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Applied Probability
 
Edited by: Raymond Chan :  Chinese University of Hong Kong, Shatin, Hong Kong, China
Yue-Kuen Kwok :  Hong Kong University of Science and Technology, Clear Water Bay, Hong Kong, China
David Yao :  Columbia University, NY, NY
Qiang Zhang :  State University of New York at Stony Brook, Stony Brook, NY
A co-publication of the AMS and International Press of Boston
Applied Probability
Softcover ISBN:  978-0-8218-3191-5
Product Code:  AMSIP/26
List Price: $54.00
MAA Member Price: $48.60
AMS Member Price: $43.20
eBook ISBN:  978-1-4704-3816-6
Product Code:  AMSIP/26.E
List Price: $51.00
MAA Member Price: $45.90
AMS Member Price: $40.80
Softcover ISBN:  978-0-8218-3191-5
eBook: ISBN:  978-1-4704-3816-6
Product Code:  AMSIP/26.B
List Price: $105.00 $79.50
MAA Member Price: $94.50 $71.55
AMS Member Price: $84.00 $63.60
Add to cart
Applied Probability
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Applied Probability
Edited by: Raymond Chan :  Chinese University of Hong Kong, Shatin, Hong Kong, China
Yue-Kuen Kwok :  Hong Kong University of Science and Technology, Clear Water Bay, Hong Kong, China
David Yao :  Columbia University, NY, NY
Qiang Zhang :  State University of New York at Stony Brook, Stony Brook, NY
A co-publication of the AMS and International Press of Boston
Softcover ISBN:  978-0-8218-3191-5
Product Code:  AMSIP/26
List Price: $54.00
MAA Member Price: $48.60
AMS Member Price: $43.20
eBook ISBN:  978-1-4704-3816-6
Product Code:  AMSIP/26.E
List Price: $51.00
MAA Member Price: $45.90
AMS Member Price: $40.80
Softcover ISBN:  978-0-8218-3191-5
eBook ISBN:  978-1-4704-3816-6
Product Code:  AMSIP/26.B
List Price: $105.00 $79.50
MAA Member Price: $94.50 $71.55
AMS Member Price: $84.00 $63.60
Add to cart
  • Book Details
     
     
    AMS/IP Studies in Advanced Mathematics
    Volume: 26; 2002; 148 pp
    MSC: Primary 46; 47; 28; 93; 91

    This book presents articles on original material from invited talks given at the “IMS Workshop on Applied Probability” organized by the Institute of Mathematical Sciences at the Chinese University of Hong Kong in May 1999. The goal of the workshop was to promote research in applied probability for local mathematicians and engineers and to foster exchange with experts from other parts of the world. The main themes were mathematical finance and stochastic networks.

    The topics range from the theoretical study, e.g., ergodic theory and diffusion processes, to very practical problems, such as convertible bonds with market risk and insider trading.

    The wide scope of coverage in the book make it a helpful reference for graduate students and researchers, and for practitioners working in mathematical finance.

    Titles in this series are co-published with International Press of Boston, Inc., Cambridge, MA.
    Readership

    Graduate students and research mathematicians working in mathematical finance.
  • Table of Contents
     
     
    • Chapters
    • A direct method for stochastic automata networks
    • Estimating the speed of random walks
    • A new story of ergodic theory
    • Solvability of a stochastic linear quadratic optimal control problem
    • Convertible bonds with market risk and credit risk
    • Quasi-Monte Carlo methods and their randomizations
    • Contingent claim approach for analyzing the credit risk of defaultable currency swaps
    • Dynamic insider trading
    • A new hedging model and a nonlinear generalization of Black-Scholes formula
    • An overview on the Martingale approach to option pricing
    • On comparison theorems for diffusion processes
  • Requests
     
     
    Review Copy – for publishers of book reviews
    Accessibility – to request an alternate format of an AMS title
AMS/IP Studies in Advanced Mathematics
Volume: 26; 2002; 148 pp
MSC: Primary 46; 47; 28; 93; 91

This book presents articles on original material from invited talks given at the “IMS Workshop on Applied Probability” organized by the Institute of Mathematical Sciences at the Chinese University of Hong Kong in May 1999. The goal of the workshop was to promote research in applied probability for local mathematicians and engineers and to foster exchange with experts from other parts of the world. The main themes were mathematical finance and stochastic networks.

The topics range from the theoretical study, e.g., ergodic theory and diffusion processes, to very practical problems, such as convertible bonds with market risk and insider trading.

The wide scope of coverage in the book make it a helpful reference for graduate students and researchers, and for practitioners working in mathematical finance.

Titles in this series are co-published with International Press of Boston, Inc., Cambridge, MA.
Readership

Graduate students and research mathematicians working in mathematical finance.
  • Chapters
  • A direct method for stochastic automata networks
  • Estimating the speed of random walks
  • A new story of ergodic theory
  • Solvability of a stochastic linear quadratic optimal control problem
  • Convertible bonds with market risk and credit risk
  • Quasi-Monte Carlo methods and their randomizations
  • Contingent claim approach for analyzing the credit risk of defaultable currency swaps
  • Dynamic insider trading
  • A new hedging model and a nonlinear generalization of Black-Scholes formula
  • An overview on the Martingale approach to option pricing
  • On comparison theorems for diffusion processes
Review Copy – for publishers of book reviews
Accessibility – to request an alternate format of an AMS title
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