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
References: Add references at CitEc
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https://www.worldscientific.com/worldscibooks/10.1142/6330 (text/html)
Ebook Access is available upon purchase

Chapters in this book:

Ch 1 Financial Markets with Asymmetric Information: Information Drift, Additional Utility and Entropy , pp 1-21

Stefan Ankirchner and Peter Imkeller

Ch 2 A Localization of the Lévy Operators Arising in Mathematical Finances , pp 23-52

Mariko Arisawa

Ch 3 Model-free Representation of Pricing Rules as Conditional Expectations , pp 53-66

Sara Biagini and Rama Cont

Ch 4 A Class of Financial Products and Models Where Super-replication Prices are Explicit , pp 67-84

L. Carassus, E. Gobet and E. Temam

Ch 5 Risky Debt and Optimal Coupon Policy and Other Optimal Strategies , pp 85-95

Diana Dorobantu and Monique Pontier

Ch 6 Affine Credit Risk Models under Incomplete Information , pp 97-113

Rüdiger Frey, Cecilia Prosdocimi and Wolfgang J. Runggaldier

Ch 7 Smooth Rough Paths and the Applications , pp 115-125

Keisuke Hara and Terry Lyons

Ch 8 From Access to Bypass: A Real Options Approach , pp 127-150

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

Junichi Imai and Takahiro Watanabe

Ch 10 Asian Strike Options of American Type and Game Type , pp 173-191

Masaya Ishihara and Hiroshi Kunita

Ch 11 Minimal Variance Martingale Measures for Geometric Lévy Processes , pp 193-196

M. Jeanblanc, S. Kloeppel and Y. Miyahara

Ch 12 Cubature on Wiener Space Continued , pp 197-217

Christian Litterer and Terry Lyons

Ch 13 A Remark on Impulse Control Problems with Risk-sensitive Criteria , pp 219-232

Hideo Nagai

Ch 14 A Convolution Approach to Multivariate Bessel Proceses , pp 233-244

Thu Van Nguyen, S. Ogawa and M. Yamazato

Ch 15 Spectral Representation of Multiply Self-decomposable Stochastic Processes and Applications , pp 245-258

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

Kunio Nishioka

Ch 17 Numerical Approximation by Quantization for Optimization Problems in Finance under Partial Observations , pp 275-296

Huyên Pham

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