Stochastic processes and applications to mathematical finance : proceedings of the 5th Ritsumeikan International Symposium
This book presents tutorial and expository articles on stochastic calculus applications in finance, based on lectures from the Ritsumeikan conference. The content covers nonparametric volatility estimation using harmonic analysis, credit derivative hedging, large trader-insider models, and pricing m...
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| Weitere Verfasser: | , , |
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| Format: | Buch |
| Sprache: | Vietnamese |
| Veröffentlicht: |
Singapore
World Scientific
2006
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| Thư viện lưu trữ: | Thư viện Trường Đại học Nam Cần Thơ |
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| Zusammenfassung: | This book presents tutorial and expository articles on stochastic calculus applications in finance, based on lectures from the Ritsumeikan conference. The content covers nonparametric volatility estimation using harmonic analysis, credit derivative hedging, large trader-insider models, and pricing models including GLP and MEMM. Additional topics include gamma processes, stochastic differential equations driven by symmetric stable processes, martingale representation theorem, and chaos expansion. |
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| Beschreibung: | ix, 217 p. ill. 23 cm. |
| Bibliographie: | Includes bibliographical references |
| ISBN: | 9789812565198 |