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Stochastic Analysis with Financial Applications: Hong Kong 2009 (Progress in Probability, 65) 2011th Edition

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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.
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  1. ISBN-10
    3034800967
  2. ISBN-13
    978-3034800969
  3. Edition
    2011th
  4. Publisher
    Birkhäuser
  5. Publication date
    July 22, 2011
  6. Part of series
    Progress in Probability
  7. Language
    English
  8. Dimensions
    6.36 x 1.06 x 9.54 inches
  9. Print length
    439 pages
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Editorial Reviews

Review

"Much of the material offered is original work that is not available elsewhere. Papers are presented in a wide range of approachability for readers who may have great, or little, familiarity with the topic content. The compilation of contributed papers offers the advantage of focusing on very recent advances across its reasonably narrow topic area. By way of final thoughts, the 'fit and finish' quality of this volume's execution is consistently high and includes color graphics." (G.M. Gupton, Quantitative Finance, Vol. 12, No. 5, May 2012).

From the Back Cover

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

Product details

  • Publisher ‏ : ‎ Birkhäuser; 2011th edition (July 22, 2011)
  • Language ‏ : ‎ English
  • Hardcover ‏ : ‎ 439 pages
  • ISBN-10 ‏ : ‎ 3034800967
  • ISBN-13 ‏ : ‎ 978-3034800969
  • Item Weight ‏ : ‎ 1.6 pounds
  • Dimensions ‏ : ‎ 6.36 x 1.06 x 9.54 inches

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Nicolas Privault

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