Stochastic Processes And Applications To Mathematical Finance - Proceedings Of The 6th Ritsumeikan International Conference

by Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe

Overview

This volume contains the contributions to a conference that is among the most important meetings in financial mathematics. Serving as a bridge between probabilists in Japan (called the Ito School and known for its highly sophisticated mathematics) and mathematical finance and financial engineering, the conference elicits the very highest quality papers in the field of financial mathematics.

Product Details

ISBN-13:	9789812704139
Publisher:	World Scientific Publishing Company, Incorporated
Publication date:	04/05/2007
Pages:	312
Product dimensions:	6.10(w) x 9.00(h) x 0.90(d)

Table of Contents

Preface     v
Program     vi
Financial Markets with Asymmetric Information: Information Drift, Additional Utility and Entropy   S. Ankirchner   P. Imkeller     1
A Localization of the Levy Operators Arising in Mathematical Finances   M. Arisawa     23
Model-free Representation of Pricing Rules as Conditional Expectations   S. Biagini   R. Cont     53
A Class of Financial Products and Models Where Super-replication Prices are Explicit   L. Carassus   E. Gobet   E. Temam     67
Risky Debt and Optimal Coupon Policy and Other Optimal Strategies   D. Dorobantu   M. Pontier     85
Affine Credit Risk Models under Incomplete Information   R. Frey   C. Prosdocimi   W. J. Runggaldier     97
Smooth Rough Paths and the Applications   K. Hara   T. Lyons     115
From Access to Bypass: A Real Options Approach   K. Hori   K. Mizuno     127
The Investment Game under Uncertainty: An Analysis of Equilibrium Values in the Presence of First or Second Mover Advantage   J. Imai   T. Watanabe     151
Asian Strike Options of American Type and Game Type   M. Ishihara   H. Kunita     173
Minimal Variance Martingale Measures for Geometric Levy Processes   M. Jeanblanc   S. Kloeppel   Y. Miyahara     193
Cubature on Wiener Space Continued   C. Litterer   T. Lyons     197
A Remark on Impulse Control Problems with Risk-sensitive Criteria   H. Nagai     219
A Convolution Approach to Multivariate Bessel Processes   T. V. Nguyen   S. Ogawa   M. Yamazato     233
Spectral Representation of Multiply Self-decomposable Stochastic Processes and Applications   N. V. Thu   T. A. Dung   D. T. Dam   N. H. Thai     245
Stochastic Growth Models of an Isolated Economy   K. Nishioka     259
Numerical Approximation by Quantization for Optimization Problems in Finance under Partial Observations   H. Pham     275