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Applied Probability
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Librairie Eyrolles - Paris 5e

Applied Probability

Applied Probability

Studies in Advanced Mathematics

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

148 pages, parution le 01/06/1999


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.


  • 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

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

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