Stochastic processes and applications to mathematical finance

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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, the conference elicits the very highest quality papers in the field of financial mathematics.

כותר Stochastic processes and applications to mathematical finance : proceedings of the 6th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 6-10 March 2006 / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe.
כותרים נוספים Proceedings of the 6th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 6-10 March 2006
מהדורה 1st ed.
מוציא לאור Singapore : World Scientific
שנה c2007
הערות Description based upon print version of record.
Includes bibliographical references.
English
הערת תוכן ותקציר 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. Runggaldier Smooth 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
Minimal Variance Martingale Measures for Geometric Levy Processes M. Jeanblanc, S. Kloeppel, and Y. Miyahara
Cubature on Wiener Space Continued C. Litterer and T. Lyons A Remark on Impulse Control Problems with Risk-sensitive Criteria H. Nagai
A Convolution Approach to Multivariate Bessel Proceses T. V. Nguyen, S. Ogawa, and M. Yamazato
Spectral Representation of Multiply Self-decomposable Stochastic Processes and Applications N. V. Thu, T. A. Dung, D. T. Dam, and N. H. Thai
Stochastic Growth Models of an Isolated Economy K. Nishioka
Numerical Approximation by Quantization for Optimization Problems in Finance under Partial Observations H. Pham
היקף החומר 1 online resource (309 p.)
שפה אנגלית
מספר מערכת 997010708138105171
תצוגת MARC

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