Stochastic Analysis with Financial Applications

Hong Kong 2009

  • Arturo Kohatsu-Higa
  • Nicolas Privault
  • Shuenn-Jyi Sheu

Part of the Progress in Probability book series (PRPR, volume 65)

Table of contents

  1. Front Matter
    Pages i-ix
  2. Stochastic Analysis

    1. Front Matter
      Pages 1-1
    2. S. Chakraborty, E. T. Kolkovska, J. A. López-Mimbela
      Pages 21-32
    3. Samuel N. Cohen, Robert J. Elliott
      Pages 33-42
    4. Ana Bela Cruzeiro, Evelina Shamarova
      Pages 43-59
    5. Shizan Fang, Huaiqian Lee
      Pages 61-71
    6. Arturo Kohatsu-Higa, Nicolas Vayatis, Kazuhiro Yasuda
      Pages 145-167
    7. Bernt Øksendal, Agnès Sulem
      Pages 179-189
    8. Atsushi Takeuchi
      Pages 207-219
    9. Jiarui Yang, Jinqiao Duan
      Pages 221-252
  3. Financial Applications

    1. Front Matter
      Pages 253-253
    2. Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski
      Pages 255-298
    3. José M. Corcuera
      Pages 317-330
    4. Masaaki Fukasawa
      Pages 331-346
    5. Libo Li, Marek Rutkowski
      Pages 361-411

About these proceedings


Stochastic analysis has a variety of applications to biological systems as well as physical and engineering problems, and its applications to finance and insurance have bloomed exponentially in recent times. The goal of this book is to present a broad overview of the range of applications of stochastic analysis and some of its recent theoretical developments. This includes numerical simulation, error analysis, parameter estimation, as well as control and robustness properties for stochastic equations. The book also covers the areas of backward stochastic differential equations via the (non-linear) G-Brownian motion and the case of jump processes. Concerning the applications to finance, many of the articles deal with the valuation and hedging of credit risk in various forms, and include recent results on markets with transaction costs.


T.R. Bielecki
N. Bouleau
S. Chakraborty
T.S. Chiang
S.N. Cohen
J.M. Corcuera
S. Crépey
A.B. Cruzeiro
L. Denis
J. Duan
R.J. Elliott
S. Fang
M. Fukasawa
F.Q. Gao
B. Goldys
S. Han
Y. Ishikawa
M. Jeanblanc
H. Jiang
B. Jourdain
A. Kohatsu-Higa
E.T. Kolkovska
H. Lee
L. Li
J.A. López-Mimbela
J. Luo
B. Øksendahl
J. Ren
M. Rutkowski
E. Shamarova
S.J. Sheu
A. Sulem
A. Takeuchi
N. Vaytis
R. Wang
J. Wei
J. Wu
J. Yang
H. Yang
K. Yasuda
X. Zhang

Editors and affiliations

  • Arturo Kohatsu-Higa
    • 1
  • Nicolas Privault
    • 2
  • Shuenn-Jyi Sheu
    • 3
  1. 1.Japan Science and Technology Agency, Department of Mathematical SciencesRitsumeikan UniversityShigaJapan
  2. 2.Division of Mathematical SciencesNanyang Technological UniversitySingaporeSingapore
  3. 3.Department of MathematicsNational Central UniversityZhongli CityTaiwan R.O.C.

Bibliographic information

Industry Sectors
Finance, Business & Banking