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Catalogue Information
Field name	Details
Dewey Class	510
Title	Mathematical Finance ([EBook] :) : Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5–7, 2000 / / edited by Michael Kohlmann, Shanjian Tang.
Added Personal Name	Kohlmann, Michael editor.
Added Personal Name	Tang, Shanjian editor.
Other name(s)	SpringerLink (Online service)
Publication	Basel : : Birkhäuser Basel : : Imprint: Birkhäuser, , 2001.
Physical Details	374 p. : online resource.
Series	Trends in mathematics
ISBN	9783034882910
Contents note	Note: in the titles of co-authored papers the lecturer’s name is in bold face) -- Preface -- Participants -- On-line portfolio strategy with prediction -- Continuous time financial market, transaction cost and transaction intensity -- Demand Heterogeneity and Price Volatility -- Optimal default boundary in a discrete time setting -- An Infinite Factor Model for the Interest Rate Derivatives -- Arbitrage and Pricing with Collateral -- On the existence of optimal controls for a singular stochastic control problem in finance -- A Quadratic Approach To Interest Rates Models In Incomplete Markets -- Risk Sensitive Asset Management: Two Empirical Examples -- Bounded Variation Singular Stochastic Control and Associated Dynkin Game -- Option Pricing and Hedging Under Regular Lévy Processes of Exponential Type -- Installment Options and Static Hedging -- Fractional Brownian Motion and Financial Modelling -- Stochastic Volatility and Epsilon-Martingale Decomposition -- Mutual Debts Compensation as Graph Theory Problem -- First Steps to Stochastic Finance -- Fractional Calculus and Continuous-Time Finance III: the Diffusion Limit -- Passport Options Outside the Black Scholes World -- New Developments in Backward Stochastic Riccati Equations and Their Applications -- Quantile hedging for a jump-diffusion financial market model -- Exponential formula and Girsanov theorem for mixed semilinear stochastic differential equations -- An introduction to optimal consumption with partial observation -- Continuous Time CAPM, Price for Risk and Utility Maximization -- LQ control and mean—variance portfolio selections: The stochastic parameter case -- Liquidity Risk in Energy Markets -- Riccati Equation and Viscosity Solutions in Mean Variance Hedging -- A Minimal Financial Market Model -- A note on equivalent martingale measures with bounded density -- Local optimality in the multi-dimensional multi-period mean-variance portfolio problem -- Transaction Processes among Autonomous Traders -- The Laplace transform approach to valuing exotic options: the case of the Asian option -- Reversible Real Options -- A Toolbox for Generalized Relative Entropies, EMM and Contingent Claim Valuation -- Incremental Value-at-Risk: traps and misinterpretations -- On option expected returns.
System details note	Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users)
Internet Site	http://dx.doi.org/10.1007/978-3-0348-8291-0
Links to Related Works	Subject References: Mathematics . Mathematics, general . Authors: Kohlmann, Michael . Tang, Shanjian . Corporate Authors: SpringerLink (Online service) . Series: Trends in mathematics . Classification: 510 .

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

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