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: 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.

Keywords: Stochastic Processes; Mathematical Finance; Malliavin Calculus; Martingale Representation; Chaos Expansion; Levy Processes; Stable Processes; Stochastic Differential Equations; Stochastic Control (search for similar items in EconPapers)
Date: 2006
ISBN: 9789812565198
References: Add references at CitEc
Citations: View citations in EconPapers (1)

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Chapters in this book:

Ch 1 Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications , pp 1-34

Emilio Barucci, Paul Malliavin and Maria Elvira Mancino

Ch 2 Hedging of Credit Derivatives in Models with Totally Unexpected Default , pp 35-100

Tomasz R. Bielecki, Monique Jeanblanc and Marek Rutkowski

Ch 3 A Large Trader-Insider Model , pp 101-124

Arturo Kohatsu-Higa and Agnès Sulem

Ch 4 [GLP & MEMM] Pricing Models and Related Problems , pp 125-156

Yoshio Miyahara

Ch 5 Topics Related to Gamma Processes , pp 157-182

Makoto Yamazato

Ch 6 On Stochastic Differential Equations Driven by Symmetric Stable Processes of Index α , pp 183-193

Hiroya Hashimoto, Takahiro Tsuchiya and Toshio Yamada

Ch 7 Martingale Representation Theorem and Chaos Expansion , pp 195-217

Shinzo Watanabe

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