Mathematical Finance Book

	Preface	5
	Table of Contents	7
	Participants	11
	On-line portfolio strategy with prediction	19
	Continuous time financial market, transaction cost and transaction intensity	29
	Demand Heterogeneity and Price Volatility	40
	Optimal default boundary in a discrete time setting	49
	An Infinite Factor Model for the Interest Rate Derivatives	59
	Arbitrage and Pricing with Collateral	69
	On the existence of optimal controls for a singular stochastic control problem in finance	79
	A Quadratic Approach to Interest Rates Models In Incomplete Markets	89
	Risk Sensitive Asset Management: Two Empirical Examples	99
	Bounded Variation Singular Stochastic Control and Associated Dynkin Game	111
	Option Pricing and Hedging Under Regular Levy Processes of Exponential Type	121
	Installment Options and Static Hedging	131
	Fractional Brownian Motion and Financial Modelling	140
	Stochastic Volatility and Epsilon-Martingale Decomposition	152
	Mutual Debts Compensation as Graph Theory Problem	162
	First Steps to Stochastic Finance	168
	Fractional Calculus and Continuous-Time Finance III: the Diffusion Limit	171
	Passport Options Outside the Black Scholes World	181
	New Developments in Backward Stochastic Riccati Equations and Their Applications	194
	Quantile hedging for a jump-diffusion financial market model	215
	Exponential formula and Girsanov theorem for mixed semilinear stochastic differential equations	230
	An introduction to optimal consumption with partial observation	239
	Continuous Time CAPM, Price for Risk and Utility Maximization	250
	LQ control and mean-variance portfolio selections: The stochastic parameter case	261
	Liquidity Risk in Energy Markets	271
	Riccati Equation and Viscosity Solutions in Mean Variance Hedging	283
	A Minimal Financial Market Model	293
	A note on equivalent martingale measures with bounded density	302
	Local optimality in the multi-dimensional multi-period mean-variance portfolio problem	307
	Transaction Processes among Autonomous Traders	317
	The Laplace transform approach to valuing exotic options: the case of the Asian option	328
	Reversible Real Options	339
	A Toolbox for Generalized Relative Entropies, EMM and Contingent Claim Valuation	345
	Incremental Value-at-Risk: traps and misinterpretations	355
	On option expected returns	365