03521nam a2200313 a 4500001001200000003000800012006001900020007001500039008004100054010001700095020001500112040002100127035002100148050002500169082002200194111008000216245018100296260006000477300002500537504004100562505219200603533015202795650003802947655002902985700003303014710001703047856012603064999001703190ebr10255822CaPaEBRm        u        cr cn|||||||||020708s2002    si a    sb    100 0 eng d  z  2002284517  z9810247974  aCaPaEBRcCaPaEBR  a(OCoLC)26036829814aHF5691b.I565 2002eb04a332.63/2/01512212 aInternational Conference on Mathematical Financed(2001 :cShanghai, China)10aRecent developments in mathematical financeh[electronic resource] :bInternational Conference on Mathematical Finance, Shanghai, China, 10-13 May 2001 /ceditor Jiongmin Yong.  aSingapore ;aRiver Edge, NJ :bWorld Scientific,c2002.  aviii, 276 p. :bill.  aIncludes bibliographical references.8 aMachine 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.  aElectronic reproduction.bPalo Alto, Calif. :cebrary,d2013.nAvailable via World Wide Web.nAccess may be limited to ebrary affiliated libraries. 0aBusiness mathematicsvCongresses. 7aElectronic books.2local1 aYong, J.q(Jiongmin),d1958-2 aebrary, Inc.40uhttp://site.ebrary.com/lib/rucke/Doc?id=10255822zAn electronic book accessible through the World Wide Web; click to view  c15037d15037