Lukasz Stettner Editor (1 results)

Hardcover. Condition: Very Good. Hardcover, 249 pages, NOT ex-library. No ISBN (ISSN 0137-6934). A clean and bright copy with unmarked text, free of inscriptions and stamps, firmly bound. Limited signs of gentle handling only; a bit of external shelfwear. Published without a dust jacket. --- This volume contains 15 papers contributed by the participants of the 2nd General AMaMeF Conference and Banach Center Conference 'Advances in Mathematics of Finance' organized in Bedlewo, Poland, in April/May 2007. AMaMeF (Advanced Mathematical Methods of Finance) was a scientific programme of the European Science Foundation for 2005-2010. --- Contents: 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 Obloj; 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 Oksendal; 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 Nieweglowski; Convergence of Optimal Strategies Under Proportional Transaction Costs / Rafal 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 / Lukasz Stettner; Exponential Martingales and CIR Model / Wojciech Szatzschneider.…