著者紹介

内容

目次

Intensity-based valuation of basket credit derivatives, T.R. Bieleckiand M. Rutkowski; comonotonicity of backward stochastic differentialequations, Z. Chen and X. Wang; some lookback option pricing problems, X.Guo; optimal investment and consumption with fixed and proportionaltransaction costs, H. Liu; filtration consistent nonlinear expectations, F.Coquet et al; a theory of volatility, A. Savine; discrete time markets withtransaction costs, L. Stettner; options on dividend paying stocks, R. Benederand T. Vorst; risk - from insurance to finance, H. Yang; arbitrage pricingsystems in a market driven by an Ito process, S. Luo et al. (Part contents)