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Birkhäuser

Seminar on Stochastic Analysis, Random Fields and Applications

Centro Stefano Franscini, Ascona, 1993

  • Conference proceedings
  • © 1995

Overview

Editors:
  1. Erwin Bolthausen

    1. Institut für Mathematik, Abteilung Angewandte Mathematik, Universität Zürich-Irchel, Zürich, Switzerland

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  2. Marco Dozzi

    1. Département de Mathématiques, Université de Nancy 1, Vandoeuvre-Les-Nancy Cedex, France

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  3. Francesco Russo

    1. Département de Mathématiques Institut Galilée, Université Paris-Nord, Villetaneuse, France
      BIBOS, Universität Bielefeld, Bielefeld 1, Germany

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Part of the book series: Progress in Probability (PRPR, volume 36)

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Table of contents (27 papers)

  1. Financial Models

    1. Front Matter

      Pages 263-263
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    2. Alternative Estimators of a Diffusion Model of the Term Structure of Interest Rates. A Monte Carlo Comparison

      • Carlo Bianchi, Riccardo Cesari, Lorenzo Panattoni
      Pages 265-306

    3. Backward Stochastic Differential Equations. Option Hedging under Additional Cost

      • Rainer Buckdahn
      Pages 307-318

    4. Componentwise and Vector Stochastic Integration with Respect to Certain Multi-Dimensional Continuous Local Martingales

      • Michel Chatelain, Christophe Stricker
      Pages 319-325

    5. Stock Price Returns and the Joseph Effect: A Fractional Version of the Black-Scholes Model

      • Nigel J. Cutland, P. Ekkehard Kopp, Walter Willinger
      Pages 327-351

    6. Critical Price for an American Option near Maturity

      • Damien Lamberton
      Pages 353-358

    7. Hedging of Options under Discrete Observation on Assets with Stochastic Volatility

      • G. B. Di Masi, E. Platen, W. J. Runggaldier
      Pages 359-364

    8. Convergence of Option Values under Incompleteness

      • Wolfgang J. Runggaldier, Martin Schweizer
      Pages 365-384

    9. Portfolio Selection with Transaction Costs

      • Agnès Tourin, Thaleia Zariphopoulou
      Pages 385-391

  2. Back Matter

    Pages 392-394
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Keywords

About this book

Pure and applied stochastic analysis and random fields form the subject of this book. The collection of articles on these topics represent the state of the art of the research in the field, with particular attention being devoted to stochastic models in finance. Some are review articles, others are original papers; taken together, they will apprise the reader of much of the current activity in the area.

Editors and Affiliations

  • Institut für Mathematik, Abteilung Angewandte Mathematik, Universität Zürich-Irchel, Zürich, Switzerland

    Erwin Bolthausen

  • Département de Mathématiques, Université de Nancy 1, Vandoeuvre-Les-Nancy Cedex, France

    Marco Dozzi

  • Département de Mathématiques Institut Galilée, Université Paris-Nord, Villetaneuse, France

    Francesco Russo

  • BIBOS, Universität Bielefeld, Bielefeld 1, Germany

    Francesco Russo

Bibliographic Information

  • Book Title: Seminar on Stochastic Analysis, Random Fields and Applications

  • Book Subtitle: Centro Stefano Franscini, Ascona, 1993

  • Editors: Erwin Bolthausen, Marco Dozzi, Francesco Russo

  • Series Title: Progress in Probability

  • DOI: https://doi.org/10.1007/978-3-0348-7026-9

  • Publisher: Birkhäuser Basel

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer Basel AG 1995

  • Hardcover ISBN: 978-3-7643-5241-7Published: 27 July 1995

  • Softcover ISBN: 978-3-0348-7028-3Published: 13 November 2013

  • eBook ISBN: 978-3-0348-7026-9Published: 06 December 2012

  • Series ISSN: 1050-6977

  • Series E-ISSN: 2297-0428

  • Edition Number: 1

  • Number of Pages: X, 394

  • Topics: Probability Theory and Stochastic Processes, Economic Theory/Quantitative Economics/Mathematical Methods, Analysis

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