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Title Stochastic analysis, stochastic systems, and applications to finance / edited by Allanus Tsoi, David Nualart, George Yin.

Published Singapore : World Scientific, [2011]


Location Call No. Status
 UniM ERC  332.0151922 STOC    AVAILABLE
Physical description x, 261 pages : illustrations ; 24 cm
Notes "It is an expanded version of papers presented at the first Kansas-Missouri Winter School of Applied Probability, which was organized by Allanus Tsoi and was held at the University of Missouri, February 14 and 15, 2008."--Pref.
Bibliography Includes bibliographical references.
Contents ch. 1. Multidimensional Wick-Ito formula for Gaussian processes -- ch. 2. Fractional white noise multiplication -- ch. 3. Invariance principle of regime-switching diffusions -- ch. 4. Real options and competition.
Other author Tsoi, Allanus Hak-Man, 1955-
Nualart, David, 1951-
Yin, George, 1954-
Kansas-Missouri Winter School of Applied Probability (1st : 2008 : University of Missouri)
Subject Finance -- Mathematical models -- Congresses.
Stochastic systems -- Congresses.
Stochastic analysis -- Congresses.
ISBN 9789814355704 (hbk.)
9814355704 (hbk.)