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From: felicity@tou-can.co.uk

To: vfn-l@fam.tuwien.ac.at Subject: STOCHASTIC ANALYSIS WITH APPLICATIONS TO MATHEMATICAL FINANCE - ROYAL SOCIETY THEMED ISSUE

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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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