Stochastic Processes and Applications to Mathematical Finance : Proceedings of the 5th Ritsumeikan International Symposium, Ritsumeikan University, Japan 3-6 March 2005.
Title:
Stochastic Processes and Applications to Mathematical Finance : Proceedings of the 5th Ritsumeikan International Symposium, Ritsumeikan University, Japan 3-6 March 2005.
Author:
Akahori, Jiro.
ISBN:
9789812774637
Personal Author:
Physical Description:
1 online resource (228 pages)
Contents:
CONTENTS -- Preface -- Program -- Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications -- 1 Introduction -- 2 Fourier Methods for Volatility Computation -- 3 Time Series Analysis -- 4 Applications -- 5 Laplace Transform Method for Volatility Computation -- 6 HJM Model Looked as an Hypoelliptic Operator -- References -- Hedging of Credit Derivatives in Models with Totally Unexpected Default -- Introduction -- 1 Totally Unexpected Default -- 2 Semimartingale Model with a Common Default -- 3 Trading Strategies in a Semimartingale Set-up -- 4 Martingale Approach to Valuation and Hedging -- 5 PDE Approach to Valuation and Hedging -- References -- A Large Trader-Insider Model -- 1 Introduction -- 2 The Forward Integral -- 3 A First Toy Example -- 4 Continuous Stream of Information -- References -- [GLP & MEMM] Pricing Models and Related Problems -- 1 Introduction -- 2 Geometric Levy Process Pricing Models -- 3 Esscher Transformed Martingale Measures -- 4 [GLP & MEMM] Pricing Model -- 5 Physical World and MEMM World -- 6 Estimation of Levy Processes in the Physical World -- 7 Fitness Analysis of the Models -- 8 Calibration -- 9 Calculation of the Option Prices: Expectation of Functionals of Levy Processes -- 10 Utility Indifference Prices and Risk Measure -- 11 Generalization of the [GLP & MEMM] Pricing Model -- References -- Topics Related to Gamma Processes -- 1 Introduction -- 2 Infinitely divisible distributions and Levy processes -- 3 Mixtures of exponential distributions -- 4 Convolutions of exponential distributions -- 5 P61ya frequency functions -- 6 Classes CME CEME and CG -- 7 Unimodality -- 8 Boundedness of transition densities of CME + processes -- 9 1-dimensional generalized diffusion processes.
10 Levy processes appearing in mathematical finance -- References -- On Stochastic Differential Equations Driven by Symmetric Stable Processes of Index a -- 1 Introduction -- 2 On uniqueness problems: One dimensional case -- 3 Lamperti's method -- 4 Some comparison results -- 5 Pathwise uniqueness: d-dimensional case -- References -- Martingale Representation Theorem and Chaos Expansion -- 1 Introduction -- 2 The Case of Continuous Time -- References.
Abstract:
Based around recent lectures given at the prestigious Ritsumeikan conference, the tutorial and expository articles contained in this volume are an essential guide for practitioners and graduates alike who use stochastic calculus in finance. Among the eminent contributors are Paul Malliavin and Shinzo Watanabe, pioneers of Malliavin Calculus. The coverage also includes a valuable review of current research on credit risks in a mathematically sophisticated way contrasting with existing economics-oriented articles. Contents: Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications (E Barucci et al.); Hedging of Credit Derivatives in Models with Totally Unexpected Default (T R Bielecki et al.); A Large Trader-Insider Model (A Kohatsu-Higa & A Sulem); [GLP & MEMM] Pricing Models and Related Problems (Y Miyahara); Topics Related to Gamma Processes (M Yamazato); On Stochastic Differential Equations Driven by Symmetric Stable Processes of Index α (H Hashimoto et al.); Martingale Representation Theorem and Chaos Expansion (S Watanabe). Readership: Graduate students, researchers and practitioners in the field of stochastic processes and mathematical finance.
Local Note:
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
Genre:
Electronic Access:
Click to View