Stochastic Processes and Applications to Mathematical Finance
Editor
- Jiro Akahori(Ritsumeikan University, Japan)Shigeyoshi Ogawa(Ritsumeikan University, Japan)Shinzo Watanabe(Ritsumeikan University, Japan)
Abstract
This volume contains the contributions to a conference that is among the most important meetings in financial mathematics. Serving as a bridge between probabilists in Japan (called the Ito School and known for its highly sophisticated mathematics) and mathematical finance and financial engineering, the conference elicits the very highest quality papers in the field of financial mathematics.Individual chapters are listed in the "Chapters" tab
Suggested Citation
- Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), 2007. "Stochastic Processes and Applications to Mathematical Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6330, December.
Handle: RePEc:wsi:wsbook:6330
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Book Chapters
The following chapters of this book are listed in IDEAS- Stefan Ankirchner & Peter Imkeller, 2007. "Financial Markets with Asymmetric Information: Information Drift, Additional Utility and Entropy," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 1, pages 1-21, World Scientific Publishing Co. Pte. Ltd..
- Mariko Arisawa, 2007. "A Localization of the Lévy Operators Arising in Mathematical Finances," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 2, pages 23-52, World Scientific Publishing Co. Pte. Ltd..
- Sara BIAGINI & Rama CONT, 2007. "Model-free Representation of Pricing Rules as Conditional Expectations," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 3, pages 53-66, World Scientific Publishing Co. Pte. Ltd..
- L. Carassus & E. Gobet & E. Temam, 2007. "A Class of Financial Products and Models Where Super-replication Prices are Explicit," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 4, pages 67-84, World Scientific Publishing Co. Pte. Ltd..
- Diana DOROBANTU & Monique PONTIER, 2007. "Risky Debt and Optimal Coupon Policy and Other Optimal Strategies," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 5, pages 85-95, World Scientific Publishing Co. Pte. Ltd..
- Rüdiger Frey & Cecilia Prosdocimi & Wolfgang J. Runggaldier, 2007. "Affine Credit Risk Models under Incomplete Information," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 6, pages 97-113, World Scientific Publishing Co. Pte. Ltd..
- Keisuke Hara & Terry Lyons, 2007. "Smooth Rough Paths and the Applications," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 7, pages 115-125, World Scientific Publishing Co. Pte. Ltd..
- Keiichi Hori & Keizo Mizuno, 2007. "From Access to Bypass: A Real Options Approach," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 8, pages 127-150, World Scientific Publishing Co. Pte. Ltd..
- Junichi Imai & Takahiro Watanabe, 2007. "The Investment Game under Uncertainty: An Analysis of Equilibrium Values in the Presence of First or Second Mover Advantage," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 9, pages 151-172, World Scientific Publishing Co. Pte. Ltd..
- Masaya Ishihara & Hiroshi Kunita, 2007. "Asian Strike Options of American Type and Game Type," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 10, pages 173-191, World Scientific Publishing Co. Pte. Ltd..
- M. Jeanblanc & S. Kloeppel & Y. Miyahara, 2007. "Minimal Variance Martingale Measures for Geometric Lévy Processes," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 11, pages 193-196, World Scientific Publishing Co. Pte. Ltd..
- Christian Litterer & Terry Lyons, 2007. "Cubature on Wiener Space Continued," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 12, pages 197-217, World Scientific Publishing Co. Pte. Ltd..
- Hideo Nagai, 2007. "A Remark on Impulse Control Problems with Risk-sensitive Criteria," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 13, pages 219-232, World Scientific Publishing Co. Pte. Ltd..
- Thu Van Nguyen & S. Ogawa & M. Yamazato, 2007. "A Convolution Approach to Multivariate Bessel Proceses," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 14, pages 233-244, World Scientific Publishing Co. Pte. Ltd..
- Nguyen Van Thu & To Anh Dung & Duong Ton Dam & Nguyen Huu Thai, 2007. "Spectral Representation of Multiply Self-decomposable Stochastic Processes and Applications," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 15, pages 245-258, World Scientific Publishing Co. Pte. Ltd..
- Kunio Nishioka, 2007. "Stochastic Growth Models of an Isolated Economy," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 16, pages 259-274, World Scientific Publishing Co. Pte. Ltd..
- Huyên PHAM, 2007. "Numerical Approximation by Quantization for Optimization Problems in Finance under Partial Observations," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 17, pages 275-296, World Scientific Publishing Co. Pte. Ltd..
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Keywords
Stochastic Calculus; Mathematical Finance; Insider Trading; Stochastic Control; Real Options; Filtering Model of Credit Risks; Stochastic Growth Models;All these keywords.
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