Stochastic analysis with financial applications : Hong Kong 2009
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 stochas...
Enregistré dans:
| Auteur principal: | |
|---|---|
| Collectivité auteur: | |
| Autres auteurs: | , , |
| Format: | Livre numérique |
| Langue: | Anglais |
| Publié: |
Basel :
Springer Basel
[20..].
Cham : Springer Nature |
| Édition: | 1st ed. 2011. |
| Collection: | Progress in Probability
65 |
| Sujets: | |
| Accès en ligne: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Note: |
Description d'après consultation du 22 avril 2013 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Stochastic analysis with financial applications, Hong Kong 2009, Arturo Kohatsu-Higa, Nicolas Privault and Shuenn-Jyi Sheu, editors, Basel, Birkhäuser, Springer, 2011, 1 vol. (VIII-429 p.), Progress in probability, 978-3-03-480096-9 |
| Résumé: | 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. Bielecki N. Bouleau S. Chakraborty T.S. Chiang S.N. Cohen J.M. Corcuera S. Crépey A.B. Cruzeiro L. Denis J. Duan R.J. Elliott S. Fang M. Fukasawa F.Q. Gao B. Goldys S. Han Y. Ishikawa M. Jeanblanc H. Jiang B. Jourdain A. Kohatsu-Higa E.T. Kolkovska H. Lee L. Li J.A. López-Mimbela J. Luo B. Øksendahl J. Ren M. Rutkowski E. Shamarova S.J. Sheu A. Sulem A. Takeuchi N. Vaytis R. Wang J. Wei J. Wu J. Yang H. Yang K. Yasuda X. Zhang |
|---|---|
| Description: | Description d'après consultation du 22 avril 2013 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Bibliographie: | Bibliogr. Index |
| ISBN: | 9783034800976 |
| ISSN: | 2297-0428 |
| Accès: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |