Stochastic Analysis, Stochastic Systems, and Applications to Finance
Latest Publications

TOTAL DOCUMENTS

12

(FIVE YEARS 0)

H-INDEX

1

(FIVE YEARS 0)

Published By WORLD SCIENTIFIC

9789814355704, 9789814355711

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Applications of Counting Processes and Martingales in Survival Analysis

Stochastic Analysis, Stochastic Systems, and Applications to Finance ◽

10.1142/9789814355711_0010 ◽

2011 ◽

pp. 231-244

Author(s):

Jianguo Sun

Keyword(s):

Survival Analysis ◽

Counting Processes

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Finding Expectations of Monotone Functions of Binary Random Variables by Simulation, with Applications to Reliability, Finance, and Round Robin Tournaments

Stochastic Analysis, Stochastic Systems, and Applications to Finance ◽

10.1142/9789814355711_0005 ◽

2011 ◽

pp. 101-113 ◽

Author(s):

Mark Brown ◽

Erol A. Peköz ◽

Sheldon M. Ross

Keyword(s):

Random Variables ◽

Round Robin ◽

Monotone Functions ◽

Round Robin Tournaments ◽

Binary Random Variables

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Real Options and Competition

Stochastic Analysis, Stochastic Systems, and Applications to Finance ◽

10.1142/9789814355711_0004 ◽

2011 ◽

pp. 63-100

Author(s):

Alain Bensoussan ◽

J. David Diltz ◽

SingRu (Celine) Hoe

Keyword(s):

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Multidimensional Wick-Itô Formula for Gaussian Processes

Stochastic Analysis, Stochastic Systems, and Applications to Finance ◽

10.1142/9789814355711_0001 ◽

2011 ◽

pp. 3-26

Author(s):

D. Nualart ◽

S. Ortiz-Latorre

Keyword(s):

Gaussian Processes ◽

Itô Formula ◽

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Optimal Reinsurance under a Jump Diffusion Model

Stochastic Analysis, Stochastic Systems, and Applications to Finance ◽

10.1142/9789814355711_0009 ◽

2011 ◽

pp. 215-230

Author(s):

Shangzhen Luo

Keyword(s):

Diffusion Model ◽

Jump Diffusion ◽

Optimal Reinsurance ◽

Jump Diffusion Model

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Jump Bond Markets Some Steps towards General Models in Applications to Hedging and Utility Problems

Stochastic Analysis, Stochastic Systems, and Applications to Finance ◽

10.1142/9789814355711_0007 ◽

2011 ◽

pp. 145-191

Author(s):

Michael Kohlmann ◽

Dewen Xiong

Keyword(s):

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Filtering with Counting Process Observations and Other Factors: Applications to Bond Price Tick Data

Stochastic Analysis, Stochastic Systems, and Applications to Finance ◽

10.1142/9789814355711_0006 ◽

2011 ◽

pp. 115-144

Author(s):

Xing Hu ◽

David R. Kuipers ◽

Yong Zeng

Keyword(s):

Counting Process ◽

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Invariance Principle of Regime-Switching Diffusions

Stochastic Analysis, Stochastic Systems, and Applications to Finance ◽

10.1142/9789814355711_0003 ◽

2011 ◽

pp. 43-60

Author(s):

C. Zhu ◽

G. Yin

Keyword(s):

Invariance Principle ◽

Regime Switching ◽

Switching Diffusions

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Recombining Tree for Regime-Switching Model: Algorithm and Weak Convergence

Stochastic Analysis, Stochastic Systems, and Applications to Finance ◽

10.1142/9789814355711_0008 ◽

2011 ◽

pp. 193-214 ◽

Author(s):

R. H. Liu

Keyword(s):

Weak Convergence ◽

Regime Switching ◽

Regime Switching Model ◽

Switching Model ◽

Model Algorithm

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Stochastic Algorithms and Numerics for Mean-Reverting Asset Trading

Stochastic Analysis, Stochastic Systems, and Applications to Finance ◽

10.1142/9789814355711_0011 ◽

2011 ◽

pp. 245-261

Author(s):

Q. Zhang ◽

C. Zhuang ◽

G. Yin

Keyword(s):

Stochastic Algorithms ◽

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