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.
Book Description
Editorial Reviews
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)
Product Details
Would you like to update product info or give feedback on images?
|
Customer Reviews
|
There are no customer reviews yet.
|
|||
|
Video reviews
|
Inside This Book
(learn more)
Key Phrases - Statistically Improbable Phrases (SIPs):
(learn more)
compound return process, squared intraday returns, minimal entropy martingale measure, hitting time distributions, generating triplet, integrated volatility, generalized diffusion processes, defaultable claim, selfdecomposable distributions, survival claim, defaultable asset, symmetric stable process, pathwise uniqueness, vulnerable option, default intensity, forward integral, market observables, martingale condition, tradeable assets, replicating strategy, chaos expansion, fitness analysis, total default, martingale representation theorem, realized volatility Key Phrases - Capitalized Phrases (CAPs): (learn more)
Mathematical Finance, Berlin Heidelberg New York, Monte Carlo, World Scientific, Greek Delta, Lecture Notes, Discussion Papers, Journal of Finance, Princeton University Press, Ritsumeikan University, Cambridge University Press, Cornell University, Markov Processes, Nagoya Math, Variance Gamma, Stochastic Proc New!
Books on Related Topics Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Back Cover | Surprise Me!
compound return process, squared intraday returns, minimal entropy martingale measure, hitting time distributions, generating triplet, integrated volatility, generalized diffusion processes, defaultable claim, selfdecomposable distributions, survival claim, defaultable asset, symmetric stable process, pathwise uniqueness, vulnerable option, default intensity, forward integral, market observables, martingale condition, tradeable assets, replicating strategy, chaos expansion, fitness analysis, total default, martingale representation theorem, realized volatility Key Phrases - Capitalized Phrases (CAPs): (learn more)
Mathematical Finance, Berlin Heidelberg New York, Monte Carlo, World Scientific, Greek Delta, Lecture Notes, Discussion Papers, Journal of Finance, Princeton University Press, Ritsumeikan University, Cambridge University Press, Cornell University, Markov Processes, Nagoya Math, Variance Gamma, Stochastic Proc New!
Books on Related Topics Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Back Cover | Surprise Me!
Tag this product(What's this?)Think of a tag as a keyword or label you consider is strongly related to this product.
Tags will help all customers organize and find favorite items. |
Sell a Digital Version of This Book in the Kindle Store
If you are a publisher or author and hold the digital rights to a book, you can sell a digital version of it in our Kindle Store.
Learn more
Customer Discussions
|
This product's forum
Active discussions in related forums
Search Customer Discussions
|
Related forums
|
