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Stochastic processes, finance and co...

Cohen, Samuel N.,

Stochastic processes, finance and control :a festschrift in honor of Robert J. Elliott /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Stochastic processes, finance and control :editors, Samuel N. Cohen ... [et al.].
Reminder of title:	a festschrift in honor of Robert J. Elliott /
other author:	Cohen, Samuel N.,
Published:	New Jersey :World Scientific,c2012.
Description:	xv, 588 p. :ill. ;24 cm.
Subject:	Stochastic processes.
ISBN:	9789814383301 :

Stochastic processes, finance and control :a festschrift in honor of Robert J. Elliott /
Stochastic processes, finance and control :a festschrift in honor of Robert J. Elliott /editors, Samuel N. Cohen ... [et al.]. - New Jersey :World Scientific,c2012. - xv, 588 p. :ill. ;24 cm. - Advances in statistics, probablity and actuarial science,vol. 12010-1317 ;.

Includes bibliographical references and index.

On the connection between discrete and continuous Wick calculus with an application to the fractional Black-Scholes model / C. Bender and P. Parczewski -- Malliavin differentiability of a class of Feller-diffusions with relevance in finance / C.-O. Ewald [and others] -- 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 -- Strategies for differential games / W.H. Fleming and D. Hernâandez-Hernâandez -- BSDE approach to non-zero-sum stochastic differential games of control and stopping / I. Karatzas and Q. Li -- 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 modelling / S. Luo, J. Yan and Q. Zhang -- 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 -- Existence and uniqueness of solutions for a partially observed stochastic control problem / A. Bensoussan [and others] -- 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 undertain 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. Vâazquez Abad -- Parameter estimation of a regime-switching model using an inverse Stieltjes moment approach / X. Xi, M.R. Rodrigo and R.S. Mamon -- An optimal inventory-price coordinaton policy / H. Zhang and Q. Zhang.

This title consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering--

ISBN: 9789814383301 :NT$4766

LCCN: 2012554587Subjects--Topical Terms:

181874
Stochastic processes.

LC Class. No.: QA274 / .S8233 2012

Dewey Class. No.: 519.23

Stochastic processes, finance and control :a festschrift in honor of Robert J. Elliott /
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245 0 0 $a Stochastic processes, finance and control : $b a festschrift in honor of Robert J. Elliott / $c editors, Samuel N. Cohen ... [et al.].
260 $a New Jersey : $b World Scientific, $c c2012.
300 $a xv, 588 p. : $b ill. ; $c 24 cm.
490 0 $a Advances in statistics, probablity and actuarial science, $x 2010-1317 ; $v vol. 1
504 $a Includes bibliographical references and index.
505 0 $a On the connection between discrete and continuous Wick calculus with an application to the fractional Black-Scholes model / C. Bender and P. Parczewski -- Malliavin differentiability of a class of Feller-diffusions with relevance in finance / C.-O. Ewald [and others] -- 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 -- Strategies for differential games / W.H. Fleming and D. Hernâandez-Hernâandez -- BSDE approach to non-zero-sum stochastic differential games of control and stopping / I. Karatzas and Q. Li -- 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 modelling / S. Luo, J. Yan and Q. Zhang -- 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 -- Existence and uniqueness of solutions for a partially observed stochastic control problem / A. Bensoussan [and others] -- 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 undertain 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. Vâazquez Abad -- Parameter estimation of a regime-switching model using an inverse Stieltjes moment approach / X. Xi, M.R. Rodrigo and R.S. Mamon -- An optimal inventory-price coordinaton policy / H. Zhang and Q. Zhang.
520 8 $a This title consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering-- $c Source other than Library of Congress.
650 0 $a Stochastic processes. $3 181874
700 1 $a Cohen, Samuel N., $e author. $3 735602
700 1 $a Elliot, Robert J. $3 735644