STOCHASTIC PROCESSES AND APPLICATIONS TO MATHEMATICAL FINANCE

STOCHASTIC PROCESSES AND APPLICATIONS TO MATHEMATICAL FINANCE
Proceedings of the Ritsumeikan International Symposium

Kasatu, Shiga, Japan, 5 - 9 March 2003

CONTENTS


FRONT MATTER	i
Numerical Analysis and Misspecifications in Finance: From Model Risk to Localization Error Estimates for Nonlinear PDEs Christophe Berthelot, Mireille Bossy and Denis Talay	1
The Term Structure of Interest Rates as a Random Field: a Stochastic Integration Approach Marzia De Donno	27
Revisiting the Greeks for European and American Options Emmanuel Gobet	53
Excursions in the Martingale Hypothesis Paolo Guasoni	73
Analysis of Jump Processes and Its Application to Optimal Control Yasushi Ishikawa	97
Structure on Solutions of Ergodic Type Bellman Equations of First and Second Orders: Some Observations through the Singular Limits Hidehiro Kaise and Shuenn-Jyi Sheu	119
Multivariate Utility Maximization under Transaction Costs Kenji Kamizono	133
Enlargement of Filtrations and Models for Insider Trading Arturo Kohatsu-Higa	151
Variational Equality and Portfolio Optimization for Price Processes with Jumps Hiroshi Kunita	167
Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems Naoto Kunitomo and Akihiko Takahashi	195
A New Simulation Method of Diffusion Processes Applied to Finance Shigeo Kusuoka and Syoiti Ninomiya	233
Non Linear Feedback Effects by Hedging Strategies Maria Elvira Mancino and Shigeyoshi Ogawa	255
Risky Fraction Processes and Problems with Transaction Costs Hideo Nagai	271
Noncausal Cauchy Problem for the Noncausal SDEs Shigeyoshi Ogawa	289
A Benchmark Framework for Risk Management Eckhard Platen	305
On Dufresne's Perpetuity, Translated and Reflected Paavo Salminen and Marc Yor	337
An Analytic Approach to Secure Pseudo-Random Generation Hiroshi Sugita	355
Some Problems Related to the Black-Scholes Type Security Markets Jiongmin Yong	369
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