Stochastic Processes and Applications to Mathematical Finance : Proceedings of the 5th Ritsumeikan International Symposium, Ritsumeikan University, Japan 3-6 March 2005.

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Based around recent lectures given at the prestigious Ritsumeikan conference, the tutorial and expository articles contained in this volume are an essential guide for practitioners and graduates alike who use stochastic calculus in finance. Among the eminent contributors are Paul Malliavin and Shinz...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Akahori, Jiro
Otros Autores: Ogawa, Shigeyoshi, Watanabe, Shinzo
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Singapore : World Scientific Publishing Company, 2006.
Temas:
Finance > Mathematical models > Congresses.
Stochastic processes > Congresses.
Finances > Modèles mathématiques > Congrès.
Processus stochastiques > Congrès.
Finance > Mathematical models
Stochastic processes
Conference papers and proceedings
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Preface
  • Program
  • Harmonic analysis methods for nonparametic estimation of votality : theory and applications / E. Barucci, P. Malliavin and M.E. Mancino
  • Hedging of credit derivatives in models with totally unexpected default / T.R. Bielecki, M. Jeanblanc and M. Rutkowski
  • A large trader-insider model / A. Kohatsu-Higa and A. Sulem
  • [GLP & MEMM] pricing models and related problems / Y. Miyahara
  • Topics related to gamma processes / M. Yamazato
  • On stochastic differential equations driven by symmetric stable processes of Index [alpha] / H. Hashimoto, T. Tsuchiya and T. Yamada
  • Martingale representation theorem and chaos expansion / S. Watanabe.

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