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Seminar on Stochastic Analysis, Random Fields and Applications VII

Centro Stefano Franscini, Ascona, May 2011

  • Conference proceedings
  • © 2013

Overview

Editors:
  1. Robert C. Dalang

    1. Institut de Mathématiques (IMA) Chaire de Statistiques Appliquées (STAP), Ecole Polytechnique Fédérale de Lausanne Fac. Sciences de Base (FSB), Lausanne, Switzerland

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  2. Marco Dozzi

    1. Institut Elie Cartan, Université de Lorraine, Vandoeuvre-les-Nancy CX, France

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  3. Francesco Russo

    1. Unité de Mathématiques appliquées, ENSTA ParisTech, Palaiseau, France

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  • Proceedings of a top-notch meeting in stochastic analysis
  • Includes notes of a public lecture aimed at a general audience?

Part of the book series: Progress in Probability (PRPR)

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Table of contents (23 papers)

  1. Stochastic Methods in Financial Models

    1. Stochastic Control and Pricing Under Swap Measures

      • R. Cogo, A. Gombani, W. J. Runggaldier
      Pages 363-379

    2. Affine Variance Swap Curve Models

      • Damir Filipović
      Pages 381-393

    3. Efficient Second-order Weak Scheme for Stochastic Volatility Models

      • Benjamin Jourdain, Mohamed Sbai
      Pages 395-410

    4. Bid-Ask Spread Modelling, a Perturbation Approach

      • Thomas Lim, Vathana Ly Vath, Jean-Michel Sahut, Simone Scotti
      Pages 411-434

    5. Optimal Portfolio in a Regime-switching Model

      • Adrian Roy L. Valdez, Tiziano Vargiolu
      Pages 435-449

  2. Public Lecture

    1. Front Matter

      Pages 451-451
      Download chapter PDF

    2. Can there Be Excessive Mathematization of the World?

      • Nicolas Bouleau
      Pages 453-469
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Keywords

About this book

This volume contains refereed research or review articles presented at the 7th Seminar on Stochastic Analysis, Random Fields and Applications which took place at the Centro Stefano Franscini (Monte Verità) in Ascona , Switzerland, in May 2011. The seminar focused mainly on: - stochastic (partial) differential equations, especially with jump processes, construction of solutions and approximations - Malliavin calculus and Stein methods, and other techniques in stochastic analysis, especially chaos representations and convergence, and applications to  models of interacting particle systems - stochastic methods in financial models, especially models for power markets or for risk analysis, empirical estimation and approximation, stochastic control and optimal pricing. The book will be a valuable resource for researchers in stochastic analysis and for professionals interested in stochastic methods in finance.​

Editors and Affiliations

  • Institut de Mathématiques (IMA) Chaire de Statistiques Appliquées (STAP), Ecole Polytechnique Fédérale de Lausanne Fac. Sciences de Base (FSB), Lausanne, Switzerland

    Robert C. Dalang

  • Institut Elie Cartan, Université de Lorraine, Vandoeuvre-les-Nancy CX, France

    Marco Dozzi

  • Unité de Mathématiques appliquées, ENSTA ParisTech, Palaiseau, France

    Francesco Russo

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