Online Public Access Catalogue (OPAC)
Library,Documentation and Information Science Division

“A research journal serves that narrow

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XXVIII, 336 p. online resource. - (Applied and Numerical Harmonic Analysis, ) Content notes : Variance-Gamma and Related Stochastic Processes -- The Early Years of the Variance-Gamma Process -- Variance-Gamma and Monte Carlo -- Some Remarkable Properties of Gamma Processes -- A Note About Selberg’s Integrals in Relation with the Beta-Gamma Algebra -- Itô Formulas for Fractional Brownian Motion -- Asset and Option Pricing -- A Tutorial on Zero Volatility and Option Adjusted Spreads -- Asset Price Bubbles in Complete Markets -- Taxation and Transaction Costs in a General Equilibrium Asset Economy -- Calibration of Lévy Term Structure Models -- Pricing of Swaptions in Affine Term Structures with Stochastic Volatility -- Forward Evolution Equations for Knock-Out Options -- Mean Reversion Versus Random Walk in Oil and Natural Gas Prices -- Credit Risk and Investments -- Beyond Hazard Rates: A New Framework for Credit-Risk Modelling -- A Generic One-Factor Lévy Model for Pricing Synthetic CDOs -- Utility Valuation of Credit Derivatives: Single and Two-Name Cases -- Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model. Mathematics. Engineering mathematics. Economic theory. Macroeconomics. Actuarial Sciences. Quantitative Finance. Applications of Mathematics. Mathematical and Computational Engineering. Economic Theory/Quantitative Economics/Mathematical Methods. Macroeconomics/Monetary Economics//Financial Economics. Jarrow, Robert A., edt,, Ju-Yi J., edt,, Robert J., edt,

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