{"id":54,"date":"2016-09-04T20:28:47","date_gmt":"2016-09-05T00:28:47","guid":{"rendered":"https:\/\/sciencescosmaincms.cm.ucf.edu\/math\/jyong\/?page_id=54"},"modified":"2016-09-04T20:38:17","modified_gmt":"2016-09-05T00:38:17","slug":"mathematical-finance","status":"publish","type":"page","link":"https:\/\/sciences.ucf.edu\/math\/jyong\/selected-papers\/mathematical-finance\/","title":{"rendered":"Mathematical Finance"},"content":{"rendered":"<ul>\n<li><strong>Jiongmin Yong<\/strong><br \/>\n<em><strong>Continuous-time dynamic risk measures by backward stochastic Volterra integral equations<\/strong> <\/em><br \/>\n<span style=\"text-decoration: underline;\">Applicable Analysis<\/span>, <strong>86<\/strong> (2007), 1429-1442.<br \/>\n(<a href=\"http:\/\/www.sciencedirect.com\/science?_ob=ArticleURL&amp;_udi=B6WK2-4H10BSK-C&amp;_coverDate=07%2F01%2F2006&amp;_alid=463265609&amp;_rdoc=1&amp;_fmt=&amp;_orig=search&amp;_qd=1&amp;_cdi=6894&amp;_sort=d&amp;view=c&amp;_acct=C000054275&amp;_version=1&amp;_urlVersion=0&amp;_userid=2139851&amp;md5=51063e90ee84d6f6028ece25bc2f8ad5\">Article<\/a>)<\/li>\n<li><strong>Jiongmin Yong<\/strong><br \/>\n<em><strong>Completeness of security markets and solvability of linear backward stochastic differential equations<\/strong> <\/em><br \/>\n<span style=\"text-decoration: underline;\">Journal of Mathematical Analysis and Applications<\/span>, <strong>319<\/strong> (2006), 333-356.<br \/>\n(<a href=\"http:\/\/www.sciencedirect.com\/science?_ob=ArticleURL&amp;_udi=B6WK2-4H10BSK-C&amp;_coverDate=07%2F01%2F2006&amp;_alid=463265609&amp;_rdoc=1&amp;_fmt=&amp;_orig=search&amp;_qd=1&amp;_cdi=6894&amp;_sort=d&amp;view=c&amp;_acct=C000054275&amp;_version=1&amp;_urlVersion=0&amp;_userid=2139851&amp;md5=51063e90ee84d6f6028ece25bc2f8ad5\">Article<\/a>)<\/li>\n<li><strong>Jiongmin Yong<\/strong><br \/>\n<em><strong>Remarks on some short rate term structure models<\/strong> <\/em><br \/>\n<span style=\"text-decoration: underline;\">Journal of Industrial Management and Optimization<\/span>, <strong>2<\/strong> (2006), 119-134.<br \/>\n(<a href=\"http:\/\/www.sciencedirect.com\/science?_ob=ArticleURL&amp;_udi=B6WK2-4H10BSK-C&amp;_coverDate=07%2F01%2F2006&amp;_alid=463265609&amp;_rdoc=1&amp;_fmt=&amp;_orig=search&amp;_qd=1&amp;_cdi=6894&amp;_sort=d&amp;view=c&amp;_acct=C000054275&amp;_version=1&amp;_urlVersion=0&amp;_userid=2139851&amp;md5=51063e90ee84d6f6028ece25bc2f8ad5\">Article<\/a>)<\/li>\n<li><strong>Hong Liu and Jiongmin Yong<\/strong><br \/>\n<em><strong>Option pricing with an illiquid underlying asset market<\/strong> <\/em><br \/>\n<span style=\"text-decoration: underline;\">Journal of Economic Dynamics and Control<\/span>, <strong>29<\/strong> (2005), 2125-2156.<br \/>\n(<a href=\"http:\/\/www.sciencedirect.com\/science?_ob=ArticleURL&amp;_udi=B6V85-4FFN4XG-2&amp;_coverDate=12%2F31%2F2005&amp;_alid=463276762&amp;_rdoc=1&amp;_fmt=&amp;_orig=search&amp;_qd=1&amp;_cdi=5861&amp;_sort=d&amp;view=c&amp;_acct=C000054275&amp;_version=1&amp;_urlVersion=0&amp;_userid=2139851&amp;md5=52532b3f1e8cb1fdc59568a2b18c166f\">Article<\/a>)<\/li>\n<li><strong>Tomasz R. Bielecki, Stanley Pliska, and Jiongmin Yong<\/strong><br \/>\n<em><strong>Optimal investment decisions for a portfolio with a rolling horizon bond and a discount bond<\/strong> <\/em><br \/>\n<span style=\"text-decoration: underline;\">International Journal of Theoretical and Applied Finance<\/span>, <strong>8<\/strong> (2005), 871-913.<br \/>\n(<a href=\"http:\/\/www.worldscinet.com\/ijtaf\/08\/0807\/S0219024905003335.html\">Article<\/a>)<\/li>\n<li><strong>Jiongmin Yong<\/strong><br \/>\n<em><strong>Some problems related to the Black-Scholes type security markets<\/strong> <\/em><br \/>\n<span style=\"text-decoration: underline;\">Stochastic Processes and Applications to Mathematical Finance<\/span>, <strong>369-400<\/strong>, World Sci. Publ., River Edge, NJ, 2004.<\/li>\n<li><strong>Jiongmin Yong<\/strong><br \/>\n<em><strong>Replication of American contingent claims in incomplete markets<\/strong> <\/em><br \/>\n<span style=\"text-decoration: underline;\">International Journal of Theoretical and Applied Finance<\/span>, <strong>4<\/strong> (2001), 439-466.<br \/>\n(<a href=\"http:\/\/www.worldscinet.com\/ijtaf\/04\/0403\/S0219024901001061.html\">Article<\/a>)<\/li>\n<li><strong>Jiongmin Yong<\/strong><br \/>\n<em><strong>European-type contingent claims in an incomplete market with constrained wealth and portfolio<\/strong> <\/em><br \/>\n<span style=\"text-decoration: underline;\">Mathematical Finance<\/span>, <strong>9<\/strong> (1999), 387-412.<br \/>\n(<a href=\"http:\/\/www.blackwell-synergy.com\/toc\/mafi\/9\/4\">Article<\/a>)<\/li>\n<li><strong>Darrel Duffie, Jin Ma, and Jiongmin Yong<\/strong><br \/>\n<em><strong>Black&#8217;s Consol Rate Conjecture<\/strong><\/em><br \/>\n<span style=\"text-decoration: underline;\">Annals of Applied Probability<\/span>, <strong>5<\/strong> (1995), 356-382.<br \/>\n(<a href=\"http:\/\/www.jstor.org\/view\/10505164\/di984000\/98p0003r\/0\">Article<\/a>)<\/li>\n<\/ul>\n","protected":false},"excerpt":{"rendered":"<p>Jiongmin Yong Continuous-time dynamic risk measures by backward stochastic Volterra integral equations Applicable Analysis, 86 (2007), 1429-1442. (Article) Jiongmin Yong Completeness of security markets and solvability of linear backward stochastic differential equations Journal of Mathematical Analysis and Applications, 319 (2006), 333-356. (Article) Jiongmin Yong Remarks on some short rate term structure models Journal of Industrial [&hellip;]<\/p>\n","protected":false},"author":3,"featured_media":0,"parent":30,"menu_order":4,"comment_status":"closed","ping_status":"closed","template":"page-templates\/full-width.php","meta":{"footnotes":"","_links_to":"","_links_to_target":""},"class_list":["post-54","page","type-page","status-publish","hentry"],"_links":{"self":[{"href":"https:\/\/sciences.ucf.edu\/math\/jyong\/wp-json\/wp\/v2\/pages\/54","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/sciences.ucf.edu\/math\/jyong\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/sciences.ucf.edu\/math\/jyong\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/sciences.ucf.edu\/math\/jyong\/wp-json\/wp\/v2\/users\/3"}],"replies":[{"embeddable":true,"href":"https:\/\/sciences.ucf.edu\/math\/jyong\/wp-json\/wp\/v2\/comments?post=54"}],"version-history":[{"count":0,"href":"https:\/\/sciences.ucf.edu\/math\/jyong\/wp-json\/wp\/v2\/pages\/54\/revisions"}],"up":[{"embeddable":true,"href":"https:\/\/sciences.ucf.edu\/math\/jyong\/wp-json\/wp\/v2\/pages\/30"}],"wp:attachment":[{"href":"https:\/\/sciences.ucf.edu\/math\/jyong\/wp-json\/wp\/v2\/media?parent=54"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}