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...
সংরক্ষণ করুন:
| অন্যান্য লেখক: | , , |
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| বিন্যাস: | গ্রন্থ |
| ভাষা: | Vietnamese |
| প্রকাশিত: |
Singapore
World Scientific
2006
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| বিষয়গুলি: | |
| ট্যাগগুলো: |
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| Thư viện lưu trữ: | Thư viện Trường Đại học Nam Cần Thơ |
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| সংক্ষিপ্ত: | 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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| দৈহিক বর্ননা: | ix, 217 p. ill. 23 cm. |
| গ্রন্থ-পঞ্জী: | Includes bibliographical references |
| আইসবিএন: | 9789812565198 |