Stochastic processes and applications to mathematical finance proceedings of the 5th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 3-6 March 2005 /

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Enti autori: Ritsumeikan International Symposium Ritsumeikan Daigaku, Japan, ebrary, Inc
Altri autori: Akahori, Jiro, Ogawa, Shigeyoshi, Watanabe, Shinzo, 1935-
Natura: Elettronico Atti del Convegno eBook
Lingua:inglese
Pubblicazione: Singapore ; Hackensack, NJ : World Scientific, c2006.
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Accesso online:An electronic book accessible through the World Wide Web; click to view
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Sommario:
  • Preface
  • Program
  • Harmonic analysis methods for nonparametic estimation of votality : theory and applications / E. Barucci, P. Malliavin and M.E. Mancino
  • Hedging of credit derivatives in models with totally unexpected default / T.R. Bielecki, M. Jeanblanc and M. Rutkowski
  • A large trader-insider model / A. Kohatsu-Higa and A. Sulem
  • [GLP & MEMM] pricing models and related problems / Y. Miyahara
  • Topics related to gamma processes / M. Yamazato
  • On stochastic differential equations driven by symmetric stable processes of Index [alpha] / H. Hashimoto, T. Tsuchiya and T. Yamada
  • Martingale representation theorem and chaos expansion / S. Watanabe.