Stochastic Finance
Ever since Black, Scholes, and Merton did their pioneering work in the field of financial mathematics, continuing research has led to the rapid development of a substantial body of knowledge, with numerous applications to the common functioning of the wor
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STOCHASTIC FINANCE
Edited by A.N. SHIRYAEV Steklov Mathematical Institute, Moscow, Russia M.R. GROSSINHO ISEG, Universidade TCcnica de Lisboa, Portugal P.E. OLIVEIRA Universidade de Coimbra, Portugal M.L. ESQU~VEL FCT, Universidade Nova de Lisboa, Monte de Caparica, Portugal
@ - Springer
Library of Congress Cataloging-in-Publication Data Stochastic finance / edited by A.N. Shiryaev ... [et al.]/ p. cm. "From 26-30 September 2004, the 'International Conference on Stochastic Finance 2004' took place at lnstituto Superior de Economia e Gestlo (ISEG) da Universidade Tecnica de Lisboa, in Portugalw-Preface. Includes bibliographical references. ISBN-10: 0-387-28262-9 (alk, paper) ISBN-10: 0-387-28359-5 (e-book) ISBN-13: 978-0387-28262-6 (ISBN-13) ISBN-13: 978-0387-28359-3 (e-ISBN-13) 1. Business mathematics-Congresses. 2. Finance-Congresses. 3. Stochastic analysisCongresses. I. Shiriaev, Albert Nikolaevich.
AMS Subiect Classifications: 91870. 91828. 60G70
0 2006 Springer Science+Business Media, Inc.
All rights reserved. This work may not be translated or copied in whole or in part without the written permission of the publisher (Springer Science+Business Media, Inc., 233 Spring Street, New York, NY 10013, USA), except for brief excerpts in connection with reviews or scholarly analysis. Use in connection with any form of information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now know or hereafter developed is forbidden. The use in this publication of trade names, trademarks, service marks and similar terms, even if the are not identified as such, is not to be taken as an expression of opinion as to whether or not they are subject to proprietary rights. Printed in the United States of America. 9 8 7 6 5 4 3 2 1
SPIN 11367710
Preface
From 26-30 September 2004, the "International Conference on Stochastic FiE GESTAO nance 2004" took place at INSTITUTOSUPERIORDE ECONOMIA (ISEG) da Universidade TBcnica de Lisboa, in Portugal. The conference was one of the biggest international forums for scientists and practitioners working in financial mathematics and financial engineering. Taking place just before the conference, on 20-24 September 2004 was the "Autumn School on Stochastic Finance 2004" hosted by the Universidade de Coimbra. The goal of this event was to present instances of the interaction of finance and mathematics by means of a coherent combination of five courses of introductory lectures, delivered by specialists, in order to stimulate and reinforce the understanding of the subject and to provide an opportunity for graduate students and researchers to develop some competence in financial mathematics and thereby simplify their participation in the conference. At both meetings the organizing and scientific committees worked in close contact, which was crucial for inviting many leading specialists in financial mathematics and financial engineering - eleven plenary lecturers and eleven invited speakers. Besides these presentations, the conference includ
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