Machine generated contents note: Preface v
Dynamic Asset Management: Risk Sensitive Criterion with Nonnegative Factors Constraints 1
A. Bagchi and K. S. Kumar
Intensity-Based Valuation of Basket Credit Derivatives 12
T. R. Bielecki and M. Rutkowski
Comonotonicity of Backward Stochastic Differential Equations 28
Z. Chen and X. Wang
Some Lookback Option Pricing Problems 39
X. Guo
Option Pricing in a Market Where the Volatility Is Driven by Fractional Brownian Motions 49
Y. Hu
Optimal Investment and Consumption with Fixed and Proportional Transaction Costs 60
H. Liu
Sharp Estimates of Ruin Probabilities for Insurance Models Involving Investments 72
J. Ma and X. Sun
Risk-Sensitive Optimal Investment Problems with Partial Information on Infinite Time Horizon 85
H. Nagai and S. Peng
Filtration Consistent Nonlinear Expectations 99
F. Coquet, Y. Hu, J. Memin, and S. Peng
Pricing and Hedging of Index Derivatives under an Alternative Asset Price Model with Endogenous
Stochastic Volatility 117
D. Heath and E. Platen
Risk Sensitive Asset Management with Constrained
iaing Strategies 127
T. R. Bielecki, D. Hernandez-Hernandez, and S. R. Pliska
On Filtering in Markovian Term Structure Models 139
C. Chiarella, S. Pasquali, and W. J. Runggaldier
A Theory of Volatility 151
A. Savine
Discrete Time Markets with Transaction Costs 168
L. Stettner
The Necessity of No Asymptotic Arbitrage in APT Pricing 181
X. Lin, X. Liu, and Y. Sun
Financial Mean-Variance Problems and Stochastic LQ Problems: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations 190
S. Tang
Options on Dividend Paying Stocks 204
R. Beneder and T. Vorst
Some Remarks on Arbitrage Pricing Theory 218
J. Xia and J. Yan
Risk: From Insurance to Finance 228
H. Yang
Using Stochastic Approximation Algorithms in Stock Liquidation 238
G. Yin, Q. Zhang, and R. H. Liu
Contingent Claims in an Illiquid Market 249
H. Liu and J. Yong
Arbitrage Pricing Systems in a Market Driven by an Ito Process 263
S. Luo, J. Yan, and Q. Zhang
Participants of the Conference 273.