---------- forwarded message --------
Date: Mon, 24 Nov 2003 12:16:06 -0000
From: felicity(a)tou-can.co.uk
To:
vfn-l(a)fam.tuwien.ac.at
Subject: STOCHASTIC ANALYSIS WITH APPLICATIONS TO MATHEMATICAL FINANCE -
ROYAL SOCIETY THEMED ISSUE
(...)
Stochastic analysis with applications to mathematical finance
A thematic issue from The Royal Society
compiled and edited by Jeff Cash
Published January 2004
Special offer price: £45/US$70
This special issue of Proceedings Series A contains a collection of
papers concerned with algorithms based on probability. Probability
theory has become an indispensable tool in the scientific
investigation of many important mathematical problems. Perhaps the
most widely used application, and the most easily appreciated by the
layman, is in mathematical finance. Mathematical models are widely
used to set interest rates, they guide the management of risk and they
are used to provide the prices of financial derivatives. Another
important application area involves stochastic partial differential
equations. These play a central role in areas such as hydrology,
oceanography and atmospheric science. An important example of this is
weather prediction and in the prediction and understanding of river
flows in a complex river basin. Probabilistic approaches also play an
important role in the rigorous definition of the solution to a PDE and
they provide an approach for examining the existence and uniqueness of
a solution. An important application in the area of partial
differential equations is cubature on Wiener space, which has been
used for the numerical approximation of solutions of the heat
equation.
Finally this volume also examines the progress that has been made in
super Brownian motion, which typically describes particles diffusing
through space, and its application to genetic inheritance.
Subscribers to Proceedings Series A can access the full content by
visiting our website at
http://www.pubs.royalsoc.ac.uk
Non-subscribers can purchase this volume at the special price of £45.
To order online please visit
http://www.pubs.royalsoc.ac.uk/acatalog/stochastic.html
Alternatively you can contact The Royal Society by any of the
following routes:
telephone: +44 (0) 870 121 4224
fax: +44 (0) 870 121 4223
email: <mailto:royalsociety@twoten.press.net>
Contents
_______________________________________________________________
Finite-dimensional Markovian realizations for stochastic volatility
forward-rate models
T Björk, C Landén and L Svensson
Chaos and coherence: a new framework for interest-rate modelling
D Brody and LP Hughston
Convergence of a discretization scheme for jump-diffusion processes with
state-dependent intensities
P Glasserman and N Merener
On the geometry of the term structure of interest rates
D Filipovic and J Teichmann
Cubature on Wiener space
T Lyons and N Victoir
Convergence rate of the Sherman and Peskin branching stochastic particle method
H Régnier and D Talay
The central limit theorem for a nonlinear algorithm based on quantization
V Bally
Superprocesses in a Brownian environment
D Crisan
Stochastic analysis of tree-like data structures
M Drmota
On Wong-Zakai approximations with ä-martingales
I Gyöngy and G Michaletzky
On convergence of chains with occupational self-interactions
P Del Moral and L Miclo
An introduction to white-noise theory and Malliavin calculus for fractional
Brownian motion
F Biagini, B Øksendal, A Sulem and N Wallner
Numerical methods for strong solutions of stochastic differential equations:
an overview
K Burrage, PM Burrage and T Tian
--------------------------
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