Advances in Mathematical Finance


Price : 169.46

Item specifics

Condition: Publication Year: 2007
Format: Hardcover Language: English




Advances in Mathematical Finance

Product Details

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

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

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


Price : 169.46

Comments are closed.