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Stochastic processes and applications to mathematical finance
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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 Science
| Title |
Stochastic processes and applications to mathematical finance : proceedings of the Ritsumeikan International Symposium, Kusatsu, Shiga, Japan, 5-9 March 2003 / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe. |
|---|---|
| Additional Titles |
Proceedings of the Ritsumeikan International Symposium, Kusatsu, Shiga, Japan, 5-9 March 2003 |
| Publisher |
Singapore River Edge, N.J. : World Scientific |
| Creation Date |
c2004 |
| Notes |
Description based upon print version of record. Includes bibliographical references. English |
| Content |
Preface Contents Numerical Analysis and Misspecifications in Finance: From Model Risk to Localization Error Estimates for Nonlinear PDEs 1. Introduction 2. Model Risk Measurement Approximation of Quantiles of Diffusion Processes 3. A Worst Case Analysis for Model Risks 4. Various RBSDEs 5. An Unhomogeneous Reflected BSDE with a Reflected Forward SDE and a Monotonicity Hypothesis 6. Localization Error References The Term Structure of Interest Rates as a Random Field: a Stochastic Integration Approach 2. Stochastic Integration with Respect to a Continuous Semimartingale with Values in the Set of Continuous Functions3. The Financial Model 4. Utility Maximization Revisiting the Greeks for European and American Options 1. Statement of the Problem 2. Computations of Delta 3. Other Greeks 4. Conclusion Excursions in the Martingale Hypothesis 2. The Model 3. Test Description 4. Excursions Estimation 5. Power 6. Empirical Evidence Analysis of Jump Processes and Its Application to Optimal Control 1. Ito Type Process 2. Canonical Process on Poisson Space3. Short Time Asymptotic Bounds 4. Support Theorem for Jump Processes of Canonical Type 5. Optimal Control Problem Associated with Jump Processes Structure on Solutions of Ergodic Type Bellman Equations of First and Second Orders: Some Observations through the Singular Limits 2. Structure of Solutions in Second Order Case 3. Singular Limits 4. Some Observation on Structure of Viscosity Solutions in First Order Case Multivariate Utility Maximization under Transaction Costs 3. The Optimization Problem4. Existence via a Dual Optimization Problem Enlargement of Filtrations and Models for Insider Trading 2. A Simple First Example 3. A Dynamic Model for Insider Information 4. An Approach using the Integration by Parts Formula 5. An Insider that Knows the Time of the Maximum Variational Equality and Portfolio Optimization for Price Processes with Jumps 2. Equivalent Martingale Measures 3. Dual Optimization Problem 4. Primal Optimization Problem 5. A Variational Equality 6. Optimality and Orthogonality of MartingalesReferences Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems 2. The Asymptotic Expansion Approach 3. Optimal Portfolio Insurance Problem 4. Application to Monte Carlo Method 5. Valuation Problem of Contingent Claims with Term Structure of Interest Rates 6. Concluding Remarks A New Simulation Method of Diffusion Processes Applied to Finance 2. A New Approximation Scheme 3. Numerical Examples: Application to Finance Non Linear Feedback Effects by Hedging Strategies |
| Extent |
1 online resource (410 p.) |
| Language |
English |
| National Library system number |
997010718729005171 |
MARC RECORDS
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