Stochastic processes and applications to mathematical finance : proceedings of the 5th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 3-6 March 2005

Based around recent lectures given at the prestigious Ritsumeikan conference, the tutorial and expository articles contained in this volume are an essential guide for practitioners and graduates alike who use stochastic calculus in finance. Among the eminent contributors are Paul Malliavin and Shinzo Watanabe, pioneers of Malliavin Calculus. The coverage also includes a valuable review of current research on credit risks in a mathematically sophisticated way contrasting with existing economics-oriented articles. Contents: Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Th Preface -- Program -- Harmonic analysis methods for nonparametic estimation of volatility : theory and applications / E. Barucci, P. Malliavin and M. E. Mancino -- Hedging of credit derivatives in models with totally unexpected default / T. R. Bielecki, M. Jeanblanc and M. Rutkowski -- A large trader-insider model / A. Kohatsu-Higa and A. Sulem -- [GLP & MEMM] pricing models and related problems / Y. Miyahara -- Topics related to gamma processes / M. Yamazato -- On stochastic differential equations driven by symmetric stable processes of Index [alpha] / H. Hashimoto, T. Tsuchiya and T. Yamada -- Martingale representation theorem and chaos expansion / S. Watanabe Preface Program Harmonic analysis methods for nonparametic estimation of votality : theory and applications / E. Barucci, P. Malliavin and M.E. Mancino Hedging of credit derivatives in models with totally unexpected default / T.R. Bielecki, M. Jeanblanc and M. Rutkowski A large trader-insider model / A. Kohatsu-Higa and A. Sulem [GLP & MEMM] pricing models and related problems / Y. Miyahara Topics related to gamma processes / M. Yamazato On stochastic differential equations driven by symmetric stable processes of Index [alpha] / H. Hashimoto, T. Tsuchiya and T. Yamada Martingale representation theorem and chaos expansion / S. Watanabe.