Stochastic Analysis with Financial Applications

Stochastic Analysis with Financial Applications

by Kohatsu-Higa, Arturo

Type Book
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Stochastic analysis has a variety of applications to biological systems as well as physical and engineering problems, and its applications to finance and insurance have bloomed exponentially in recent times. The goal of this book is to present a broad overview of the range of applications of stochastic analysis and some of its recent theoretical developments. This includes numerical simulation, error analysis, parameter estimation, as well as control and robustness properties for stochastic equ…

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Title Statements

  • Full title :Stochastic Analysis with Financial Applications.

Summary

Stochastic analysis has a variety of applications to biological systems as well as physical and engineering problems, and its applications to finance and insurance have bloomed exponentially in recent times. The goal of this book is to present a broad overview of the range of applications of stochastic analysis and some of its recent theoretical developments. This includes numerical simulation, error analysis, parameter estimation, as well as control and robustness properties for stochastic equations. This book also covers the areas of backward stochastic differential equations via the (non-li.

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Edition Statements

  • Publication Date:2011.

Publication Statements

  • Publisher(s):Springer Basel
  • Place of Publication:Basel
  • Language:eng
  • Publication Date:2011.

The Physical Object

  • Description:1 online resource (426 pages)

Edition Identifiers

  • ISBN:3034800967, 9783034800969
  • DOI:10.1007/978-3-0348-0097-6
  • oclc:ocn990409588
  • LC Classification:QA274.2
  • Dewey Decimal:519.2

Table of Contents

Stochastic Analysis with Financial Applications; Contents; Preface; List of Speakers; Part I Stochastic Analysis; Part II Financial Applications.

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Subjects

Analyse stochastique -- Congrès Conference papers and proceedings Équations différentielles stochastiques… Stochastic analysis Stochastic analysis -- Congresses Stochastic differential equations Stochastic differential equations -- Co…

Writers

Kohatsu-Higa, Arturo Privault, Nicolas Sheu, Shuenn-Jyi

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