04280nam 2200685Ia 450 991082306550332120200520144314.01-281-12132-09786611121327981-277-044-5(CKB)1000000000334165(EBL)312328(OCoLC)476099710(SSID)ssj0000251576(PQKBManifestationID)11206763(PQKBTitleCode)TC0000251576(PQKBWorkID)10176257(PQKB)10536444(MiAaPQ)EBC312328(WSP)00006330(Au-PeEL)EBL312328(CaPaEBR)ebr10188837(CaONFJC)MIL112132(OCoLC)935264141(EXLCZ)99100000000033416520070914d2007 uy 0engurcn|||||||||txtccrStochastic processes and applications to mathematical finance proceedings of the 6th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 6-10 March 2006 /editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe1st ed.Singapore World Scientificc20071 online resource (309 p.)Description based upon print version of record.981-270-413-2 Includes bibliographical references.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. PontierAffine Credit Risk Models under Incomplete Information R. Frey, C. Prosdocimi, and W. J. Runggaldier Smooth 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; Minimal Variance Martingale Measures for Geometric Levy Processes M. Jeanblanc, S. Kloeppel, and Y. MiyaharaCubature on Wiener Space Continued C. Litterer and T. Lyons A Remark on Impulse Control Problems with Risk-sensitive Criteria H. Nagai; A Convolution Approach to Multivariate Bessel Proceses T. V. Nguyen, S. Ogawa, and M. Yamazato; Spectral Representation of Multiply Self-decomposable Stochastic Processes and Applications N. V. Thu, T. A. Dung, D. T. Dam, and N. H. Thai; Stochastic Growth Models of an Isolated Economy K. Nishioka; Numerical Approximation by Quantization for Optimization Problems in Finance under Partial Observations H. PhamThis 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.Proceedings of the 6th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 6-10 March 2006FinanceMathematical modelsCongressesStochastic processesCongressesFinanceMathematical modelsStochastic processes519.2331.70bclAkahori Jiro732144Ogawa Shigeyoshi766805Watanabe Shinzo1935-103661Ritsumeikan International SymposiumMiAaPQMiAaPQMiAaPQBOOK9910823065503321Stochastic processes and applications to mathematical finance3957689UNINA