Contents -- Preface -- Dynamic Asset Management: Risk Sensitive Criterion with Nonnegative Factors Constraints -- Abstract -- 1 Introduction -- 2 Risk Sensitive Dynamic Asset Allocation: The Unconstrained Case -- 3 Equivalence of the Game Problem with the Asset Allocation Problem -- 4 Risk Sensitive Dynamic Asset Allocation: The Constrained Case -- 5 Conclusion -- 6 References -- Intensity-Based Valuation of Basket Credit Derivatives -- 1 Notation and Set-up -- 2 Basket Credit Derivatives -- 3 Conditionally Independent Default Times -- 4 Valuation of the ith-to-Default Contract -- Comonotonicity of Backward Stochastic Differential Equations -- Abstract -- 1 Introduction -- 2 BSDE and Related Properties -- 3 Comonotonic theorem -- References -- Some Lookback Option Pricing Problems -- Abstract -- 1 Introduction -- 2 Some lookback options in the Black-Scholes model -- 3 Option pricing in a market model with regime switching -- Option Pricing in a Market Where the Volatility Is Driven by Fractional Brownian Motions -- Abstract -- 1 Introduction -- 2 Risk Minimizing Hedging Price -- 3 The Expectation of Quadratic Forms of Gaussian Processes -- Optimal Investment and Consumption with Fixed and Proportional Transaction Costs -- Abstract -- 1 Introduction -- 2 The Model -- 3 The Proportional Transaction Cost Case -- 4 The Fixed Transaction Cost Case -- 5 The Fixed and Proportional Transaction Cost Case -- 6 Concluding Remarks -- References -- Sharp Estimates of Ruin Probabilities for Insurance Models Involving Investments -- 1 Introduction -- 2 Exponential (Local) Martingales -- 3 Lundberg-Type Bounds -- 4 Relation to Storage Processes and Large Deviation Results.

Risk-Sensitive Optimal Investment Problems with Partial Information on Infinite Time Horizon -- 1 Introduction -- 2 Setting up -- 3 Finite time horizon case -- 4 Stability of filter -- 5 Asymptotics of Inhomogeneous Riccati Equations -- 6 Infinite time horizon case -- 7 Appendix -- References -- Filtration Consistent Nonlinear Expectations -- Abstract -- 1 Introduction -- 2 Basic notations and results on g-expectations -- 3 Filtration-Consistent Nonlinear Expectations -- 4 An Eu-Dominated Expectation is a g-Expectation -- 5 Nonlinear Martingales -- 6 E-Supermartingale Decompositions -- 7 Proof of Theorem 4.1 -- Pricing and Hedging of Index Derivatives under an Alternative Asset Price Model with Endogenous Stochastic Volatility -- Abstract -- 1 Introduction -- 2 Minimal Market Model -- 3 Pricing and Hedging of Derivatives -- 4 MMM for Index Derivatives -- References -- Risk Sensitive Asset Management with Constrained Trading Strategies -- 1 Introduction -- 2 Transformation to a Classical, Continuous-Time, Risk Sensitive Control Problem -- 3 Approximation by a Discrete Time Markov Chain -- 4 A Numerical Example: An Interest Rate Factor With Two Mutual Funds -- 5 Concluding Remarks -- On Filtering in Markovian Term Structure Models -- Abstract -- 1 Introduction -- 2 Stochastic Dynamics and Filter Setup -- 3 Time discretization and convergence results -- A Theory of Volatility -- Abstract -- 1 The mathematics of volatility and the smile theory -- 2.Beyond the smile theory -- 3.The Interest Rate Smile theory -- References -- Discrete Time Markets with Transaction Costs -- Abstract -- 1 Introduction -- 2 Arbitrage -- 3 Set of hedging endowments -- 4 Pricing -- References -- The Necessity of No Asymptotic Arbitrage in APT Pricing -- 1 Introduction -- 2 Some results on the APT pricing -- 3 Examples.

4 The necessity of no asymptotic arbitrage -- Financial Mean-Variance Problems and Stochastic LQ Problems: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations -- 1 Introduction -- 2 Financial Mean-variance Problems -- 3 The General Stochastic LQ Problem -- 4 Solution of Riccati Equation: a Long-Standing Problem -- 5 The Regular and Singular Stochastic LQ Problems: a Hamilton System Theoretic Method -- 6 Conclusion -- Options on Dividend Paying Stocks -- 1 Introduction -- 2 Volatility Reduction -- 3 American Options -- 4 European Options through Volatility Adjustments -- 5 Conclusion -- References -- Some Remarks on Arbitrage Pricing Theory -- Abstract -- 1 Introduction -- 2 The semimartingale model and some existing results -- 3 Optional decomposition theorem and superhedging -- 4 Pricing of contingent claims and completeness of a fair market -- References -- Risk: From Insurance to Finance -- 1 Introduction -- 2 Insurance risk: Ruin probability -- 3 Financial Risk: Coherent Risk Measures for Derivative Securities -- 4 Credit Risk: Actuarial Science Approach -- References -- Using Stochastic Approximation Algorithms in Stock Liquidation -- Abstract -- 1 Introduction -- 2 Formulation -- 3 Convergence and Rates of Convergence -- References -- Contingent Claims in an Illiquid Market -- Abstract -- 1. Introduction -- 2. The Model -- 3. Replication of a European Contingent Claim -- 4. Concluding Remarks -- References -- Arbitrage Pricing Systems in a Market Driven by an Ito Process -- Abstract -- 1. Introduction -- 2. Security Market Driven by an Ito Process -- 3. A Natural family of Arbitrage Pricing Systems -- References -- Participants.