Applied Probability: Proceedings of an IMS Workshop on Applied Probability, May 31, 1999-June 12, 1999. Institute of Mathematical Sciences at the Chin
By: Qiang Zhang (author), Yue-Kuen Kwok (author), David Yao (author), Raymond Chan (author)Paperback
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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.
A direct method for stochastic automata networks by R. H. Chan and W. K. Ching Estimating the speed of random walks by D. Chen A new story of ergodic theory by M.-F. Chen Solvability of a stochastic linear quadratic optimal control problem by S. Chen and J. Yong Convertible bonds with market risk and credit risk by M. Davis and F. R. Lischka Quasi-Monte Carlo methods and their randomizations by F. J. Hickernell and H. S. Hong Contingent claim approach for analyzing the credit risk of defaultable currency swaps by H. Yu and Y.-K. Kwok Dynamic insider trading by S. Luo and Q. Zhang A new hedging model and a nonlinear generalization of Black-Scholes formula by S. Tang An overview on the Martingale approach to option pricing by J.-a. Yan On comparison theorems for diffusion processes by X. Zhang.
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- ID: 9780821831915
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