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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.
| Clasificación: | Libro Electrónico |
|---|---|
| Autor Corporativo: | |
| Otros Autores: | , , |
| Formato: | Electrónico Congresos, conferencias eBook |
| Idioma: | Inglés |
| Publicado: |
Singapore ; River Edge, N.J. :
World Scientific,
©2004.
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| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 008 | 060823s2004 si ob 100 0 eng | ||
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| 111 | 2 | |a Ritsumeikan International Symposium |n (3rd : |d 2003 : |c Kusatsu-chō, Japan) | |
| 245 | 1 | 0 | |a Stochastic processes and applications to mathematical finance : |b proceedings of the Ritsumeikan International Symposium, Kusatsu, Shiga, Japan, 5-9 March 2003 / |c editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe. |
| 246 | 3 | 0 | |a Proceedings of the Ritsumeikan International Symposium, Kusatsu, Shiga, Japan, 5-9 March 2003 |
| 260 | |a Singapore ; |a River Edge, N.J. : |b World Scientific, |c ©2004. | ||
| 300 | |a 1 online resource (viii, 400 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 504 | |a Includes bibliographical references. | ||
| 505 | 0 | |a 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. | |
| 520 | |a 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. | ||
| 590 | |a eBooks on EBSCOhost |b EBSCO eBook Subscription Academic Collection - Worldwide | ||
| 650 | 0 | |a Finance |x Mathematical models |v Congresses. | |
| 650 | 0 | |a Stochastic processes |v Congresses. | |
| 650 | 6 | |a Finances |x Modèles mathématiques |v Congrès. | |
| 650 | 6 | |a Processus stochastiques |v Congrès. | |
| 650 | 7 | |a MATHEMATICS |x Probability & Statistics |x General. |2 bisacsh | |
| 650 | 7 | |a Finance |x Mathematical models. |2 fast |0 (OCoLC)fst00924398 | |
| 650 | 7 | |a Stochastic processes. |2 fast |0 (OCoLC)fst01133519 | |
| 653 | |a Stochastic processes | ||
| 653 | |a Mathematical finance | ||
| 655 | 7 | |a Conference papers and proceedings. |2 fast |0 (OCoLC)fst01423772 | |
| 700 | 1 | |a Akahori, Jirō. | |
| 700 | 1 | |a Ogawa, Shigeyoshi. | |
| 700 | 1 | |a Watanabe, Shinzo, |d 1935- | |
| 856 | 4 | 0 | |u https://ebsco.uam.elogim.com/login.aspx?direct=true&scope=site&db=nlebk&AN=514731 |z Texto completo |
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