Advances in mathematics of finance

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  • "This volume contains 15 papers contributed by the participands of the 2nd General AMaMeF conference and Banach Center converence 'Advances in mathematics of finance' organized in Bȩdlewo, Poland from 30th April till 5th May, 2007. AMaMeF (Advances Mathematical Methods of Finance) is a scientific programme of the European Science Foundation for 2005-2010"--Preface (p. 5).


  • International conference proceedings.
  • Includes bibliographical references.


  • Constrained portfolio liquidation in a limit order book model / Aurélien Alfonsi, Antje Fruth, Alexander Schied -- A stochastic overlapping generation model with a continuum of agents / Emmanuelle Augeraud-Véron, Delphine David -- Numerical solution of Black-Scholes option pricing with variable yield discrete dividend payment / Rafael Company, Lucas Jódar, Enrique Ponsoda -- Market completion using options / Mark Davis, Jan Obłój -- A pension fund in the accumulation phase: a stochastic control approach / Salvatore Federico -- Variational sensitivity analysis of parametric Markovian market models / Norbert Hilber, Christoph Schwab, Christoph Winter -- Optimal stopping with advanced information flow: selected examples / Yaozhong Hu, Bernt Øksendal -- Information, inflation, and interest / Lane P. Hughston, Andrea Macrina -- Laplace transform identities for diffusions, with applications to rebates and barrier options / Hardy Hulley, Eckhard Platen -- Pricing bonds and CDS in the model with rating migration induced by a Cox process / Jacek Jakubowski, Mariusz Niewȩgłowski -- Convergence of optimal strategies under proportional transaction costs / Rafał Kucharski -- Risk minimizing strategies for a portfolio of interest-rate securities / Andrzej Palczewski -- Local risk-minimization for multidimensional assets and payment streams / Martin Schweizer -- Discrete time infinite horizon risk sensitive portfolio selection with proportional transaction costs / Łukasz Stettner -- Exponential martingales and CIR model / Wojciech Szatzschneider
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