Stochastic Processes And Applications To Mathematical Finance : Proceedings of the 6th Ritsumeikan International Symposium.

Stochastic Processes And Applications To Mathematical Finance : Proceedings of the 6th Ritsumeikan International Symposium.

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,...

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Bibliographic Details
Main Author: Akahori, Jiro
Other Authors: Ogawa, Shigeyoshi, Watanabe, Shinzo
Format: eBook
Language:English
Published: Singapore : World Scientific, 2007.
Subjects:
Finance > Mathematical models > Congresses.
Stochastic processes > Congresses.
Finance > Mathematical models
Stochastic processes
Conference papers and proceedings
Online Access:Click for online access
Table of Contents:
  • Preface; Program; CONTENTS; Financial Markets with Asymmetric Information: Information Drift, Additional Utility and Entropy S. Ankirchner and P. Imkell; A Localization of the Levy Operators Arising in Mathematical Finances M. Arisawa; Model-free Representation of Pricing Rules as Conditional Expectations S. Biagini and R. Cont; A Class of Financial Products and Models Where Super-replication Prices are Explicit L. Carassus, E. Gobet, and E. Temam; Risky Debt and Optimal Coupon Policy and Other Optimal Strategies D. Dorobantu and M. Pontier.
  • Affine Credit Risk Models under Incomplete Information R. Frey, C. Prosdocimi, and W.J. RunggaldierSmooth Rough Paths and the Applications K. Hara and T. Lyons; From Access to Bypass: A Real Options Approach K. Hori and K. Mizuno; The Investment Game under Uncertainty: An Analysis of Equilibrium Values in the Presence of First or Second Mover Advantage J. Imai and T. Watanabe; Asian Strike Options of American Type and Game Type M. Ishihara and H. Kunita; Min.

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