Contents -- Preface -- List of Speakers and Title of Talks -- Credit Barrier Models in a Discrete Framework -- Optimal Derivatives Design under Dynamic Risk Measures -- On Pricing of Forward and Futures Contracts on Zero-Coupon Bonds in the Cox-Ingersoll-Ross Model -- Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches (I) -- Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches (II) -- Spot Convenience Yield Models for the Energy Markets -- Optimal Portfolio Management with Consumption
Some Processes Associated with a Fractional Brownian MotionPricing Claims on Non Tradable Assets -- Some Optimal Investment, Production and Consumption Models -- Asian Options under Multiscale Stochastic Volatility -- A Regime Switching Model: Statistical Estimation, Empirical Evidence, and Change Point Detection -- Multinomial Maximum Likelihood Estimation of Market Parameters for Stock Jump-Diffusion Models -- Optimal Terminal Wealth under Partial Information for HMM Stock Returns -- Computing Optimal Selling Rules for Stocks Using Linear Programming
Optimization of Consumption and Portfolio and Minimization of VolatilityOptions: To Buy or not to Buy? -- Risk Sensitive Optimal Investment: Solutions of the Dynamical Programming Equation -- Hedging Default Risk in an Incomplete Market -- Mean-Variance Portfolio Choice with Discontinuous Asset Prices and Nonnegative Wealth Processes -- Indifference Prices of Early Exercise Claims -- Random Walk around Some Problems in Identification and Stochastic Adaptive Control with Applications to Finance -- Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models
Why is the Effect of Proportional Transaction Costs O(Î?2/3)?Estimation via Stochastic Filtering in Financial Market Models -- Stochastic Optimal Control Modeling of Debt Crises -- Duality and Risk Sensitive Portfolio Optimization -- Characterizing Option Prices by Linear Programs -- Pricing Defaultable Bond with Regime Switching -- Affine Regime-Switching Models for Interest Rate Term Structure -- Stochastic Approximation Methods for Some Finance Problems
