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Stochastic Processes, Finance and Control

Publisher: 
World Scientific
Number of Pages: 
588
Price: 
161.00
ISBN: 
9789814383301
Date Received: 
Friday, October 12, 2012
Reviewable: 
No
Include In BLL Rating: 
No
Reviewer Email Address: 
Samuel N. Cohen, Dilip Madan, Tak Kuen Siu, and Hailiang Yang, editors
Series: 
Advances in Statistics, Probability and Actuarial Science 1
Publication Date: 
2012
Format: 
Hardcover
Category: 
Festschrift
  • Stochastic Analysis:
    • On the Connection Between Discrete and Continuous Wick Calculus with an Application to the Fractional Black-
    • Malliavin Differentiability of a Class of Feller-Diffusions with Relevance in Finance (C-O Ewald, Y Xiao, Y Zou and T K Siu)
    • A Stochastic Integral for Adapted and Instantly Independent Stochastic Processes (H-H Kuo, A Sae-Tang and B Szozda)
    • Independence of Some Multiple Poisson Stochastic Integrals with Variable-Sign Kernels (N Privault)
  • Differential and Stochastic Games:
    • Strategies for Differential Games (W H Fleming and D Hernández-Hernández)
    • BSDE Approach to Non-Zero-Sum Stochastic Differential Games of Control and Stopping (I Karatzas and Q Li)
  • Mathematical Finance:
    • On Optimal Dividend Strategies in Insurance with a Random Time Horizon (H Albrecher and S Thonhauser)
    • Counterparty Risk and the Impact of Collateralization in CDS Contracts (T R Bielecki, I Cialenco and I Iyigunler)
    • A Modern View on Merton's Jump-Diffusion Model (G H L Cheang and C Chiarella)
    • Hedging Portfolio Loss Derivatives with CDS's (A Cousin and M Jeanblanc)
    • New Analytic Approximations for Pricing Spread Options (J van der Hoek and M W Korolkiewicz)
    • On the Polynomial–Normal Model and Option Pricing (H Li and A Melnikov)
    • A Functional Transformation Approach to Interest Rate
    • S&P 500 Index Option Surface Drivers and Their Risk Neutral and Real World Quadratic Covariations (D B Madan)
    • A Dynamic Portfolio Approach to Asset Markets and Monetary Policy (E Platen and W Semmler)
    • Mean-Variance Portfolio Selection Under Regime-Switching Diffusion Asset Models: A Two-Time-Scale Limit (G Yin and Y Talafha)
  • Filtering and Control:
    • Existence and Uniqueness of Solutions for a Partially Observed Stochastic Control Problem (A Bensoussan, M Çakanyildirim, M Li and S P Sethi)
    • Continuous Control of Piecewise Deterministic Markov Processes with Long Run Average Cost (O L V Costa and F Dufour)
    • Stochastic Linear-Quadratic Control Revisited (T E Duncan)
    • Optimization of Stochastic Uncertain Systems: Entropy Rate Functionals, Minimax Games and Robustness (F Rezaei, C D Charalambous and N U Ahmed)
    • Gradient Based Policy Optimization of Constrained Markov Decision Processes (V Krishnamurthy and F J Vázquez Abad)
    • Parameter Estimation of a Regime-Switching Model Using
    • An Optimal Inventory-Price Coordination Policy (H Zhang and Q Zhang)
Publish Book: 
Modify Date: 
Friday, October 12, 2012

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