Stochastic Processes and Applications to Mathematical Finance: (Proceedings of the Ritsumeikan International Symposium, Kusatsu, Shiga, Japan 5-9 March 2003) [Hardcover]

Ritsumeikan International Symposium 2003 (Author), Jiro Akahori (Author), Shigeyoshi Ogawa (Author), Shinzo Watanabe (Author)

Book Description

ISBN-10: 9812387781 | ISBN-13: 978-9812387783 | Publication Date: July 31, 2004

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.

Product Details

• Hardcover: 400 pages
• Publisher: World Scientific Pub Co Inc (July 31, 2004)
• Language: English
• ISBN-10: 9812387781
• ISBN-13: 978-9812387783
• Product Dimensions: 9.3 x 6.4 x 1 inches
• Shipping Weight: 1.4 pounds (View shipping rates and policies)
• Amazon Best Sellers Rank: #8,282,531 in Books (See Top 100 in Books)