Stochastic processes and applications to mathematical finance : proceedings of the Ritsumeikan International Symposium, Kusatsu, Shiga, Japan, 5-9 March 2003 /

This book contains 17 articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Lévy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance.

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor Corporativo: Ritsumeikan International Symposium Kusatsu-chō, Japan
Otros Autores: Akahori, Jirō, Ogawa, Shigeyoshi, Watanabe, Shinzo, 1935-
Formato: Electrónico Congresos, conferencias eBook
Idioma:Inglés
Publicado: Singapore ; River Edge, N.J. : World Scientific, ©2004.
Temas:
Finance > Mathematical models > Congresses.
Stochastic processes > Congresses.
Finances > Modèles mathématiques > Congrès.
Processus stochastiques > Congrès.
MATHEMATICS > Probability & Statistics > General.
Finance > Mathematical models.
Stochastic processes.
Stochastic processes
Mathematical finance
Conference papers and proceedings.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Numerical analysis and misspecifications in finance: from model risk to localization error estimates for nonlinear PDEs / C. Berthelot, M. Bossy, and D. Talay
  • The term structure of interest rates as a random field: a stochastic integration approach / M. De Donno
  • Revisiting the Greeks for European and American options / E. Gobet
  • Excursions in the martingale hypothesis / P. Guasoni
  • Analysis of jump processes and its application to optimal control / Y. lshikawa
  • Structure on solutions of ergodic type Bellman equations of first and second orders: some observations through the singular limits / H. Kaise and S.-J. Sheu
  • Multivariate utility maximization under transaction costs / K. Kamizono
  • Enlargement of filtrations and models for insider trading / A. Kohatsu-Higa
  • Variational equality and portofolio optimization for price processes with jumps / H. Kunita
  • Applications of the asymptotic expansion approach based on Malliavin-Watanabe Calculus in financial problems / N. Kunitomo and A. Takahashi
  • A new simulation method of diffusion processes applied to finance / S. Kusuoka and S. Ninomiya
  • Non linear feedback effects by hedging strategies / M.E. Mancino and S. Ogawa
  • Risky fraction processes and problems with transaction costs / H. Nagai
  • Noncausal cauchy problem for the noncausal SDEs / S. Ogawa
  • A benchmark framework for risk management / E. Platen
  • On Dufresne's perpetuity, translated and reflected / P. Salminen and M. Yor
  • An analytic approach to secure pseudo-random generation / H. Sugita
  • Some problems related to the Black-Scholes type security markets / J. Yong.

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