Applied probability : proceedings of an IMS Workshop on Applied Probability, May 31, 1999-June 12, 1999 : Institute of Mathematical Sciences at the Chinese University of Hong Kong, Hong Kong, China : AMSIP volume 26

Contributor(s): Chan, Raymond HMaterial type: Computer fileComputer fileSeries: AMS/IP Studies in Advanced Mathematics ; v. 26Publication details: Providence, R.I. : American Mathematical Society : International Press, c2002Description: 1 online resource (vii, 148 p. : ill.)ISBN: 9781470438166 (online)Subject(s): ProbabilitiesLOC classification: QA273.A1Online resources: Click here to access online
Contents:
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
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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

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