This volume contains contributions to the eponymous workshop held in June 2013 at the Beijing International Center for Mathematical Research, which focused on research results in the field of financial mathematics around the themes of arbitrage, credit, and asymmetric information risks, with each theme being discussed by four papers each. The arbitrage concepts discussed include the conditions of No Free Lunch with Vanishing Risk and No Unbounded Profit with Bound Risk. The papers devoted to credit risk explore such issues as pricing credit derivatives in a structural model, a dynamics model for bilateral conterparty risk on credit derivatives, a dynamic model of a single default, and an error calculus methodology for investigating optimal credit allocation under a hidden regime switching model. The final set of papers, on control problems and information risks, discuss a class of recursive mutiplayer stopping games in a discrete time setting, backwater stochastic differential equations, portfolio optimization in a market model characterized by the presence of different prices for the same asset as a consequence of different information settings, and the cost value processes of different hedging strategies in the presence of incomplete information and stochastic volatility of the asset. Annotation ©2014 Ringgold, Inc., Portland, OR (protoview.com)
This volume focuses on important financial subjects that has attracted more and more academic and practical attention since the international financial crisis. The collection of research papers includes a self-contained introduction and covers recent research developments on credit and asymmetric information risks. Readers will find the volume treats both the classical and fundamental problem in finance concerning the opportunity of arbitrage in the setting of credit risks.
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