Stochastic Processes and Applications to Mathematical Finance

Edited by Jiro Akahori, Shigeyoshi Ogawa and Shinzo Watanabe

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: This book contains 17 articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Lévy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance.

Keywords: Stochastic Processes; Stochastic Differential Equations; Malliavin Calculus; Stochastic Control and Optimization; Functionals of Brownian Motions and Lévy Processes; Stochastic Models of Financial Market; Derivative Pricing; Hedging Problem (search for similar items in EconPapers)
Date: 2004
ISBN: 9789812387783
References: Add references at CitEc
Citations: View citations in EconPapers (9)

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https://www.worldscientific.com/worldscibooks/10.1142/5487 (text/html)
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Chapters in this book:

Ch 1 Numerical Analysis and Misspecifications in Finance: From Model Risk to Localization Error Estimates for Nonlinear PDEs , pp 1-25

Christophe Berthelot, Mireille Bossy and Denis Talay

Ch 2 The Term Structure of Interest Rates as a Random Field: a Stochastic Integration Approach , pp 27-52

Marzia De Donno

Ch 3 Revisiting the Greeks for European and American Options , pp 53-71

Emmanuel Gobet

Ch 4 Excursions in the Martingale Hypothesis , pp 73-95

Paolo Guasoni

Ch 5 Analysis of Jump Processes and Its Application to Optimal Control , pp 97-118

Yasushi Ishikawa

Ch 6 Structure on Solutions of Ergodic Type Bellman Equations of First and Second Orders: Some Observations through the Singular Limits , pp 119-132

Hidehiro Kaise and Shuenn-Jyi Sheu

Ch 7 Multivariate Utility Maximization under Transaction Costs , pp 133-149

Kenji Kamizono

Ch 8 Enlargement of Filtrations and Models for Insider Trading , pp 151-165

Arturo Kohatsu-Higa

Ch 9 Variational Equality and Portfolio Optimization for Price Processes with Jumps , pp 167-194

Hiroshi Kunita

Ch 10 Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems , pp 195-232

Naoto Kunitomo and Akihiko Takahashi

Ch 11 A New Simulation Method of Diffusion Processes Applied to Finance , pp 233-253

Shigeo Kusuoka and Syoiti Ninomiya

Ch 12 Non Linear Feedback Effects by Hedging Strategies , pp 255-269

Maria Elvira Mancino and Shigeyoshi Ogawa

Ch 13 Risky Fraction Processes and Problems with Transaction Costs , pp 271-288

Hideo Nagai

Ch 14 Noncausal Cauchy Problem for the Noncausal SDEs , pp 289-304

Shigeyoshi Ogawa

Ch 15 A Benchmark Framework for Risk Management , pp 305-335

Eckhard Platen

Ch 16 On Dufresne's Perpetuity, Translated and Reflected , pp 337-354

Paavo Salminen and Marc Yor

Ch 17 An Analytic Approach to Secure Pseudo-Random Generation , pp 355-368

Hiroshi Sugita

Ch 18 Some Problems Related to the Black-Scholes Type Security Markets , pp 369-400

Jiongmin Yong

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