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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Corporate Authors: | |
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Group Author: | ; ; |
Published: |
World Scientific,
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Publisher Address: | Singapore |
Publication Dates: | c2006. |
Literature type: | Book |
Language: | English |
Subjects: | |
Carrier Form: | ix, 217 p.: ill. ; 23 cm. |
ISBN: | 9812565191 |
Index Number: | F224 |
CLC: | F224.7-532 |
Call Number: | F224.7-532/R612/2005 |
Contents: |
Includes bibliographical references. 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. |