Stochastic Analysis with Financial Applications: Hong Kong 2009 (Progress in Probability, 65) - Hardcover
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.
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"Much of the material offered is original work that is not available elsewhere. Papers are presented in a wide range of approachability for readers who may have great, or little, familiarity with the topic content. The compilation of contributed papers offers the advantage of focusing on very recent advances across its reasonably narrow topic area. By way of final thoughts, the 'fit and finish' quality of this volume's execution is consistently high and includes color graphics." (G.M. Gupton, Quantitative Finance, Vol. 12, No. 5, May 2012).
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- PublisherBirkhäuser
- Publication date2011
- ISBN 10 3034800967
- ISBN 13 9783034800969
- BindingHardcover
- Number of pages439
- EditorKohatsu-Higa Arturo, Privault Nicolas, Sheu Shuenn-Jyi
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Stochastic Analysis with Financial Applications: Hong Kong 2009 (Progress in Probability) [Hardcover ]
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Stochastic Analysis with Financial Applications
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Book Description Buch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. BieleckiN. BouleauS. ChakrabortyT.S. ChiangS.N. CohenJ.M. CorcueraS. CrépeyA.B. CruzeiroL. DenisJ. DuanR.J. ElliottS. FangM. FukasawaF.Q. GaoB. GoldysS. HanY. IshikawaM. JeanblancH. JiangB. JourdainA. Kohatsu-HigaE.T. KolkovskaH. LeeL. LiJ.A. López-MimbelaJ. LuoB. OksendahlJ. RenM. RutkowskiE. ShamarovaS.J. SheuA. SulemA. TakeuchiN. VaytisR. WangJ. WeiJ. WuJ. YangH. YangK. YasudaX. Zhang 440 pp. Englisch. Seller Inventory # 9783034800969
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Book Description Buch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. BieleckiN. BouleauS. ChakrabortyT.S. ChiangS.N. CohenJ.M. CorcueraS. CrépeyA.B. CruzeiroL. DenisJ. DuanR.J. ElliottS. FangM. FukasawaF.Q. GaoB. GoldysS. HanY. IshikawaM. JeanblancH. JiangB. JourdainA. Kohatsu-HigaE.T. KolkovskaH. LeeL. LiJ.A. López-MimbelaJ. LuoB. OksendahlJ. RenM. RutkowskiE. ShamarovaS.J. SheuA. SulemA. TakeuchiN. VaytisR. WangJ. WeiJ. WuJ. YangH. YangK. YasudaX. Zhang. Seller Inventory # 9783034800969
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Stochastic Analysis with Financial Applications
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Book Description Condition: New. 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. This title presents a broad overview of the range of applications of stochastic analysis and some of its theoretical developments. Editor(s): Kohatsu-Higa, Arturo; Privault, Nicolas; Sheu, Shuenn-Jyi. Series: Progress in Probability. Num Pages: 439 pages, 3 black & white illustrations, 14 colour illustrations, biography. BIC Classification: PBT; PBW. Category: (P) Professional & Vocational. Dimension: 235 x 155 x 27. Weight in Grams: 823. . 2011. 2011th Edition. hardcover. . . . . Seller Inventory # V9783034800969
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Stochastic Analysis with Financial Applications
Published by
Springer Basel
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ISBN 10: 3034800967
ISBN 13: 9783034800969
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Hardcover
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Book Description Condition: New. 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. This title presents a broad overview of the range of applications of stochastic analysis and some of its theoretical developments. Editor(s): Kohatsu-Higa, Arturo; Privault, Nicolas; Sheu, Shuenn-Jyi. Series: Progress in Probability. Num Pages: 439 pages, 3 black & white illustrations, 14 colour illustrations, biography. BIC Classification: PBT; PBW. Category: (P) Professional & Vocational. Dimension: 235 x 155 x 27. Weight in Grams: 823. . 2011. 2011th Edition. hardcover. . . . . Books ship from the US and Ireland. Seller Inventory # V9783034800969
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