TY  - BOOK
AU  - Akahori,Jirō
AU  - Ogawa,Shigeyoshi
AU  - Watanabe,Shinzo
ED  - Ritsumeikan International Symposium
TI  - Stochastic processes and applications to mathematical finance: proceedings of the Ritsumeikan International Symposium, Kusatsu, Shiga, Japan, 5-9 March 2003 
SN  - 9789812702852
AV  - HG106 
U1  - 519.22 
PY  - 2004///
CY  - Singapore, River Edge, N.J.
PB  - World Scientific
KW  - Finance
KW  - Mathematical models
KW  - Congresses
KW  - Stochastic processes
KW  - Finances
KW  - Modèles mathématiques
KW  - Congrès
KW  - Processus stochastiques
KW  - MATHEMATICS
KW  - Probability & Statistics
KW  - General
KW  - bisacsh
KW  - fast
KW  - Mathematical finance
KW  - Electronic books
KW  - Conference papers and proceedings
N1  - Includes bibliographical references; Numerical analysis and misspecifications in finance: from model risk to localization error estimates for nonlinear PDEs / C. Berthelot, M. Bossy, and D. Talay -- The term structure of interest rates as a random field: a stochastic integration approach / M. De Donno -- Revisiting the Greeks for European and American options / E. Gobet -- Excursions in the martingale hypothesis / P. Guasoni -- Analysis of jump processes and its application to optimal control / Y. lshikawa -- Structure on solutions of ergodic type Bellman equations of first and second orders: some observations through the singular limits / H. Kaise and S.-J. Sheu -- Multivariate utility maximization under transaction costs / K. Kamizono -- Enlargement of filtrations and models for insider trading / A. Kohatsu-Higa -- Variational equality and portofolio optimization for price processes with jumps / H. Kunita -- Applications of the asymptotic expansion approach based on Malliavin-Watanabe Calculus in financial problems / N. Kunitomo and A. Takahashi -- A new simulation method of diffusion processes applied to finance / S. Kusuoka and S. Ninomiya -- Non linear feedback effects by hedging strategies / M.E. Mancino and S. Ogawa -- Risky fraction processes and problems with transaction costs / H. Nagai -- Noncausal cauchy problem for the noncausal SDEs / S. Ogawa -- A benchmark framework for risk management / E. Platen -- On Dufresne's perpetuity, translated and reflected / P. Salminen and M. Yor -- An analytic approach to secure pseudo-random generation / H. Sugita -- Some problems related to the Black-Scholes type security markets / J. Yong
N2  - 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
UR  - https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=514731
ER  -