You might also like

Availability alert

More about Stochastic Processes And Applications To Mathematical Finance - Proceedings Of The Ritsumeikan International Symposium

• Book details
• Synopsis
• Trending among others

You get 491 loyalty points

Book synopsis

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.

Book details

Book category Knihy po anglicky Mathematics & science Mathematics Applied mathematics

• Full title: Stochastic Processes And Applications To Mathematical Finance - Proceedings Of The Ritsumeikan International Symposium
• Author: Watanabe Shinzo
• Language: English
• Binding: Hardback
• Number of pages: 408
• EAN: 9789812387783
• ISBN: 9812387781
• ID: 05067730
• Publisher: World Scientific Publishing Co Pte Ltd
• Weight: 658 g
• Dimensions: 229 × 159 × 33 mm
• Date of publishing: 07. July 2004

Trending among others

---

---

---