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＜電子ブック＞
Stochastic Analysis with Financial Applications : Hong Kong 2009 / edited by Arturo Kohatsu-Higa, Nicolas Privault, Shuenn-Jyi Sheu
(Progress in Probability. ISSN:22970428 ; 65)

版	1st ed. 2011.
出版者	(Basel : Springer Basel : Imprint: Birkhäuser)
出版年	2011
本文言語	英語
大きさ	IX, 430 p. 17 illus., 14 illus. in color : online resource
著者標目	Kohatsu-Higa, Arturo editor Privault, Nicolas editor Sheu, Shuenn-Jyi editor SpringerLink (Online service)
件　名	LCSH:Probabilities LCSH:Social sciences -- Mathematics  全ての件名で検索 FREE:Probability Theory FREE:Mathematics in Business, Economics and Finance
一般注記	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 HTTP:URL=https://doi.org/10.1007/978-3-0348-0097-6

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