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Item specifics
| Condition: | Publication Year: | 2007 | |
| Format: | Hardcover | Language: | English |
| ISBN: |
0817645446 |
EAN: |
9780817645441 |
Advances in Mathematical Finance
Product Details
| Synopsis | |
| This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the work is dedicated to Dilip B. Madan on the occasion of his 60th birthday. | |
| Product Identifiers | |
| ISBN-10 | 0817645446 |
| ISBN-13 | 9780817645441 |
| Key Details | |
| Number Of Pages | 336 pages |
| Series | Applied and Numerical Harmonic Analysis |
| Format | Hardcover |
| Publication Date | 2007-07-30 |
| Language | English |
| Publisher | Birkhäuser Boston |
| Publication Year | 2007 |
| Additional Details | |
| Number of Volumes | 1 vol. |
| Copyright Date | 2007 |
| Illustrated | Yes |
| Dimensions | |
| Weight | 54.3 Oz |
| Height | 0.3 In. |
| Width | 6.1 In. |
| Length | 9.3 In. |
| Target Audience | |
| Group | Scholarly & Professional |
| Classification Method | |
| LC Classification Number | HG8779-8793HB135-147 |
| Contributors | |
| Edited by | Ju-Yi J. Yen, Michael C. Fu, Robert A. Jarrow, Robert J. Elliott |
| Table Of Content | |
| Preface Career Highlights and List of Publications / Dilip B. Madan Part I. Variance-Gamma & Related Stochastic Processes The Early Years of the Variance-Gamma Process / Eugene Seneta Variance-Gamma and Monte Carlo / Michael C. Fu Some Remarkable Properties of Gamma Processes / Marc Yor A Note About Selberg’s Integrals in Relation with the Beta-Gamma Algebra / Marc Yor Ito Formulas for Fractional Brownian Motion / Robert J. Elliott and John van der Hoek Part II. Asset & Option Pricing A Tutorial on Zero Volatility and Option Adjusted Spreads / Robert A. Jarrow Asset Price Bubbles in Complete Markets / Robert A. Jarrow, Philip Protter, and Kazuhiro Shimbo Taxation and Transaction Costs in a General Equilibrium Asset Economy / Xing Jin and Frank Milne Calibration of L�vy Term Structure Models / Ernst Eberlein and Wolfgang Kluge Pricing of Swaptions in Affine Term Structures with Stochastic Volatility / Massoud Heidari, Ali Hirsa, and Dilip B. Madan Forward Evolution Equations for Knock-Out Options / Peter Carr and Ali Hirsa Mean Reversion Versus Random Walk in Oil and Natural Gas Prices / H�lyette German Part III. Credit Risk & Investments Beyond Hazard Rates: A New Framework for Credit-Risk Modeling / Dorje C. Brody, Lane P. Hughston, and Andrea Macrina A Generic One-Factor L�vy Model for Pricing Synthetic CDOs / Hansj�rg Albrecher, Sophie A. Ladoucette, and Wim Schoutens Utility Valuation of Credit Derivatives: Single and Two-Name Cases / Ronnie Sircar and Thaleia Zariphopoulou Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model / Marek Musiela and Thaleia Zariphopoulou | |
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