Stochastic Processes And Applications To Mathematical Finance Proceedings Of The 5th Ritsumeikan International Symposium

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Stochastic Processes And Applications To Mathematical Finance Proceedings Of The 5th Ritsumeikan International Symposium

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Author : Jiro Akahori
language : en
Publisher: World Scientific
Release Date : 2006-03-06

Stochastic Processes And Applications To Mathematical Finance Proceedings Of The 5th Ritsumeikan International Symposium written by Jiro Akahori and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-03-06 with Business & Economics categories.

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.Among the eminent contributors are Paul Malliavin and Shinzo Watanabe, pioneers of Malliavin Calculus. The coverage also includes a valuable review of current research on credit risks in a mathematically sophisticated way contrasting with existing economics-oriented articles.

Stochastic Processes And Applications To Mathematical Finance

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Author : Jiro Akahori
language : en
Publisher: World Scientific
Release Date : 2006

Stochastic Processes And Applications To Mathematical Finance written by Jiro Akahori and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Mathematics categories.

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.Among the eminent contributors are Paul Malliavin and Shinzo Watanabe, pioneers of Malliavin Calculus. The coverage also includes a valuable review of current research on credit risks in a mathematically sophisticated way contrasting with existing economics-oriented articles.

Stochastic Processes And Applications To Mathematical Finance

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Author : Shigeyoshi Ogawa
language : en
Publisher:
Release Date : 2004

Stochastic Processes And Applications To Mathematical Finance written by Shigeyoshi Ogawa and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Electronic book categories.

Option Pricing In Incomplete Markets

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Author : Yoshio Miyahara
language : en
Publisher: World Scientific
Release Date : 2012

Option Pricing In Incomplete Markets written by Yoshio Miyahara and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Electronic books categories.

This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric L(r)vy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure. This volume also presents the calibration procedure of the [GLP \& MEMM] model that has been widely used in the application of practical problem

Recent Advances In Financial Engineering

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Author : Masaaki Kijima
language : en
Publisher: World Scientific
Release Date : 2009

Recent Advances In Financial Engineering written by Masaaki Kijima and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Business & Economics categories.

This volume contains the proceedings of the 2008 Daiwa International Workshop on Financial Engineering held in Tokyo. The annual workshop is sponsored by the Daiwa Securities Group, and serves as a bridge between leading academics and practitioners in the field. This year, the papers presented at the workshop have been refereed and published in a single volume to commemorate the 60th birthday of Professor Yuri Kabanov, and to thank him for his contributions to the progress of mathematical finance in general, and the Daiwa International Workshop in particular. The book caters to academics and practitioners as well as graduate and postgraduate students of financial engineering. Quantitative researchers on financial markets will also find it a useful resource.

Enlargement Of Filtration With Finance In View

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Author : Anna Aksamit
language : en
Publisher: Springer
Release Date : 2017-11-18

Enlargement Of Filtration With Finance In View written by Anna Aksamit and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-11-18 with Mathematics categories.

This volume presents classical results of the theory of enlargement of filtration. The focus is on the behavior of martingales with respect to the enlarged filtration and related objects. The study is conducted in various contexts including immersion, progressive enlargement with a random time and initial enlargement with a random variable. The aim of this book is to collect the main mathematical results (with proofs) previously spread among numerous papers, great part of which is only available in French. Many examples and applications to finance, in particular to credit risk modelling and the study of asymmetric information, are provided to illustrate the theory. A detailed summary of further connections and applications is given in bibliographic notes which enables to deepen study of the topic. This book fills a gap in the literature and serves as a guide for graduate students and researchers interested in the role of information in financial mathematics and in econometric science. A basic knowledge of the general theory of stochastic processes is assumed as a prerequisite.

Mathematical Methods For Financial Markets

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Author : Monique Jeanblanc
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-10-13

Mathematical Methods For Financial Markets written by Monique Jeanblanc and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-10-13 with Business & Economics categories.

Mathematical finance has grown into a huge area of research which requires a large number of sophisticated mathematical tools. This book simultaneously introduces the financial methodology and the relevant mathematical tools in a style that is mathematically rigorous and yet accessible to practitioners and mathematicians alike. It interlaces financial concepts such as arbitrage opportunities, admissible strategies, contingent claims, option pricing and default risk with the mathematical theory of Brownian motion, diffusion processes, and Lévy processes. The first half of the book is devoted to continuous path processes whereas the second half deals with discontinuous processes. The extensive bibliography comprises a wealth of important references and the author index enables readers quickly to locate where the reference is cited within the book, making this volume an invaluable tool both for students and for those at the forefront of research and practice.

Mathematical Reviews

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Author :
language : en
Publisher:
Release Date : 2007

Mathematical Reviews written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Mathematics categories.

Stochastic Processes And Applications To Mathematical Finance Proceedings Of The Ritsumeikan International Symposium

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Author : Jiro Akahori
language : en
Publisher: World Scientific
Release Date : 2004-07-06

Stochastic Processes And Applications To Mathematical Finance Proceedings Of The Ritsumeikan International Symposium written by Jiro Akahori and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-07-06 with Mathematics categories.

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.The proceedings have been selected for coverage in:• Index to Scientific & Technical Proceedings® (ISTP® / ISI Proceedings)• Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings® (ISSHP® / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)• CC Proceedings — Engineering & Physical Sciences

Stochastic Processes And Applications To Mathematical Finance Proceedings Of The 6th Ritsumeikan International Conference

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Author : Jiro Akahori
language : en
Publisher: World Scientific
Release Date : 2007-04-04

Stochastic Processes And Applications To Mathematical Finance Proceedings Of The 6th Ritsumeikan International Conference written by Jiro Akahori and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-04-04 with Business & Economics categories.

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.