Stochastic Processes and Related Topics
eBook - ePub

Stochastic Processes and Related Topics

Proceedings of the 12th Winter School, Siegmundsburg (Germany), February 27-March 4, 2000

  1. English
  2. ePUB (mobile friendly)
  3. Available on iOS & Android
eBook - ePub

Stochastic Processes and Related Topics

Proceedings of the 12th Winter School, Siegmundsburg (Germany), February 27-March 4, 2000

About this book

This volume comprises selected papers presented at the 12th Winter School on Stochastic Processes and their Applications, which was held in Siegmundsburg, Germany, in March 2000. The contents include Backward Stochastic Differential Equations; Semilinear PDE and SPDE; Arbitrage Theory; Credit Derivatives and Models for Correlated Defaults; Three In

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Information

Publisher
CRC Press
Year
2002
Topic
Mathematics
eBook ISBN
9781040215487
Subtopic
Investments & Securities
Index
Mathematics

Table of contents

  1. Cover
  2. Half Title
  3. Title Page
  4. Copyright Page
  5. Table of Contents
  6. Preface
  7. Backward Stochastic Differential Equations and Viscosity Solutions of Semilinear Parabolic Deterministic and Stochastic PDE of Second Order
  8. Isolated Singular Points of Stochastic Differential Equations
  9. On One-Dimensional Stochastic Equations Driven by Symmetric Stable Processes
  10. Integral Functionals of Strong Markov Continuous Local Martingales
  11. On the Approximation of Stochastic Integrals and Weighted BMO
  12. Minimal Distance Martingale Measures and Optimal Portfolios Consistent with Observed Market Prices
  13. On Generalized z-Diffusions
  14. Portfolio Optimisation with Transaction Costs and Exponential Utility
  15. A Semimartingale Backward Equation Related to the p-Optimal Martingale Measure and the Lower Price of a Contingent Claim
  16. Subordinators Related to the Exponential Functionals of Brownian Bridges and Explicit Formulae for the Semigroups of Hyperbolic Brownian Motions
  17. First Passage Time Structural Models with Interest Rate Risk
  18. Pricing Options for Markovian Models
  19. Three Intertwined Brownian Topics: Exponential Functionals, Winding Numbers, and Ray-Knight Theorems on Local Time
  20. List of Participants
  21. Index

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Yes, you can access Stochastic Processes and Related Topics by Rainer Buckdahn,Hans J. Engelbert,Marc Yor in PDF and/or ePUB format, as well as other popular books in Mathematics & Investments & Securities. We have over 1.5 million books available in our catalogue for you to explore.