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Título Stochastic Analysis with Financial Applications [electronic resource] : Hong Kong 2009 / edited by Arturo Kohatsu-Higa, Nicolas Privault, Shuenn-Jyi Sheu.

Publicación Basel : Springer Basel, 2011.
Descripción física IX, 430 p. 17 illus., 14 illus. in color. online resource.
text txt rdacontent
computer c rdamedia
online resource cr rdacarrier
text file PDF rda
Colección Progress in Probability ; 65
Progress in Probability ; 65
Springer eBooks. Mathematics and Statistics
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Resumen: Stochastic analysis has a variety of applications to biological systems as well as physical and engineering problems, and its applications to finance and insurance have bloomed exponentially in recent times. The goal of this book is to present a broad overview of the range of applications of stochastic analysis and some of its recent theoretical developments. This includes numerical simulation, error analysis, parameter estimation, as well as control and robustness properties for stochastic equations. The book also covers the areas of backward stochastic differential equations via the (non-linear) G-Brownian motion and the case of jump processes. Concerning the applications to finance, many of the articles deal with the valuation and hedging of credit risk in various forms, and include recent results 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.
Materia Mathematics.
Economics, Mathematical.
Probabilities.
Mathematics.
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Probability Theory and Stochastic Processes.
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Quantitative Finance.
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Autor secundario Kohatsu-Higa, Arturo., editor.
Privault, Nicolas., editor.
Sheu, Shuenn-Jyi., editor.
SpringerLink (Online service)
En Springer eBooks
OTRO SOPORTE Printed edition: 9783034800969
ISBN 9783034800976 978-3-0348-0097-6
ISBN/ISSN 10.1007/978-3-0348-0097-6 doi