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Stochastic Processes And Applications To Mathematical Finance : Proceedings of the 6th Ritsumeikan International Symposium.
This volume contains the contributions to a conference that is among the most important meetings in financial mathematics. Serving as a bridge between probabilists in Japan (called the Ito School and known for its highly sophisticated mathematics) and mathematical finance and financial engineering,...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Singapore :
World Scientific,
2007.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Preface; Program; CONTENTS; Financial Markets with Asymmetric Information: Information Drift, Additional Utility and Entropy S. Ankirchner and P. Imkell; A Localization of the Levy Operators Arising in Mathematical Finances M. Arisawa; Model-free Representation of Pricing Rules as Conditional Expectations S. Biagini and R. Cont; A Class of Financial Products and Models Where Super-replication Prices are Explicit L. Carassus, E. Gobet, and E. Temam; Risky Debt and Optimal Coupon Policy and Other Optimal Strategies D. Dorobantu and M. Pontier.
- Affine Credit Risk Models under Incomplete Information R. Frey, C. Prosdocimi, and W.J. RunggaldierSmooth Rough Paths and the Applications K. Hara and T. Lyons; From Access to Bypass: A Real Options Approach K. Hori and K. Mizuno; The Investment Game under Uncertainty: An Analysis of Equilibrium Values in the Presence of First or Second Mover Advantage J. Imai and T. Watanabe; Asian Strike Options of American Type and Game Type M. Ishihara and H. Kunita; Min.