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Stochastic Processes and Applications to Mathematical Finance by Joro Akahori, Shigeyoshi Ogawa and Shinzo Watanabe.
PREFACE by Editors: The 6th Ritsumeikan international conference on Stochastic Processes and Applications to Mathematical Finance was held at Biwako-Kusatsu Campus (BKC) of Ritsumeikan University, March 6–10, 2006. The conference was organized under the joint auspices of Research Center for Finance and Department of Mathematical Sciences of Ritsumeikan University, and financially supported by MEXT (Ministry of Education, Culture, Sports, Science and Technology) of Japan, the Research Organization of Social Sciences, Ritsumeikan University, and Department of Mathematical Sciences, Ritsumeikan University.
The series of the Ritsumeikan conferences has been aimed to hold assemblies of those interested in the applications of theory of stochastic processes and stochastic analysis to financial problems. The Conference, counted as the 6th one, was also organized in this line: there several eminent specialists as well as active young researchers were jointly invited to give their lectures (see the program cited below) and as a whole we had about hundred participants. The present volume is the proceedings of this conference based on those invited lectures.
We, members of the editorial committee listed below, would express our deep gratitude to those who contributed their works in this proceedings and to those who kindly helped us in refereeing them. We would express our cordial thanks to Professors Toshio Yamada, Keisuke Hara and Kenji Yasutomi at the Department of Mathematical Sciences, of Ritsumeikan University, for their kind assistance in our editing this volume. We would thank also Mr. Satoshi Kanai for his works in editing TeX files and Ms. Chelsea Chin of World Scientific Publishing Co. for her kind and generous assistance in publishing this proceedings.
December, 2006, Ritsumeikan University (BKC)
3. Financial Markets with Asymmetric Information: Information Drift, Additional Utility and Entropy
4. A Localization of the L´evy Operators Arising in Mathematical Finances
5. Model-free Representation of Pricing Rules as Conditional Expectations
6. A Class of Financial Products and Models Where Super-replication Prices are Explicit
7. Risky Debt and Optimal Coupon Policy and Other Optimal Strategies
8. Affine Credit Risk Models under Incomplete Information
9. Smooth Rough Paths and the Applications
10. From Access to Bypass: A Real Options Approach
11. The Investment Game under Uncertainty: An Analysis of
12. Equilibrium Values in the Presence of First or Second Mover Advantage
13. Asian Strike Options of American Type and Game Type
14. Minimal Variance Martingale Measures for Geometric L´evy Processes
15. Cubature on Wiener Space Continued
16. A Remark on Impulse Control Problems with Risk-sensitive Criteria
17. A Convolution Approach to Multivariate Bessel Proceses
18. Spectral Representation of Multiply Self-decomposable Stochastic Processes and Applications
19. Stochastic Growth Models of an Isolated Economy
20. Numerical Approximation by Quantization for Optimization Problems in Finance under Partial Observations
Stochastic Processes and Applications to Mathematical Finance by Joro Akahori, Shigeyoshi Ogawa and Shinzo Watanabe pdf.
⏩Editors: Joro Akahori, Shigeyoshi Ogawa and Shinzo Watanabe
⏩Publisher: World Scientific Publishing Co. Pte. Ltd
⏩Copyright © 2007 by World Scientific Publishing Co. Pte. Ltd.
⏩Size: 2.87 MB
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