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.
