Stochastic Processes And Applications To Mathematical Finance - Proceedings Of The 5th Ritsumeikan International Symposium
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Category=PBWL
Chaos Expansion
eq_isMigrated=1
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Levy Processes
Malliavin Calculus
Martingale Representation
Mathematical Finance
Stable Processes
Stochastic Control
Stochastic Differential Equations
Stochastic Processes
Product details
- ISBN 9789812565198
- Publication Date: 07 Mar 2006
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: Hardback
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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 Shinzo Watanabe, pioneers of Malliavin Calculus. The coverage also includes a valuable review of current research on credit risks in a mathematically sophisticated way contrasting with existing economics-oriented articles.
# Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications (E Barucci et al.) # Hedging of Credit Derivatives in Models with Totally Unexpected Default (T R Bielecki et al.) # A Large Trader-Insider Model (A Kohatsu-Higa & 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 a (H Hashimoto et al.) # Martingale Representation Theorem and Chaos Expansion (S Watanabe)
