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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 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.

Keywords: Stochastic Calculus; Mathematical Finance; Insider Trading; Stochastic Control; Real Options; Filtering Model of Credit Risks; Stochastic Growth Models (search for similar items in EconPapers)
Date: 2007
ISBN: 9789812704139
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Chapters in this book:

Ch 1 Financial Markets with Asymmetric Information: Information Drift, Additional Utility and Entropy , pp 1-21 Downloads
Stefan Ankirchner and Peter Imkeller
Ch 2 A Localization of the Lévy Operators Arising in Mathematical Finances , pp 23-52 Downloads
Mariko Arisawa
Ch 3 Model-free Representation of Pricing Rules as Conditional Expectations , pp 53-66 Downloads
Sara Biagini and Rama Cont
Ch 4 A Class of Financial Products and Models Where Super-replication Prices are Explicit , pp 67-84 Downloads
L. Carassus, E. Gobet and E. Temam
Ch 5 Risky Debt and Optimal Coupon Policy and Other Optimal Strategies , pp 85-95 Downloads
Diana Dorobantu and Monique Pontier
Ch 6 Affine Credit Risk Models under Incomplete Information , pp 97-113 Downloads
Rüdiger Frey, Cecilia Prosdocimi and Wolfgang J. Runggaldier
Ch 7 Smooth Rough Paths and the Applications , pp 115-125 Downloads
Keisuke Hara and Terry Lyons
Ch 8 From Access to Bypass: A Real Options Approach , pp 127-150 Downloads
Keiichi Hori and Keizo Mizuno
Ch 9 The Investment Game under Uncertainty: An Analysis of Equilibrium Values in the Presence of First or Second Mover Advantage , pp 151-172 Downloads
Junichi Imai and Takahiro Watanabe
Ch 10 Asian Strike Options of American Type and Game Type , pp 173-191 Downloads
Masaya Ishihara and Hiroshi Kunita
Ch 11 Minimal Variance Martingale Measures for Geometric Lévy Processes , pp 193-196 Downloads
M. Jeanblanc, S. Kloeppel and Y. Miyahara
Ch 12 Cubature on Wiener Space Continued , pp 197-217 Downloads
Christian Litterer and Terry Lyons
Ch 13 A Remark on Impulse Control Problems with Risk-sensitive Criteria , pp 219-232 Downloads
Hideo Nagai
Ch 14 A Convolution Approach to Multivariate Bessel Proceses , pp 233-244 Downloads
Thu Van Nguyen, S. Ogawa and M. Yamazato
Ch 15 Spectral Representation of Multiply Self-decomposable Stochastic Processes and Applications , pp 245-258 Downloads
Nguyen Van Thu, To Anh Dung, Duong Ton Dam and Nguyen Huu Thai
Ch 16 Stochastic Growth Models of an Isolated Economy , pp 259-274 Downloads
Kunio Nishioka
Ch 17 Numerical Approximation by Quantization for Optimization Problems in Finance under Partial Observations , pp 275-296 Downloads
Huyên Pham

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