Title: STOCHASTIC PROCESSES AND APPLICATIONS TO MATHEMATICAL FINANCE - PROCEEDINGS OF THE 5TH RITSUMEIKAN INTERNATIONAL SYMPOSIUM
Publisher: World Scientific Publishing Comp
Publication Date: 2006
Language: English
ISBN 10: 9812565191
ISBN 13: 9789812565198
Binding: hardcover
Condition: Very Good

About this title

Synopsis

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.

About the Author

# 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)

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