Dear Colleagues,
I would like to let you know about my recently published article that might
be of interest to you:
V. A. Kholodnyi, "Valuation Multiplicative Measures and Universal Contingent
Claims in a General Market Environment", DCDIS Proceedings of the
International Workshop on Differential Equations and Dynamical Systems,
Vol.2, Watam Press, Watereloo, Canada, 2006, 399 - 412.
In this article, among other things, I present and further study the
valuation multiplicative measures and universal contingent claims as well as
the semilinear evolution equation for universal contingent claims and, as
its special case, the semilinear evolution equation for American contingent
claims.
I introduced the valuation multiplicative measures and universal contingent
claims as well as the semilinear evolution equations for universal
contingent claims and, its special case, the semilinear evolution equation
for American contingent claims in 1995 in [ 4-7] (see also [1-4]).
Please let me know if you might have questions or would like additional
information.
Sincerely,
Valery Kholodnyi
References:
Artricles:
[1]. 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.
[2]. 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.
[3]. 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.
[4]. V.A. Kholodnyi, The Semilinear Evolution Equation for Universal
Contingent Claims: Examples and Applications, In R.P Agarwal and K. Perera,
Editors, Proceedings of the Conference on Differential and Difference
Equations and Applications, Hindawi, New York, 2006, 519 -528.
Preprints:
[4]. V.A. Kholodnyi, A Nonlinear Partial Differential Equation for American
Options in the Entire Domain of the State Variable, Preprint, Integrated
Energy Services, 1995.
[5]. V.A. Kholodnyi, A Semilinear Evolution Equation for General Derivative
Contracts, Preprint, Integrated Energy Services, 1995.
[6] V.A. Kholodnyi, Universal Contingent Claims, Preprint, Integrated Energy
Services, 1995.
[7]. V.A. Kholodnyi, A Semilinear Evolution Equation for Universal
Contingent Claims, Preprint, Integrated Energy Services, 1995.
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