Download E-books Stochastic Analysis with Financial Applications: Hong Kong 2009 PDF

By Nicolas Bouleau, Laurent Denis (auth.), Arturo Kohatsu-Higa, Nicolas Privault, Shuenn-Jyi Sheu (eds.)

Stochastic research has a number of purposes to organic structures in addition to actual and engineering difficulties, and its functions to finance and coverage have bloomed exponentially in recent years. The objective of this booklet is to offer a extensive assessment of the diversity of functions of stochastic research and a few of its contemporary theoretical advancements. This contains numerical simulation, errors research, parameter estimation, in addition to keep an eye on and robustness homes for stochastic equations. The publication additionally covers the components of backward stochastic differential equations through the (non-linear) G-Brownian movement and the case of leap tactics. in regards to the purposes to finance, the various articles take care of the valuation and hedging of credits hazard in numerous types, and comprise fresh effects on markets with transaction costs.

Contributors:

T.R. Bielecki
N. Bouleau
S. Chakraborty
T.S. Chiang
S.N. Cohen
J.M. Corcuera
S. Crépey
A.B. Cruzeiro
L. Denis
J. Duan
R.J. Elliott
S. Fang
M. Fukasawa
F.Q. Gao
B. Goldys
S. Han
Y. Ishikawa
M. Jeanblanc
H. Jiang
B. Jourdain
A. Kohatsu-Higa
E.T. Kolkovska
H. Lee
L. Li
J.A. López-Mimbela
J. Luo
B. Øksendahl
J. Ren
M. Rutkowski
E. Shamarova
S.J. Sheu
A. Sulem
A. Takeuchi
N. Vaytis
R. Wang
J. Wei
J. Wu
J. Yang
H. Yang
K. Yasuda
X. Zhang

Show description

Read or Download Stochastic Analysis with Financial Applications: Hong Kong 2009 PDF

Best Analysis books

Groundwater Discharge Tests: Simulation and Analysis

This publication describes microcomputer courses which might be used to simulate or examine water construction good and aquifer discharge try facts. special effects are used to aid visualise the knowledge, and output to plotters can be catered for. easy constrained aquifers, leaky restricted aquifers, unconfined aquifers and a number of boundary stipulations are handled.

Cartesian Tensors: An Introduction (Dover Books on Mathematics)

This undergraduate textual content presents an creation to the speculation of Cartesian tensors, defining tensors as multilinear features of path, and simplifying many theorems in a way that lends harmony to the topic. the writer notes the significance of the research of the constitution of tensors when it comes to spectral units of projection operators as a part of the very substance of quantum idea.

Extra info for Stochastic Analysis with Financial Applications: Hong Kong 2009

Show sample text content

Rated 4.75 of 5 – based on 44 votes