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基本説明
Includes papers presented at the Fields Institute, Toronto, as part of the Thematic Program in Quantitative Fiance that took place in 2010.
Full Description
This outstanding collection of articles includes papers presented at the Fields Institute, Toronto, as part of the Thematic Program in Quantitative Finance that took place in the first six months of the year 2010. The scope of the volume in very broad, including papers on foundational issues in mathematical finance, papers on computational finance, and papers on derivatives and risk management. Many of the articles contain path-breaking insights that are relevant to the developing new order of post-crisis financial risk management.
Contents
Introductory Remarks (L P Hughston & M Grasselli); Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes (J Akahori & A Macrina); Stress Testing the Resilience of Financial Networks (H Amini, R Cont & A Minca); Managing Corporate Liquidity: Strategies & Pricing Implications (Attakrit Asvanunt, Mark Broadie & Suresh Sundaresan); Valuation and Hedging of CDS Counterparty Exposure in a Markov Copula Model (Tomasz R Bielecki, S Crepey, M Jeanblanc & B Zargari); Information-Based Asset Pricing (D C Brody, L P Hughston & A Macrina); Tangent Models as a Mathematical Framework for Dynamic Calibration (Rene Carmona & S Nadtochiy); Composition of Time-Consistent Dynamic Monetary Risk Measures in Discrete Time (P Cheridito & M Kupper); Target Volatility Option Pricing (G Di Graziano & L Torricelli); Conditional Density Models for Asset Pricing (D Filipovic, L P Hughston & A Macrina); Monetary Valuation of Cash Flows under Knightian Uncertainty (H Follmer & I Penner); Portfolio Optimization under Partial Information with Expert Opinions (R Frey, A Gabih & R Wunderlich); On the Penalty Function and on Continuity Properties of Risk Measures (M Frittelli & E R Gianin); Conditional Certainty Equivalent (M Frittelli & M Maggis); Pricing of Perpetual American Options in a Model with Partial Information (P Gapeev); Optimal Investment on Finite Horizon with Random Discrete Order Flow in Illiquid Markets (P Gassiat, H Pham & M Sirbu); Optimal Trade Execution under Geometric Brownian Motion in the Almgren & Chriss Framework (J Gatheral & A Schied); The Heat-Kernel Most-Likely-Path Approximation (J Gatheral & Tai-Ho Wang); Forward and Future Implied Volatility (P Glasserman & Qi Wu); Absolutely Continuous Compensators (S Janson, S M'Baye & P Protter); Optimal Exercise of an Executive Stock Option by an Insider (M Monoyios & A Ng); Initial Investment Choice and Optimal Future Allocations (M Musiela & T Zariphopoulou); Performance of Robust Hedging of Digital Double Barrier Options (J Obloj & F Ulmer); CDO Term Structure Modelling with Levy Processes and the Relation to Market Models (T Schmidt & J Zabczyk).
