STOCHASTIC PROCESSES AND APPLICATIONS TO MATHEMATICAL FINANCE

STOCHASTIC PROCESSES AND APPLICATIONS TO MATHEMATICAL FINANCE
Proceedings of the 5th Ritsumeikan International Symposium

Ritsumeikan University, Japan, 3 - 6 March 2005

CONTENTS


FRONT MATTER	i
Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications Emilio Barucci, Paul Malliavin and Maria Elvira Mancino	1
Hedging of Credit Derivatives in Models with Totally Unexpected Default Tomasz R. BIELECKI, Monique JEANBLANC and Marek RUTKOWSKI	35
A Large Trader-Insider Model Arturo Kohatsu-Higa and Agnès Sulem	101
[GLP & MEMM] Pricing Models and Related Problems Yoshio Miyahara	125
Topics Related to Gamma Processes Makoto Yamazato	157
On Stochastic Differential Equations Driven by Symmetric Stable Processes of Index α Hiroya Hashimoto, Takahiro Tsuchiya and Toshio Yamada	183
Martingale Representation Theorem and Chaos Expansion Shinzo Watanabe	195
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