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Mathematical Finance: Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5–7, 2000

Posted By: insetes
Mathematical Finance: Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5–7, 2000

Mathematical Finance: Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5–7, 2000 By Sergio Albeverio, LanJun Lao, XueLei Zhao (auth.), Michael Kohlmann, Shanjian Tang (eds.)
2001 | 374 Pages | ISBN: 3034895062 | PDF | 27 MB


The year 2000 is the centenary year of the publication of Bachelier's thesis which - together with Harry Markovitz Ph.D. dissertation on portfolio selection in 1952 and Fischer Black's and Myron Scholes' solution of an option pricing problem in 1973 - is considered as the starting point of modern finance as a mathematical discipline. On this remarkable anniversary the workshop on mathematical finance held at the University of Konstanz brought together practitioners, economists and mathematicians to discuss the state of the art. Apart from contributions to the known discrete, Brownian, and Lévy process models, first attempts to describe a market in a reasonable way by a fractional Brownian motion model are presented, opening many new aspects for practitioners and new problems for mathematicians. As most dynamical financial problems are stochastic filtering or control problems many talks presented adaptations of control methods and techniques to the classical financial problems in • portfolio selection • irreversible investment • risk sensitive asset allocation • capital asset pricing • hedging contingent claims • option pricing • interest rate theory. The contributions of practitioners link the theoretical results to the steadily increasing flow of real world problems from financial institutions into mathematical laboratories. The present volume reflects this exchange of theoretical and applied results, methods and techniques that made the workshop a fruitful contribution to the interdisciplinary work in mathematical finance.