

  • Department of Mathematics, Fudan University, Shanghai, China

    Shanjian Tang

Bibliographic Information

  • Book Title: Mathematical Finance

  • Book Subtitle: Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5–7, 2000

  • Editors: Michael Kohlmann, Shanjian Tang

  • Series Title: Trends in Mathematics

  • DOI: https://doi.org/10.1007/978-3-0348-8291-0

  • Publisher: Birkhäuser Basel

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer Basel AG 2001

  • Hardcover ISBN: 978-3-7643-6553-0Published: 01 June 2001

  • Softcover ISBN: 978-3-0348-9506-4Published: 29 October 2012

  • eBook ISBN: 978-3-0348-8291-0Published: 06 December 2012

  • Series ISSN: 2297-0215

  • Series E-ISSN: 2297-024X

  • Edition Number: 1

  • Number of Pages: 374

  • Topics: Mathematics, general

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