|
" Stochastic processes and applications to mathematical finance : "
editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe.
| Document Type
|
:
|
BL
|
| Record Number
|
:
|
1004100
|
| Doc. No
|
:
|
b758470
|
| Main Entry
|
:
|
Ritsumeikan International Symposium(6th :2006 :, Ritsumeikan University)
|
| Title & Author
|
:
|
Stochastic processes and applications to mathematical finance : : proceedings of the 6th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 6-10 March 2006 /\ editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe.
|
| Publication Statement
|
:
|
Singapore :: World Scientific,, ©2007.
|
| Page. NO
|
:
|
1 online resource (xii, 296 pages) :: illustrations
|
| ISBN
|
:
|
1281121320
|
|
|
:
|
: 6611121323
|
|
|
:
|
: 9781281121325
|
|
|
:
|
: 9786611121327
|
|
|
:
|
: 9789812770448
|
|
|
:
|
: 9812770445
|
|
|
:
|
9789812704139
|
|
|
:
|
9812704132
|
| Bibliographies/Indexes
|
:
|
Includes bibliographical references.
|
| Contents
|
:
|
Financial markets with asymmetric information: Information drift, additional utility and entropy -- A localization of the Levy operators arising in mathematical finances -- Model-free representation of pricing rules as conditional expectations -- A class of financial products and models where super-replication prices are explicit -- Risky debt and optimal coupon policy and other optimal strategies -- Affine credit risk models under incomplete information -- Smooth rough paths and the applications -- From access to bypass: A real options approach -- The investment game under uncertainty: An analysis of equilibrium values in the presence of first or second mover advantage -- Asian strike options of American type and game type -- Minimal variance martingale measures for geometric Levy processes -- Cubature on wiener space continued -- A remark on impulse control problems with risk-sensitive criteria -- A convolution approach to multivariate Bessel proceses -- Spectral representation of multiply self-decomposable stochastic processes and applications -- Stochastic growth models of an isolated economy -- Numerical approximation by quantization for optimization problems in finance under partial observations.
|
| Abstract
|
:
|
This volume contains the contributions to a conference that is among the most important meetings in financial mathematics. Serving as a bridge between probabilists in Japan (called the Ito School and known for its highly sophisticated mathematics) and mathematical finance and financial engineering, the conference elicits the very highest quality papers in the field of financial mathematics.
|
| Subject
|
:
|
Finance-- Mathematical models, Congresses.
|
| Subject
|
:
|
Stochastic processes, Congresses.
|
| Subject
|
:
|
Finance-- Mathematical models.
|
| Subject
|
:
|
Stochastic processes.
|
| Dewey Classification
|
:
|
332.6420151923
|
| LC Classification
|
:
|
HG106.R58 2006eb
|
| NLM classification
|
:
|
31.70bcl
|
| Added Entry
|
:
|
Akahori, Jiro.
|
|
|
:
|
Ogawa, Shigeyoshi.
|
|
|
:
|
Watanabe, Shinzo,1935-
|
| Parallel Title
|
:
|
Proceedings of the 6th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 6-10 March 2006
|
| |