Stochastic Processes And Applications To Mathematical Finance - Proceedings Of The Ritsumeikan International Symposium
Will be published approx. on 7. July 2004
Book
Hardback
408 pages
978-981-238-778-3 (ISBN)
Description
This book contains 17 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.The proceedings have been selected for coverage in:* Index to Scientific & Technical Proceedings (R) (ISTP (R) / ISI Proceedings)* Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)* Index to Social Sciences & Humanities Proceedings (R) (ISSHP (R) / ISI Proceedings)* Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)* CC Proceedings - Engineering & Physical Sciences
More details
Language
English
Place of publication
Singapore
Singapore
Target group
College/higher education
Professional and scholarly
Product notice
Laminated cover
Dimensions
Height: 235 mm
Width: 163 mm
Thickness: 21 mm
Weight
667 gr
ISBN-13
978-981-238-778-3 (9789812387783)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Persons
Content
Enlargement of Filtrations and Models for Insider Trading (A Kohatsu-Higa); Variational Equality and Portfolio Optimization for Price Processes with Jumps (H Kunita); A New Simulation Method of Diffusion Processes Applied to Finance (S Kusuoka & S Ninomiya); Risky Fraction Processes and Problems with Transaction Costs (H Nagai); A Benchmark Framework for Risk Management (E Platen); On Dufresne's Perpetuity, Translated and Reflected (P Salminen & M Yor); Some Problems Related to the Black-Scholes Type Security Markets (J Yong)