Stochastic Processes, Finance and Control

Samuel N. Cohen, Dilip Madan, Tak Kuen Siu, and Hailiang Yang, editors

Publisher:

World Scientific

Publication Date:

2012

Number of Pages:

588

Format:

Hardcover

Series:

Advances in Statistics, Probability and Actuarial Science 1

Price:

161.00

ISBN:

9789814383301

Category:

Festschrift

MAA Review
Table of Contents

We do not plan to review this book.

Stochastic Analysis:
- On the Connection Between Discrete and Continuous Wick Calculus with an Application to the Fractional Black-
- Malliavin Differentiability of a Class of Feller-Diffusions with Relevance in Finance (C-O Ewald, Y Xiao, Y Zou and T K Siu)
- 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)
Differential and Stochastic Games:
- Strategies for Differential Games (W H Fleming and D Hernández-Hernández)
- BSDE Approach to Non-Zero-Sum Stochastic Differential Games of Control and Stopping (I Karatzas and Q Li)
Mathematical Finance:
- 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
- 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)
Filtering and Control:
- Existence and Uniqueness of Solutions for a Partially Observed Stochastic Control Problem (A Bensoussan, M Çakanyildirim, M Li and S P Sethi)
- 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 Uncertain 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 Vázquez Abad)
- Parameter Estimation of a Regime-Switching Model Using
- An Optimal Inventory-Price Coordination Policy (H Zhang and Q Zhang)