Stochastic processes and applications to mathematical finance : proceedings of the Ritsumeikan International Symposium, Kusatsu, Shiga, Japan, 5-9 March 2003 /
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| Meeting name: | Ritsumeikan International Symposium (3rd : 2003 : Kusatsu-chò„, Japan) |
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| Imprint: | Singapore : River Edge, N.J. : World Scientific, c2004. |
| Description: | viii, 400 p. ; 24 cm. |
| Language: | English |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/5519686 |
Table of Contents:
- Numerical analysis and misspecifications in France : 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. Ishikawa
- 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 portfolio 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.
