tailieunhanh - Advances in Mathematical Economics Volume 10

Throughout this paper, we consider a valuation method for contingent claims taking control of shortfall risk into account in the framework of complete market models. After giving a general form of the valuation, we shall deal with models whose underlying assets are described by diffusion processes, and obtain a result for American type claims | s. Kusuoka T. Maruyama Eds. Advances in MATHEMATICAL ECONOMICS The Workshop on Mathematical Economics 2009 Tokyo Japan November 2009 Revised Selected Papers Volume 14 Springer Advances in MATHEMATICAL ECONOMICS Managing Editors Shigeo Kusuoka The University of Tokyo Tokyo JAPAN Editors Robert Anderson University of California Berkeley Berkeley . Charles Castaing Universite Montpellier II Montpellier FRANCE Francis H. Clarke Universite de Lyon I Villeurbanne FRANCE Egbert Dierker University of Vienna Vienna AUSTRIA Darrell Duffie Stanford University Stanford . Lawrence C. Evans University of California Berkeley Berkeley . Toru Maruyama Keio University Tokyo JAPAN Takao Fujimoto Fukuoka University Fukuoka JAPAN Jean-Michel Grandmont CREST-CNRS Malakoff FRANCE Norimichi Hirano Yokohama National University Yokohama JAPAN Tatsuro Ichiishi The Ohio State University Ohio . Alexander Ioffe Israel Institute of Technology Haifa IsRaEL Seiichi Iwamoto Kyushu University Fukuoka JAPAN Kazuya Kamiya The University of Tokyo Tokyo JAPAN Kunio Kawamata Keio University Tokyo JAPAN Hiroshi Matano The University of Tokyo Tokyo JAPAN Kazuo Nishimura Kyoto University Kyoto JAPAN Marcel K. Richter University of Minnesota Minneapolis . Yoichiro Takahashi The University of Tokyo Tokyo JAPAN Makoto Yano Kyoto University Kyoto JAPAN Aims and Scope. The project is to publish Advances in Mathematical Economics once a year under the auspices of the Research Center for Mathematical Economics. It is designed to bring together those mathematicians who are seriously interested in obtaining new challenging stimuli from economic theories and those economists who are seeking effective mathematical tools for their research. The scope of Advances in Mathematical Economics includes but is not limited to the following fields - Economic theories in various fields based on rigorous mathematical reasoning. - Mathematical methods . analysis algebra geometry probability motivated by