STOCHASTIC PROCESSES AND APPLICATIONS TO MATHEMATICAL FINANCE

STOCHASTIC PROCESSES AND APPLICATIONS TO MATHEMATICAL FINANCE
Proceedings of the 6th Ritsumeikan International Symposium

Ritsumeikan University, Japan, 6 - 10 March 2006

CONTENTS


FRONT MATTER	i
Financial Markets with Asymmetric Information: Information Drift, Additional Utility and Entropy Stefan Ankirchner and Peter Imkeller	1
A Localization of the Lévy Operators Arising in Mathematical Finances Mariko Arisawa	23
Model-free Representation of Pricing Rules as Conditional Expectations Sara BIAGINI and Rama CONT	53
A Class of Financial Products and Models Where Super-replication Prices are Explicit L. Carassus, E. Gobet and E. Temam	67
Risky Debt and Optimal Coupon Policy and Other Optimal Strategies Diana DOROBANTU and Monique PONTIER	85
Affine Credit Risk Models under Incomplete Information Rüdiger Frey, Cecilia Prosdocimi and Wolfgang J. Runggaldier	97
Smooth Rough Paths and the Applications Keisuke Hara and Terry Lyons	115
From Access to Bypass: A Real Options Approach Keiichi Hori and Keizo Mizuno	127
The Investment Game under Uncertainty: An Analysis of Equilibrium Values in the Presence of First or Second Mover Advantage. Junichi Imai and Takahiro Watanabe	151
Asian Strike Options of American Type and Game Type Masaya Ishihara and Hiroshi Kunita	173
Minimal Variance Martingale Measures for Geometric Lévy Processes M. Jeanblanc, S. Kloeppel and Y. Miyahara	193
Cubature on Wiener Space Continued Christian Litterer and Terry Lyons	197
A Remark on Impulse Control Problems with Risk-sensitive Criteria Hideo Nagai	219
A Convolution Approach to Multivariate Bessel Proceses Thu Van Nguyen, S. Ogawa and M. Yamazato	233
Spectral Representation of Multiply Self-decomposable Stochastic Processes and Applications Nguyen Van Thu, To Anh Dung, Duong Ton Dam and Nguyen Huu Thai	245
Stochastic Growth Models of an Isolated Economy Kunio Nishioka	259
Numerical Approximation by Quantization for Optimization Problems in Finance under Partial Observations Huyên PHAM	275
Back