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Stochastic analysis, stochastic systems, and applications to finance /

This book introduces some advanced topics in probability theories - both pure and applied - is divided into two parts. The first part deals with the analysis of stochastic dynamical systems, in terms of Gaussian processes, white noise theory, and diffusion processes. The second part of the book disc...

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Bibliographic Details
Corporate Authors: World Scientific (Firm)
Group Author: Tsoi, Allanus Hak-Man, 1955- (Editor); Nualart, David, 1951- (Editor); Yin, George, 1954- (Editor)
Published: World Scientific Pub. Co.,
Publisher Address: Singapore ; Hackensack, N.J. :
Publication Dates: 2011.
Literature type: eBook
Language: English
Subjects:
Finance > Mathematical models > Congresses.
Stochastic systems > Congresses.
Stochastic analysis > Congresses.
Electronic books.
Online Access: http://www.worldscientific.com/worldscibooks/10.1142/8197#t=toc
Summary: This book introduces some advanced topics in probability theories - both pure and applied - is divided into two parts. The first part deals with the analysis of stochastic dynamical systems, in terms of Gaussian processes, white noise theory, and diffusion processes. The second part of the book discusses some up-to-date applications of optimization theories, martingale measure theories, reliability theories, stochastic filtering theories and stochastic algorithms towards mathematical finance issues such as option pricing and hedging, bond market analysis, volatility studies and asset trading modeling.
Carrier Form: 1 online resource (x,261pages) : illustrations (some color)
Bibliography: Includes bibliographical references.
ISBN: 9789814355711 (electronic bk.)
CLC: F830
Contents: pt. I. Stochastic analysis and systems. 1. Multidimensional Wick-Ito formula for Gaussian processes / D. Nualart and S. Ortiz-Latorre. 2. Fractional white noise multiplication / A. H. Tsoi. 3. Invariance principle of regime-switching diffusions / C. Zhu and G. Yin -- pt. II. Finance and stochastics. 4. Real options and competition / A. Bensoussan, J. D. Diltz and S. R. Hoe. 5. Finding expectations of monotone functions of binary random variables by simulation, with applications to reliability, finance, and round robin tournaments / M. Brown, E. A. Pekoz and S. M. Ross. 6. Filtering with counting process observations and other factors : applications to bond price tick data / X. Hu, D. R. Kuipers and Y. Zeng. 7. Jump bond markets some steps towards general models in applications to hedging and utility problems / M. Kohlmann and D. Xiong. 8. Recombining tree for regime-switching model : algorithm and weak convergence / R. H. Liu. 9. Optimal reinsurance under a jump diffusion model / S. Luo. 10. Applications of counting processes and martingales in survival analysis / J. Sun. 11. Stochastic algorithms and numerics for mean-reverting asset trading / Q. Zhang, C. Zhuang and G. Yin.

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