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Stochastic processes and applications to mathematical finance [[electronic resource] ] : proceedings of the 6th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 6-10 March 2006 / / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe
| Stochastic processes and applications to mathematical finance [[electronic resource] ] : proceedings of the 6th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 6-10 March 2006 / / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe |
| Pubbl/distr/stampa | Singapore, : World Scientific, c2007 |
| Descrizione fisica | 1 online resource (309 p.) |
| Disciplina | 519.23 |
| Altri autori (Persone) |
AkahoriJiro
OgawaShigeyoshi WatanabeShinzo <1935-> |
| Soggetto topico |
Finance - Mathematical models
Stochastic processes |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-12132-0
9786611121327 981-277-044-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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. 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. Miyahara Cubature 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. Pham |
| Record Nr. | UNINA-9910450958103321 |
| Singapore, : World Scientific, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic processes and applications to mathematical finance [[electronic resource] ] : proceedings of the 6th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 6-10 March 2006 / / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe
| Stochastic processes and applications to mathematical finance [[electronic resource] ] : proceedings of the 6th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 6-10 March 2006 / / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe |
| Pubbl/distr/stampa | Singapore, : World Scientific, c2007 |
| Descrizione fisica | 1 online resource (309 p.) |
| Disciplina | 519.23 |
| Altri autori (Persone) |
AkahoriJiro
OgawaShigeyoshi WatanabeShinzo <1935-> |
| Soggetto topico |
Finance - Mathematical models
Stochastic processes |
| ISBN |
1-281-12132-0
9786611121327 981-277-044-5 |
| Classificazione | 31.70 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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. 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. Miyahara Cubature 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. Pham |
| Record Nr. | UNINA-9910784042603321 |
| Singapore, : World Scientific, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic 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 Watanabe
| Stochastic 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 Watanabe |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Singapore, : World Scientific, c2007 |
| Descrizione fisica | 1 online resource (309 p.) |
| Disciplina | 519.23 |
| Altri autori (Persone) |
AkahoriJiro
OgawaShigeyoshi WatanabeShinzo <1935-> |
| Soggetto topico |
Finance - Mathematical models
Stochastic processes |
| ISBN |
1-281-12132-0
9786611121327 981-277-044-5 |
| Classificazione | 31.70 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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. 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. Miyahara Cubature 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. Pham |
| Altri titoli varianti | Proceedings of the 6th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 6-10 March 2006 |
| Record Nr. | UNINA-9910823065503321 |
| Singapore, : World Scientific, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic processes and applications to mathematical finance [[electronic resource] ] : proceedings of the 5th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 3-6 March 2005 / / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe
| Stochastic processes and applications to mathematical finance [[electronic resource] ] : proceedings of the 5th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 3-6 March 2005 / / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, NJ, : World Scientific, c2006 |
| Descrizione fisica | 1 online resource (228p.) |
| Disciplina | 332.01/51922 |
| Altri autori (Persone) |
AkahoriJiro
OgawaShigeyoshi WatanabeShinzo <1935-> |
| Soggetto topico |
Finance - Mathematical models
Stochastic processes |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-91959-4
9786611919597 981-277-463-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Preface -- Program -- Harmonic analysis methods for nonparametic estimation of votality : theory and applications / E. Barucci, P. Malliavin and M.E. Mancino -- Hedging of credit derivatives in models with totally unexpected default / T.R. Bielecki, M. Jeanblanc and M. Rutkowski -- A large trader-insider model / A. Kohatsu-Higa and A. Sulem -- [GLP & MEMM] pricing models and related problems / Y. Miyahara -- Topics related to gamma processes / M. Yamazato -- On stochastic differential equations driven by symmetric stable processes of Index [alpha] / H. Hashimoto, T. Tsuchiya and T. Yamada -- Martingale representation theorem and chaos expansion / S. Watanabe. |
| Record Nr. | UNINA-9910451214003321 |
| Singapore ; ; Hackensack, NJ, : World Scientific, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic processes and applications to mathematical finance [[electronic resource] ] : proceedings of the 5th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 3-6 March 2005 / / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe
| Stochastic processes and applications to mathematical finance [[electronic resource] ] : proceedings of the 5th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 3-6 March 2005 / / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, NJ, : World Scientific, c2006 |
| Descrizione fisica | 1 online resource (228p.) |
| Disciplina | 332.01/51922 |
| Altri autori (Persone) |
AkahoriJiro
OgawaShigeyoshi WatanabeShinzo <1935-> |
| Soggetto topico |
Finance - Mathematical models
Stochastic processes |
| ISBN |
1-281-91959-4
9786611919597 981-277-463-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Preface -- Program -- Harmonic analysis methods for nonparametic estimation of votality : theory and applications / E. Barucci, P. Malliavin and M.E. Mancino -- Hedging of credit derivatives in models with totally unexpected default / T.R. Bielecki, M. Jeanblanc and M. Rutkowski -- A large trader-insider model / A. Kohatsu-Higa and A. Sulem -- [GLP & MEMM] pricing models and related problems / Y. Miyahara -- Topics related to gamma processes / M. Yamazato -- On stochastic differential equations driven by symmetric stable processes of Index [alpha] / H. Hashimoto, T. Tsuchiya and T. Yamada -- Martingale representation theorem and chaos expansion / S. Watanabe. |
| Record Nr. | UNINA-9910777460203321 |
| Singapore ; ; Hackensack, NJ, : World Scientific, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic processes and applications to mathematical finance : proceedings of the 5th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 3-6 March 2005 / / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe
| Stochastic processes and applications to mathematical finance : proceedings of the 5th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 3-6 March 2005 / / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, NJ, : World Scientific, c2006 |
| Descrizione fisica | 1 online resource (228p.) |
| Disciplina | 332.01/51922 |
| Altri autori (Persone) |
AkahoriJiro
OgawaShigeyoshi WatanabeShinzo <1935-> |
| Soggetto topico |
Finance - Mathematical models
Stochastic processes |
| ISBN |
1-281-91959-4
9786611919597 981-277-463-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Preface -- Program -- Harmonic analysis methods for nonparametic estimation of votality : theory and applications / E. Barucci, P. Malliavin and M.E. Mancino -- Hedging of credit derivatives in models with totally unexpected default / T.R. Bielecki, M. Jeanblanc and M. Rutkowski -- A large trader-insider model / A. Kohatsu-Higa and A. Sulem -- [GLP & MEMM] pricing models and related problems / Y. Miyahara -- Topics related to gamma processes / M. Yamazato -- On stochastic differential equations driven by symmetric stable processes of Index [alpha] / H. Hashimoto, T. Tsuchiya and T. Yamada -- Martingale representation theorem and chaos expansion / S. Watanabe. |
| Record Nr. | UNINA-9910823269403321 |
| Singapore ; ; Hackensack, NJ, : World Scientific, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||