Stochastic hyperbolic dynamics for infinite-dimensional forward rates and option pricing of general contingent claims

Shin Ichi Aihara, Arunabha Bagchi

    Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademicpeer-review

    Original languageEnglish
    Title of host publicationProceedings of the 6th Columbia-JAFEE International Conference
    Subtitle of host publicationTokyo, March 15-16, 2003
    Pages116-137
    Number of pages21
    Publication statusPublished - 15 Mar 2003
    Event6th Columbia-JAFEE International Conference 2003 - Hitotsubashi University, Tokyo, Japan
    Duration: 15 Mar 200316 Mar 2003
    Conference number: 6

    Conference

    Conference6th Columbia-JAFEE International Conference 2003
    CountryJapan
    CityTokyo
    Period15/03/0316/03/03

    Keywords

    • METIS-216996

    Cite this

    Aihara, S. I., & Bagchi, A. (2003). Stochastic hyperbolic dynamics for infinite-dimensional forward rates and option pricing of general contingent claims. In Proceedings of the 6th Columbia-JAFEE International Conference: Tokyo, March 15-16, 2003 (pp. 116-137)
    Aihara, Shin Ichi ; Bagchi, Arunabha. / Stochastic hyperbolic dynamics for infinite-dimensional forward rates and option pricing of general contingent claims. Proceedings of the 6th Columbia-JAFEE International Conference: Tokyo, March 15-16, 2003. 2003. pp. 116-137
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    title = "Stochastic hyperbolic dynamics for infinite-dimensional forward rates and option pricing of general contingent claims",
    keywords = "METIS-216996",
    author = "Aihara, {Shin Ichi} and Arunabha Bagchi",
    year = "2003",
    month = "3",
    day = "15",
    language = "English",
    pages = "116--137",
    booktitle = "Proceedings of the 6th Columbia-JAFEE International Conference",

    }

    Aihara, SI & Bagchi, A 2003, Stochastic hyperbolic dynamics for infinite-dimensional forward rates and option pricing of general contingent claims. in Proceedings of the 6th Columbia-JAFEE International Conference: Tokyo, March 15-16, 2003. pp. 116-137, 6th Columbia-JAFEE International Conference 2003, Tokyo, Japan, 15/03/03.

    Stochastic hyperbolic dynamics for infinite-dimensional forward rates and option pricing of general contingent claims. / Aihara, Shin Ichi; Bagchi, Arunabha.

    Proceedings of the 6th Columbia-JAFEE International Conference: Tokyo, March 15-16, 2003. 2003. p. 116-137.

    Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademicpeer-review

    TY - GEN

    T1 - Stochastic hyperbolic dynamics for infinite-dimensional forward rates and option pricing of general contingent claims

    AU - Aihara, Shin Ichi

    AU - Bagchi, Arunabha

    PY - 2003/3/15

    Y1 - 2003/3/15

    KW - METIS-216996

    M3 - Conference contribution

    SP - 116

    EP - 137

    BT - Proceedings of the 6th Columbia-JAFEE International Conference

    ER -

    Aihara SI, Bagchi A. Stochastic hyperbolic dynamics for infinite-dimensional forward rates and option pricing of general contingent claims. In Proceedings of the 6th Columbia-JAFEE International Conference: Tokyo, March 15-16, 2003. 2003. p. 116-137