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Advances in mathematics of finance. Contributed papers of the 2nd general AMaMeF (advanced mathematical methods of finance) conference and Banach Center conference on advances in mathematics of finance, Bȩdlewo, Poland, April 30–May 5, 2007. (English) Zbl 1151.91009

Banach Center Publications 83. Warsaw: Polish Academy of Sciences, Institute of Mathematics. 249 p. (2008).

Show indexed articles as search result.

The articles of this volume will be reviewed individually.
Indexed articles:
Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander, Constrained portfolio liquidation in a limit order book model, 9-25 [Zbl 1154.91407]
Augeraud-Véron, Emmanuelle; David, Delphine, A stochastic overlapping generation model with a continuum of agents, 27-36 [Zbl 1153.91692]
Company, Rafael; Jódar, Lucas; Ponsoda, Enrique, Numerical solution of Black-Scholes option pricing with variable yield discrete dividend payment, 37-47 [Zbl 1153.91476]
Davis, Mark; Obłój, Jan, Market completion using options, 49-60 [Zbl 1153.91479]
Federico, Salvatore, A pension fund in the accumulation phase: a stochastic control approach, 61-83 [Zbl 1153.91493]
Hilber, Norbert; Schwab, Christoph; Winter, Christoph, Variational sensitivity analysis of parametric Markovian market models, 85-106 [Zbl 1153.60373]
Hu, Yaozhong; Øksendal, Bernt, Optimal stopping with advanced information flow: selected examples, 107-116 [Zbl 1151.93033]
Hughston, Lane P.; Macrina, Andrea, Information, inflation, and interest, 117-138 [Zbl 1154.91449]
Hulley, Hardy; Platen, Eckhard, Laplace transform identities for diffusions, with applications to rebates and barrier options, 139-157 [Zbl 1153.60381]
Jakubowski, Jacek; Niewęgłowski, Mariusz, Pricing bonds and CDS in the model with rating migration induced by a Cox process, 159-182 [Zbl 1256.91058]
Kucharski, Rafał, Convergence of optimal strategies under proportional transaction costs, 183-193 [Zbl 1155.91386]
Palczewski, Andrzej, Risk minimizing strategies for a portfolio of interest-rate securities, 195-212 [Zbl 1151.93034]
Schweizer, Martin, Local risk-minimization for multidimensional assets and payment streams, 213-229 [Zbl 1153.91560]
Stettner, Łukasz, Discrete time infinite horizon risk sensitive portfolio selection with proportional transaction costs, 231-241 [Zbl 1154.91479]
Szatzschneider, Wojciech, Exponential martingales and CIR model, 243-249 [Zbl 1153.91567]

MSC:

91-06 Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance
91B28 Finance etc. (MSC2000)
00B25 Proceedings of conferences of miscellaneous specific interest
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