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.
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| Weitere Verfasser: | , , |
| Format: | Elektronisch Tagungsbericht E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore ; River Edge, N.J. :
World Scientific,
©2004.
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| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 online resource (viii, 400 pages) |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 9789812702852 9812702857 |
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| 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. |
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| 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. | |
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| 650 | 6 | |a Processus stochastiques |v Congrès. | |
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| 650 | 7 | |a Stochastic processes |2 fast | |
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| 700 | 1 | |a Akahori, Jirō. | |
| 700 | 1 | |a Ogawa, Shigeyoshi. | |
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| contents | 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. |
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| dewey-full | 519.22 |
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| dewey-ones | 519 - Probabilities and applied mathematics |
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| discipline | Mathematik |
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| spelling | Ritsumeikan International Symposium (3rd : 2003 : Kusatsu-chō, Japan) Stochastic processes and applications to mathematical finance : proceedings of the Ritsumeikan International Symposium, Kusatsu, Shiga, Japan, 5-9 March 2003 / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe. Proceedings of the Ritsumeikan International Symposium, Kusatsu, Shiga, Japan, 5-9 March 2003 Singapore ; River Edge, N.J. : World Scientific, ©2004. 1 online resource (viii, 400 pages) text txt rdacontent computer c rdamedia online resource cr rdacarrier Includes bibliographical references. 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. 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. Finance Mathematical models Congresses. Stochastic processes Congresses. Finances Modèles mathématiques Congrès. Processus stochastiques Congrès. MATHEMATICS Probability & Statistics General. bisacsh Finance Mathematical models fast Stochastic processes fast Stochastic processes Mathematical finance Conference papers and proceedings fast Akahori, Jirō. Ogawa, Shigeyoshi. Watanabe, Shinzo, 1935- https://id.oclc.org/worldcat/entity/E39PBJB8vG9Q4438qr6FFbcwYP http://id.loc.gov/authorities/names/n81019199 has work: Stochastic processes and applications to mathematical finance (Text) https://id.oclc.org/worldcat/entity/E39PCFTBxM9YXCyr7KQXBVd3kP https://id.oclc.org/worldcat/ontology/hasWork FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=514731 Volltext CBO01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=514731 Volltext |
| spellingShingle | Stochastic processes and applications to mathematical finance : proceedings of the Ritsumeikan International Symposium, Kusatsu, Shiga, Japan, 5-9 March 2003 / 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. Finance Mathematical models Congresses. Stochastic processes Congresses. Finances Modèles mathématiques Congrès. Processus stochastiques Congrès. MATHEMATICS Probability & Statistics General. bisacsh Finance Mathematical models fast Stochastic processes fast |
| title | Stochastic processes and applications to mathematical finance : proceedings of the Ritsumeikan International Symposium, Kusatsu, Shiga, Japan, 5-9 March 2003 / |
| title_alt | Proceedings of the Ritsumeikan International Symposium, Kusatsu, Shiga, Japan, 5-9 March 2003 |
| title_auth | Stochastic processes and applications to mathematical finance : proceedings of the Ritsumeikan International Symposium, Kusatsu, Shiga, Japan, 5-9 March 2003 / |
| title_exact_search | Stochastic processes and applications to mathematical finance : proceedings of the Ritsumeikan International Symposium, Kusatsu, Shiga, Japan, 5-9 March 2003 / |
| title_full | Stochastic processes and applications to mathematical finance : proceedings of the Ritsumeikan International Symposium, Kusatsu, Shiga, Japan, 5-9 March 2003 / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe. |
| title_fullStr | Stochastic processes and applications to mathematical finance : proceedings of the Ritsumeikan International Symposium, Kusatsu, Shiga, Japan, 5-9 March 2003 / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe. |
| title_full_unstemmed | Stochastic processes and applications to mathematical finance : proceedings of the Ritsumeikan International Symposium, Kusatsu, Shiga, Japan, 5-9 March 2003 / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe. |
| title_short | Stochastic processes and applications to mathematical finance : |
| title_sort | stochastic processes and applications to mathematical finance proceedings of the ritsumeikan international symposium kusatsu shiga japan 5 9 march 2003 |
| title_sub | proceedings of the Ritsumeikan International Symposium, Kusatsu, Shiga, Japan, 5-9 March 2003 / |
| topic | Finance Mathematical models Congresses. Stochastic processes Congresses. Finances Modèles mathématiques Congrès. Processus stochastiques Congrès. MATHEMATICS Probability & Statistics General. bisacsh Finance Mathematical models fast Stochastic processes fast |
| topic_facet | Finance Mathematical models Congresses. Stochastic processes Congresses. Finances Modèles mathématiques Congrès. Processus stochastiques Congrès. MATHEMATICS Probability & Statistics General. Finance Mathematical models Stochastic processes Conference papers and proceedings |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=514731 |
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