Recent Developments in Mathematical Finance
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24

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Published By WORLD SCIENTIFIC

9789810247973, 9789812799579

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Some Remarks on Arbitrage Pricing Theory

Recent Developments in Mathematical Finance ◽

10.1142/9789812799579_0018 ◽

2001 ◽

Cited By ~ 1

Author(s):

Jianming Xia ◽

Jia-An Yan

Keyword(s):

Arbitrage Pricing Theory ◽

Arbitrage Pricing ◽

Pricing Theory

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Financial Mean-Variance Problems and Stochastic LQ Problems: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations

Recent Developments in Mathematical Finance ◽

10.1142/9789812799579_0016 ◽

2001 ◽

Author(s):

Shanjian Tang

Keyword(s):

Riccati Equations ◽

Mean Variance

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The Necessity of No Asymptotic Arbitrage in APT Pricing

Recent Developments in Mathematical Finance ◽

10.1142/9789812799579_0015 ◽

2001 ◽

Author(s):

Xiaoai Lin ◽

Xia Liu ◽

Yeneng Sun

Keyword(s):

Asymptotic Arbitrage

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Discrete Time Markets with Transaction Costs

Recent Developments in Mathematical Finance ◽

10.1142/9789812799579_0014 ◽

2001 ◽

Cited By ~ 1

Author(s):

Lukasz Stettner

Keyword(s):

Transaction Costs ◽

Discrete Time

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Risk Sensitive Asset Management With Constrained Trading Strategies

Recent Developments in Mathematical Finance ◽

10.1142/9789812799579_0011 ◽

2001 ◽

Cited By ~ 4

Author(s):

Tomasz R. Bielecki ◽

Daniel Hernandez-Hernandez ◽

Stanley R. Pliska

Keyword(s):

Asset Management ◽

Trading Strategies ◽

Risk Sensitive

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Pricing and Hedging of Index Derivatives under an Alternative Asset Price Model with Endogenous Stochastic Volatility

Recent Developments in Mathematical Finance ◽

10.1142/9789812799579_0010 ◽

2001 ◽

Cited By ~ 6

Author(s):

David Heath ◽

Eckhard Platen

Keyword(s):

Stochastic Volatility ◽

Asset Price ◽

Price Model ◽

Asset Price Model

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Option Pricing in a Market Where the Volatility Is Driven by Fractional Brownian Motions

Recent Developments in Mathematical Finance ◽

10.1142/9789812799579_0005 ◽

2001 ◽

Cited By ~ 4

Author(s):

Yaozhong Hu

Keyword(s):

Option Pricing ◽

Brownian Motions ◽

Fractional Brownian Motions

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Comonotonicity of Backward Stochastic Differential Equations

Recent Developments in Mathematical Finance ◽

10.1142/9789812799579_0003 ◽

2001 ◽

Author(s):

Zengjing Chen ◽

Xiangrong Wang

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Backward Stochastic Differential Equations

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Contingent Claims in an Illiquid Market

Recent Developments in Mathematical Finance ◽

10.1142/9789812799579_0021 ◽

2001 ◽

Cited By ~ 1

Author(s):

Hong Liu ◽

Jiongmin Yong

Keyword(s):

Contingent Claims ◽

Illiquid Market

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Using Stochastic Approximation Algorithms in Stock Liquidation

Recent Developments in Mathematical Finance ◽

10.1142/9789812799579_0020 ◽

2001 ◽

Cited By ~ 1

Author(s):

G. Yin ◽

Q. Zhang ◽

R.H. Liu

Keyword(s):

Approximation Algorithms ◽

Stochastic Approximation

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