Stochastic Analysis, Stochastic Systems, And Applications To Finance
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Stochastic Analysis, Stochastic Systems, And Applications To Finance

Stochastic Analysis, Stochastic Systems, And Applications To Finance

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About the Book

This book introduces some advanced topics in probability theories — both pure and applied — is divided into two parts. The first part deals with the analysis of stochastic dynamical systems, in terms of Gaussian processes, white noise theory, and diffusion processes. The second part of the book discusses some up-to-date applications of optimization theories, martingale measure theories, reliability theories, stochastic filtering theories and stochastic algorithms towards mathematical finance issues such as option pricing and hedging, bond market analysis, volatility studies and asset trading modeling.

Table of Contents:
Stochastic Analysis and Systems: Multidimensional Wick-Ito Formula for Gaussian Processes (D Nualart & S Ortiz-Latorre); Fractional White Noise Multiplication (A H Tsoi); Invariance Principle of Regime-Switching Diffusions (C Zhu & G Yin); Finance and Stochastics: Real Options and Competition (A Bensoussan et al.); Finding Expectations of Monotone Functions of Binary Random Variables by Simulation, with Applications to Reliability, Finance, and Round Robin Tournaments (M Brown et al.); Filtering with Counting Process Observations and Other Factors: Applications to Bond Price Tick Data (X Hu et al.); Jump Bond Markets Some Steps towards General Models in Applications to Hedging and Utility Problems (M Kohlmann & D Xiong); Recombining Tree for Regime-Switching Model: Algorithm and Weak Convergence (R H Liu); Optimal Reinsurance under a Jump Diffusion Model (S Luo); Applications of Counting Processes and Martingales in Survival Analysis (J Sun); Stochastic Algorithms and Numeries for Mean-Revertig Asset Trading (Q Zhang et al.).


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Product Details
  • ISBN-13: 9789814355704
  • Publisher: World Scientific Publishing Co Pte Ltd
  • Publisher Imprint: World Scientific Publishing Co Pte Ltd
  • Language: English
  • ISBN-10: 9814355704
  • Publisher Date: 13 Jun 2011
  • Binding: Hardback
  • No of Pages: 272


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