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Więcej informacji o Stochastic Processes And Applications To Mathematical Finance - Proceedings Of The Ritsumeikan International Symposium

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Opis

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.

Szczegóły książki

Kategoria Książki po angielsku Mathematics & science Mathematics Applied mathematics

• Pełny tytuł: Stochastic Processes And Applications To Mathematical Finance - Proceedings Of The Ritsumeikan International Symposium
• Autor: Watanabe Shinzo
• Język: Angielski
• Oprawa: Twarda
• Liczba stron: 408
• EAN: 9789812387783
• ISBN: 9812387781
• ID: 05067730
• Wydawca: World Scientific Publishing Co Pte Ltd
• Waga: 658 g
• Wymiary: 229 × 159 × 33 mm
• Data wydania: 07. July 2004

Ulubione w innej kategorii

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