Stochastic Processes and Applications to Mathematical Fin...
Akahori, Jiro / Ogawa, Shigeyoshi / Watanabe, Shinzo This book contains articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Levy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance. Examples of topics are applications of Malliavin calculus and numerical analysis to a new simulation scheme for calculating the price of financial derivatives, ...