Proceedings of the Ritsumeikan International Symposium stochastic processes and applications to mathematical finance, Kusatsu, Schiga, Japan, 5-9 March 2003

書誌事項

Proceedings of the Ritsumeikan International Symposium stochastic processes and applications to mathematical finance, Kusatsu, Schiga, Japan, 5-9 March 2003

editors Jiro Akahori, Shigeyoshi Ogawa and Shinzo Watanabe

World Scientific, c2004

タイトル別名

Stochastic processes and applicatins to mathematical finance

Stochastic processes and applicatins to mathematical finance : proceedings of the Ritsumeikan International Symposium, Kusatsu, Schiga, Japan, 5-9 March 2003

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注記

Includes bibliographical references

内容説明・目次

内容説明

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

目次

  • Enlargement of Filtrations and Models for Insider Trading (A Kohatsu-Higa)
  • Variational Equality and Portfolio Optimization for Price Processes with Jumps (H Kunita)
  • A New Simulation Method of Diffusion Processes Applied to Finance (S Kusuoka & S Ninomiya)
  • Risky Fraction Processes and Problems with Transaction Costs (H Nagai)
  • A Benchmark Framework for Risk Management (E Platen)
  • On Dufresne's Perpetuity, Translated and Reflected (P Salminen & M Yor)
  • Some Problems Related to the Black-Scholes Type Security Markets (J Yong)

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詳細情報

  • NII書誌ID(NCID)
    BA6839253X
  • ISBN
    • 9812387781
  • 出版国コード
    si
  • タイトル言語コード
    eng
  • 本文言語コード
    eng
  • 出版地
    Singapore
  • ページ数/冊数
    viii, 400 p.
  • 大きさ
    24 cm
  • 件名
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