AMS/IP Studies in Advanced Mathematics 2002; 148 pp; softcover Volume: 26 ISBN10: 0821831917 ISBN13: 9780821831915 List Price: US$45 Member Price: US$36 Order Code: AMSIP/26
 This book presents articles on original material from invited talks given at the "IMS Workshop on Applied Probability" organized by the Institute of Mathematical Sciences at the Chinese University of Hong Kong in May 1999. The goal of the workshop was to promote research in applied probability for local mathematicians and engineers and to foster exchange with experts from other parts of the world. The main themes were mathematical finance and stochastic networks. The topics range from the theoretical study, e.g., ergodic theory and diffusion processes, to very practical problems, such as convertible bonds with market risk and insider trading. The wide scope of coverage in the book make it a helpful reference for graduate students and researchers, and for practitioners working in mathematical finance. Titles in this series are copublished with International Press, Cambridge, MA. Readership Graduate students and research mathematicians working in mathematical finance. Table of Contents  R. H. Chan and W. K. Ching  A direct method for stochastic automata networks
 D. Chen  Estimating the speed of random walks
 M.F. Chen  A new story of ergodic theory
 S. Chen and J. Yong  Solvability of a stochastic linear quadratic optimal control problem
 M. Davis and F. R. Lischka  Convertible bonds with market risk and credit risk
 F. J. Hickernell and H. S. Hong  QuasiMonte Carlo methods and their randomizations
 H. Yu and Y.K. Kwok  Contingent claim approach for analyzing the credit risk of defaultable currency swaps
 S. Luo and Q. Zhang  Dynamic insider trading
 S. Tang  A new hedging model and a nonlinear generalization of BlackScholes formula
 J.a. Yan  An overview on the Martingale approach to option pricing
 X. Zhang  On comparison theorems for diffusion processes
