Stochastic Processes And Applications To Mathematical Finance Proceedings Of The 5th Ritsumeikan International Symposium
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| Author | : Jiro Akahori |
| Publisher | : World Scientific |
| Total Pages | : 228 |
| Release | : 2006 |
| Genre | : Mathematics |
| ISBN | : 9812565191 |
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.
| Author | : Jiro Akahori |
| Publisher | : World Scientific Publishing Company Incorporated |
| Total Pages | : 400 |
| Release | : 2004-01-01 |
| Genre | : Business & Economics |
| ISBN | : 9789812387783 |
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.
| Author | : Jiro Akahori |
| Publisher | : World Scientific |
| Total Pages | : 410 |
| Release | : 2004-07-06 |
| Genre | : Mathematics |
| ISBN | : 9814483095 |
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
| Author | : Jiro Akahori |
| Publisher | : World Scientific |
| Total Pages | : 228 |
| Release | : 2006-03-06 |
| Genre | : Business & Economics |
| ISBN | : 9814479225 |
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.
| Author | : Takaki Hayashi |
| Publisher | : |
| Total Pages | : |
| Release | : 2010 |
| Genre | : |
| ISBN | : |
| Author | : Yoshio Miyahara |
| Publisher | : World Scientific |
| Total Pages | : 200 |
| Release | : 2012 |
| Genre | : Electronic books |
| ISBN | : 1848163487 |
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
| Author | : Masaaki Kijima |
| Publisher | : World Scientific |
| Total Pages | : 243 |
| Release | : 2009 |
| Genre | : Business & Economics |
| ISBN | : 9814273473 |
This volume contains the proceedings of the 2008 Daiwa International Workshop on Financial Engineering held in Tokyo. The annual workshop is sponsored by the Daiwa Securities Group, and serves as a bridge between leading academics and practitioners in the field. This year, the papers presented at the workshop have been refereed and published in a single volume to commemorate the 60th birthday of Professor Yuri Kabanov, and to thank him for his contributions to the progress of mathematical finance in general, and the Daiwa International Workshop in particular. The book caters to academics and practitioners as well as graduate and postgraduate students of financial engineering. Quantitative researchers on financial markets will also find it a useful resource.
| Author | : Anna Aksamit |
| Publisher | : Springer |
| Total Pages | : 155 |
| Release | : 2017-11-18 |
| Genre | : Mathematics |
| ISBN | : 3319412558 |
This volume presents classical results of the theory of enlargement of filtration. The focus is on the behavior of martingales with respect to the enlarged filtration and related objects. The study is conducted in various contexts including immersion, progressive enlargement with a random time and initial enlargement with a random variable. The aim of this book is to collect the main mathematical results (with proofs) previously spread among numerous papers, great part of which is only available in French. Many examples and applications to finance, in particular to credit risk modelling and the study of asymmetric information, are provided to illustrate the theory. A detailed summary of further connections and applications is given in bibliographic notes which enables to deepen study of the topic. This book fills a gap in the literature and serves as a guide for graduate students and researchers interested in the role of information in financial mathematics and in econometric science. A basic knowledge of the general theory of stochastic processes is assumed as a prerequisite.
| Author | : Robert J. Elliot |
| Publisher | : World Scientific |
| Total Pages | : 605 |
| Release | : 2012 |
| Genre | : Mathematics |
| ISBN | : 9814383309 |
This Festschrift is dedicated to Robert J Elliott on the occasion of his 70th birthday It brings together a collection of chapters by distinguished and eminent scholars in the fields of stochastic processes, filtering and control, as well as their applications to mathematical finance It presents cutting edge developments in these fields and is a valuable source of references for researchers, graduate students and market practitioners in mathematical finance and financial engineering Topics include the theory of stochastic processes, differential and stochastic games, mathematical finance, filtering and control.
| Author | : Tusheng Zhang |
| Publisher | : World Scientific |
| Total Pages | : 465 |
| Release | : 2012 |
| Genre | : Business & Economics |
| ISBN | : 9814383570 |
A collection of solicited and refereed articles from distinguished researchers across the field of stochastic analysis and its application to finance. It covers the topics ranging from Markov processes, backward stochastic differential equations, stochastic partial differential equations, and stochastic control, to risk measure and risk theory.
