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STOCHASTIC PROCESSES AND APPLICATIONS TO MATHEMATICAL FINANCE – PROCEEDINGS OF THE 5TH RITSUMEIKAN INTERNATIONAL SYMPOSIUM
Author(s): Jiro Akahori (Editor), Shigeyoshi Ogawa (Editor), Shinzo Watanabe (Editor)
- Publisher: World Scientific Publishing Company
- Publication Date: March 6, 2006
- Language: English
- Print length: 228 pages
- ISBN-10: 9812565191
- ISBN-13: 9789812565198
Book Description
Based around recent lectures given at the prestigious Ritsumeikan conference, the tutorial and expository articles contained in this volume are an essential guide for practitioners and graduates alike who use stochastic calculus in finance.Among the eminent contributors are Paul Malliavin and Shinzo Watanabe, pioneers of Malliavin Calculus. The coverage also includes a valuable review of current research on credit risks in a mathematically sophisticated way contrasting with existing economics-oriented articles.