Stochastic Processes And Applications To Mathematical Finance - Proceedings Of The Ritsumeikan International Symposium - Tapa dura

9789812387783: Stochastic Processes And Applications To Mathematical Finance - Proceedings Of The Ritsumeikan International Symposium

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ISBN 10: 9812387781 ISBN 13: 9789812387783

Editorial: World Scientific Publishing Co Pte Ltd, 2004

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This book contains 17 articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and L�vy 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

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Rese�a del editor

This book contains 17 articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Levy 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 (R) (ISTP (R) / ISI Proceedings)* Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)* Index to Social Sciences & Humanities Proceedings (R) (ISSHP (R) / ISI Proceedings)* Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)* CC Proceedings - Engineering & Physical Sciences

Rese�a del editor

This book contains articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Levy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance. Examples of topics are applications of Malliavin calculus and numerical analysis to a new simulation scheme for calculating the price of financial derivatives, applications of the asymptotic expansion method in Malliavin calculus to financial problems, semimartingale decompositions under an enlargement of filtrations in connection with insider problems, and the problem of transaction costs in connection with stochastic control and optimization problems.

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