Applied Probability

Studies in Advanced Mathematics

David D. Yao, Raymond Chan, Qiang Zhang, Yue-Kuen Kwok

148 pages, parution le 01/06/1999

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Résumé

This book presents articles on original material from invited talks given at the "IMS Workshop on Applied Probability" organized by the Institute of Mathematical Sciences at the Chinese University of Hong Kong in May 1999. The goal of the workshop was to promote research in applied probability for local mathematicians and engineers and to foster exchange with experts from other parts of the world. The main themes were mathematical finance and stochastic networks.

The topics range from the theoretical study, e.g., ergodic theory and diffusion processes, to very practical problems, such as convertible bonds with market risk and insider trading.

The wide scope of coverage in the book make it a helpful reference for graduate students and researchers, and for practitioners working in mathematical finance.

Titles in this series are copublished with International Press, Cambridge, MA.

Contents

A direct method for stochastic automata networks
Estimating the speed of random walks
A new story of ergodic theory
Solvability of a stochastic linear quadratic optimal control problem
Convertible bonds with market risk and credit risk
Quasi-Monte Carlo methods and their randomizations
Contingent claim approach for analyzing the credit risk of defaultable currency swaps
Dynamic insider trading
A new hedging model and a nonlinear generalization of Black-Scholes formula
An overview on the Martingale approach to option pricing
On comparison theorems for diffusion processes

L'auteur - Raymond Chan

Raymond Chan, Chinese University of Hong Kong, Shatin, Hong Kong, China

L'auteur - Qiang Zhang

Qiang Zhang, State University of New York at Stony Brook

L'auteur - Yue-Kuen Kwok

Yue-Kuen Kwok, Hong Kong University of Science and Technology, Clear Water Bay, Hong Kong, China

Caractéristiques techniques

	PAPIER
Éditeur(s)	Oxford University Press
Auteur(s)	David D. Yao, Raymond Chan, Qiang Zhang, Yue-Kuen Kwok
Parution	01/06/1999
Nb. de pages	148
Format	17,5 x 25
Couverture	Broché
Poids	280g
Intérieur	Noir et Blanc
EAN13	9780821831915
ISBN13	978-0-8218-3191-5