IDEAS home Printed from https://ideas.repec.org/b/wsi/wsbook/5487.html
   My bibliography  Save this book

Stochastic Processes and Applications to Mathematical Finance

Editor

Listed:
  • Jiro Akahori
    (Ritsumeikan University, Japan)

  • Shigeyoshi Ogawa
    (Ritsumeikan University, Japan)

  • Shinzo Watanabe
    (Ritsumeikan University, Japan)

Abstract

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.

Individual chapters are listed in the "Chapters" tab

Suggested Citation

  • Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), 2004. "Stochastic Processes and Applications to Mathematical Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 5487, August.
    • Handle: RePEc:wsi:wsbook:5487
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/worldscibooks/10.1142/5487
    Download Restriction: Ebook Access is available upon purchase
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ankush Agarwal & Stefano de Marco & Emmanuel Gobet & Gang Liu, 2017. "Rare event simulation related to financial risks: efficient estimation and sensitivity analysis," Working Papers hal-01219616, HAL.
    2. Akihiko Takahashi & Kohta Takehara, 2008. "A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options ( Revised in April 2008, January 2009 and April 2010; forthcoming in "International Journal of Theoretical and A," CARF F-Series CARF-F-116, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    3. Akihiko Takahashi & Kohta Takehara, 2010. "A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options," CIRJE F-Series CIRJE-F-734, CIRJE, Faculty of Economics, University of Tokyo.
    4. Akihiko Takahashi & Kohta Takehara, 2008. "Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options," CIRJE F-Series CIRJE-F-538, CIRJE, Faculty of Economics, University of Tokyo.
    5. Akihiko Takahashi & Kohta Takehara, 2009. "Asymptotic Expansion Approaches in Finance: Applications to Currency Options," CARF F-Series CARF-F-165, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    6. Akihiko Takahashi & Kohta Takehara, 2007. "Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options ( Revised in December 2008; subsequently published in "International Journal of Theoretical and ," CARF F-Series CARF-F-097, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    7. Akihiko Takahashi & Kohta Takehara, 2009. "Asymptotic Expansion Approaches in Finance: Applications to Currency Options," CIRJE F-Series CIRJE-F-654, CIRJE, Faculty of Economics, University of Tokyo.
    8. Akihiko Takahashi & Kohta Takehara, 2007. "An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates (Revised in August 2007 and January 2009; subseq," CARF F-Series CARF-F-092, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    9. Akihiko Takahashi & Kohta Takehara, 2007. "An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates," CIRJE F-Series CIRJE-F-474, CIRJE, Faculty of Economics, University of Tokyo.

    Book Chapters

    The following chapters of this book are listed in IDEAS

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wsbook:5487. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.