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Applied Probability
About this Title
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, Stony Brook, NY, Editors
Publication: AMS/IP Studies in Advanced Mathematics
Publication Year:
2002; Volume 26
ISBNs: 978-0-8218-3191-5 (print); 978-1-4704-3816-6 (online)
DOI: https://doi.org/10.1090/amsip/026
MathSciNet review: MR1909872
MSC: Primary 60-06
ReadershipTable of Contents
Front/Back Matter
Chapters
- A direct method for stochastic automata networks
- Estimating the speed of random walks
- A new story of ergodic theory
- Solvability of a stochastic linear quadratic optimal control problem
- Convertible bonds with market risk and credit risk
- Quasi-Monte Carlo methods and their randomizations
- Contingent claim approach for analyzing the credit risk of defaultable currency swaps
- Dynamic insider trading
- A new hedging model and a nonlinear generalization of Black-Scholes formula
- An overview on the Martingale approach to option pricing
- On comparison theorems for diffusion processes