Mathematical Finance

Inhaltsverzeichnis

• 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 equivalentmartingale 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.