Volume 65 2011

Stochastic Analysis with Financial Applications

Hong Kong 2009

Editors:

ISBN: 978-3-0348-0096-9 (Print) 978-3-0348-0097-6 (Online)

Table of contents (22 chapters)

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  1. Front Matter

    Pages i-ix

  2. Stochastic Analysis

    1. Front Matter

      Pages 1-1

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      Book Chapter

      Pages 3-20

      Dirichlet Forms for Poisson Measures and Lévy Processes: The Lent Particle Method

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      Book Chapter

      Pages 21-32

      Stability of a Nonlinear Equation Related to a Spatially-inhomogeneous Branching Process

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      Book Chapter

      Pages 33-42

      Backward Stochastic Difference Equations with Finite States

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      Book Chapter

      Pages 43-59

      On a Forward-backward Stochastic System Associated to the Burgers Equation

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      Book Chapter

      Pages 61-71

      On the Estimate for Commutators in DiPerna–Lions Theory

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      Book Chapter

      Pages 73-81

      Approximation Theorem for Stochastic Differential Equations Driven by G-Brownian Motion

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      Book Chapter

      Pages 83-97

      Stochastic Flows for Nonlinear SPDEs Driven by Linear Multiplicative Space-time White Noises

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      Book Chapter

      Pages 99-120

      Optimal Stopping Problem Associated with Jump-diffusion Processes

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      Book Chapter

      Pages 121-144

      A Review of Recent Results on Approximation of Solutions of Stochastic Differential Equations

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      Book Chapter

      Pages 145-167

      Strong Consistency of Bayesian Estimator Under Discrete Observations and Unknown Transition Density

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      Book Chapter

      Pages 169-178

      Exponentially Stable Stationary Solutions for Delay Stochastic Evolution Equations

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      Book Chapter

      Pages 179-189

      Robust Stochastic Control and Equivalent Martingale Measures

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      Book Chapter

      Pages 191-205

      Multi-valued Stochastic Differential Equations Driven by Poisson Point Processes

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      Book Chapter

      Pages 207-219

      Sensitivity Analysis for Jump Processes

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      Book Chapter

      Pages 221-252

      Quantifying Model Uncertainties in Complex Systems

  3. Financial Applications

    1. Front Matter

      Pages 253-253

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      Book Chapter

      Pages 255-298

      Convertible Bonds in a Defaultable Diffusion Model

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      Book Chapter

      Pages 299-315

      A Convexity Approach to Option Pricing with Transaction Costs in Discrete Models

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      Book Chapter

      Pages 317-330

      Completeness and Hedging in a Lévy Bond Market

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      Book Chapter

      Pages 331-346

      Asymptotically Efficient Discrete Hedging

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      Book Chapter

      Pages 347-359

      Efficient Importance Sampling Estimation for Joint Default Probability:The First Passage Time Problem

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