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Applied Probability
Edited by: Raymond Chan, Chinese University of Hong Kong, Shatin, Hong Kong, China, Yue-Kuen Kwok, Hong Kong University of Science and Technology, Clear Water Bay, Hong Kong, China, David Yao, Columbia University, NY, NY, and Qiang Zhang, State University of New York at Stony Brook, NY
A co-publication of the AMS and International Press.
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AMS/IP Studies in Advanced Mathematics
2002; 148 pp; softcover
Volume: 26
ISBN-10: 0-8218-3191-7
ISBN-13: 978-0-8218-3191-5
List Price: US$45
Member Price: US$36
Order Code: AMSIP/26
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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 co-published 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 -- Quasi-Monte 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 Black-Scholes formula
  • J.-a. Yan -- An overview on the Martingale approach to option pricing
  • X. Zhang -- On comparison theorems for diffusion processes
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