Dear Colleagues,
I would like to let you know about my recently published article on
universal contingent claims and valuation multiplicative measures
that might be of interest to you:
1. V.A. Kholodnyi, Universal Contingent Claims in a General Market
Environment and Multiplicative Measures: Examples and Applications, Journal
of Nonlinear Analysis, 62 (2005) 1437-1452.
In this article, among other things, I present the semilinear evolution
equation for universal contingent claims in a general market environment,
that is, roughly speaking, for a general Markov price process. I introduced
this semilinear evolution equation in 1995 in [ 2-6] (see also [ 7-10])
below. In the special case of American contingent claims this semilinear
evolution equation takes the form of the semilinear evolution equation for
American contingent claims that I also introduced in 1995 in [ 2-6] (see
also [7-10]). Please let me know if you might have questions or would like
additional information.
Sincerely,
Valery Kholodnyi
References:
[2]. V.A. Kholodnyi, A Nonlinear Partial Differential Equation for American
Options in the Entire Domain of the State Variable, Preprint, Integrated
Energy Services, 1995.
[3]. V.A. Kholodnyi, A Semilinear Evolution Equation for General Derivative
Contracts, Preprint, Integrated Energy Services, 1995.
[4]. V.A. Kholodnyi, A Semilinear Evolution Equation for General Derivative
Contracts, Preprint, Integrated Energy Services, 1995.
[5]. V.A. Kholodnyi, Universal Contingent Claims, Preprint, Integrated
Energy Services, 1995.
[6]. V.A. Kholodnyi, Semilinear Evolution Equation for Universal Contingent
Claims, Preprint, Integrated Energy Services, 1995.
[7]. V.A. Kholodnyi, A Nonlinear Partial Differential Equation for American
Options in the Entire Domain of the State Variable, Journal of Nonlinear
Analysis, 30 (8) (1997) 5059-5070.
[8]. V.A. Kholodnyi, A Semilinear Evolution Equation for General Derivative
Contracts, In J.F. Price, Editor, Derivatives and Financial Mathematics,
Nova Science Publishers, Inc., Commack, New York, 1997, 119 -138.
[9]. V.A. Kholodnyi, Universal Contingent Claims and Multiplicative
Measures: Examples and Applications, Proceedings of the 4th International
Conference on Nonlinear Problems in Aviation and Aerospace, European
Conference Publications, Cambridge, United Kingdom, 2003, 259-270.
[10]. V.A. Kholodnyi, Universal Contingent Claims in a General Market
Environment and Multiplicative Measures, Proceedings of the 4th
International Conference on Dynamical Systems and Applications, Dynamic
Publishers, Atlanta, Georgia, 2005, 206-212.
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