Stochastic Processes And Applications To Mathematical Finance - Proceedings Of The 5th Ritsumeikan International Symposium
Stochastic Processes And Applications To Mathematical Finance - Proceedings Of The 5th Ritsumeikan International Symposium

Author: Jiro Akahori

Publisher: World Scientific

Published: 2006-03-06

Total Pages: 228

ISBN-13: 9814479225

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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.

Stochastic Processes And Applications To Mathematical Finance - Proceedings Of The Ritsumeikan International Symposium
Stochastic Processes And Applications To Mathematical Finance - Proceedings Of The Ritsumeikan International Symposium

Author: Jiro Akahori

Publisher: World Scientific

Published: 2004-07-06

Total Pages: 410

ISBN-13: 9814483095

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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.The proceedings have been selected for coverage in:• Index to Scientific & Technical Proceedings® (ISTP® / ISI Proceedings)• Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings® (ISSHP® / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)• CC Proceedings — Engineering & Physical Sciences

Stochastic Processes And Applications To Mathematical Finance - Proceedings Of The 6th Ritsumeikan International Conference
Stochastic Processes And Applications To Mathematical Finance - Proceedings Of The 6th Ritsumeikan International Conference

Author: Jiro Akahori

Publisher: World Scientific

Published: 2007-04-04

Total Pages: 309

ISBN-13: 9814476374

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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.

Stochastic Processes and Applications to Mathematical Finance
Stochastic Processes and Applications to Mathematical Finance

Author: Jiro Akahori

Publisher: World Scientific

Published: 2004

Total Pages: 410

ISBN-13: 9812387781

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This book contains articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Levy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance. Examples of topics are applications of Malliavin calculus and numerical analysis to a new simulation scheme for calculating the price of financial derivatives, applications of the asymptotic expansion method in Malliavin calculus to financial problems, semimartingale decompositions under an enlargement of filtrations in connection with insider problems, and the problem of transaction costs in connection with stochastic control and optimization problems.

Stochastic Processes and Applications to Mathematical Finance
Stochastic Processes and Applications to Mathematical Finance

Author:

Publisher: World Scientific

Published: 2004

Total Pages: 410

ISBN-13: 9812702857

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This book contains 17 articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and L(r)vy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance.The proceedings have been selected for coverage in: OCo Index to Scientific & Technical Proceedings- (ISTP- / ISI Proceedings)OCo Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)OCo Index to Social Sciences & Humanities Proceedings- (ISSHP- / ISI Proceedings)OCo Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)OCo CC Proceedings OCo Engineering & Physical Sciences"

Stochastic Processes and Applications to Mathematical Finance
Stochastic Processes and Applications to Mathematical Finance

Author: Jiro Akahori

Publisher: World Scientific

Published: 2007

Total Pages: 309

ISBN-13: 9812770445

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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.

Mathematical Modelling and Numerical Methods in Finance
Mathematical Modelling and Numerical Methods in Finance

Author: Alain Bensoussan

Publisher: Elsevier

Published: 2009-06-16

Total Pages: 743

ISBN-13: 0080931006

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Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. Mathematical Modelling and Numerical Methods in Finance addresses the three most important aspects in the field: mathematical models, computational methods, and applications, and provides a solid overview of major new ideas and results in the three domains. - Coverage of all aspects of quantitative finance including models, computational methods and applications - Provides an overview of new ideas and results - Contributors are leaders of the field

Stochastic Analysis 2010
Stochastic Analysis 2010

Author: Dan Crisan

Publisher: Springer Science & Business Media

Published: 2010-11-26

Total Pages: 303

ISBN-13: 3642153585

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Stochastic Analysis aims to provide mathematical tools to describe and model high dimensional random systems. Such tools arise in the study of Stochastic Differential Equations and Stochastic Partial Differential Equations, Infinite Dimensional Stochastic Geometry, Random Media and Interacting Particle Systems, Super-processes, Stochastic Filtering, Mathematical Finance, etc. Stochastic Analysis has emerged as a core area of late 20th century Mathematics and is currently undergoing a rapid scientific development. The special volume “Stochastic Analysis 2010” provides a sample of the current research in the different branches of the subject. It includes the collected works of the participants at the Stochastic Analysis section of the 7th ISAAC Congress organized at Imperial College London in July 2009.

Option Pricing in Incomplete Markets
Option Pricing in Incomplete Markets

Author: Yoshio Miyahara

Publisher: World Scientific

Published: 2012

Total Pages: 200

ISBN-13: 1848163487

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This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric L(r)vy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure. This volume also presents the calibration procedure of the [GLP \& MEMM] model that has been widely used in the application of practical problem