Cantitate/Preț
Produs
Total produse
Vezi coșul
Stochastic Processes and Related Topics: Proceedings of the 12th Winter School, Siegmundsburg (Germany), February 27-March 4, 2000 de Rainer Buckdahn

Stochastic Processes and Related Topics: Proceedings of the 12th Winter School, Siegmundsburg (Germany), February 27-March 4, 2000

Editat de Rainer Buckdahn, Hans J. Engelbert, Marc Yor
en Limba Engleză Hardback – 16 mai 2002
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 Intertwined Brownian Topics: Exponential Functionals, Winding Numbers and Local Times. A unique opportunity to read ideas from all the top experts on the subject, Stochastic Processes and Related Topics is intended for postgraduates and researchers working in this area of mathematics and provides a useful source of reference.
Citește tot Restrânge

Preț: 70210 lei

Preț vechi: 99006 lei
-29%

Puncte Express: 1053
Preț estimativ în valută:
12428€ • 14488$ • 10766£

Carte indisponibilă temporar


Wish list
Gift list
Am citit!
Adaugă în listă
Doresc să fiu notificat când acest titlu va fi disponibil:
Trimite
Preluare comenzi: 021 569.72.76

Specificații

ISBN-13: 9780415298834
ISBN-10: 0415298830
Pagini: 290
Dimensiuni: 156 x 234 x 22 mm
Greutate: 0.56 kg
Ediția:1
Editura: CRC Press
Colecția CRC Press

Public țintă

Professional Practice & Development

Cuprins

Backward Stochastic Differential Equations and Viscosity Solutions of Semi-Linear Parabolic Deterministic and Stochastic PDE of Second Order. Isolated Singular Points of Stochastic Differential Equations. On One-Dimensional Stochastic Equations Driven by Symmetric Stable Processes. Integral Functionals of Strong Markov Continuous Local Martingales. Approximation of Stochastic Integrals. Minimal Distance Martingale Measures and Optimal Portfolios Consistent with Observed Market Prices. On Generalized x-Diffusions. Portfolio Optimizations with Transaction Costs and Exponential Utility. A Semi-martingale Backward Equation Related to the p-Optimal Martingale Measure and the Lower Price of a Contingent Claim. Subordinators Related to the Exponential Functionals of Brownian Bridges and Explicit Formulae for the Semigroups of Hyperbolic Brownian Motions. First Passage Time Structural Models with Interest Rate Risk. Pricing Options for Markovian Models. Three Intertwined Brownian Topics: Exponential Functionals, Winding Numbers, and Ray-Knight Theorems on Local Times.

Notă biografică

Rainer Buckdahn, Hans J. Engelbert, Marc Yor

Descriere

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 Intertwined Brownian Topics: Exponential Functionals, Winding Numbers and Local Times. A unique opportunity to read ideas from all the top experts on the subject, Stochastic Processes and Related Topics is intended for postgraduates and researchers working in this area of mathematics and provides a useful source of reference.