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

“A research journal serves that narrow

borderland which separates the known from the unknown”

-P.C.Mahalanobis


Advances in Mathematical Finance (Record no. 425686)

000 -LEADER
fixed length control field 05065nam a22006015i 4500
020 ## - INTERNATIONAL STANDARD BOOKNUMBER
International Standard Book Number 9780817645458
-- 978-0-8176-4545-8
024 7# -
-- 10.1007/978-0-8176-4545-8
-- doi
040 ## -
-- ISI Library, Kolkata
050 #4 -
-- HG8779-8793
072 #7 -
-- KFFN
-- bicssc
072 #7 -
-- BUS033000
-- bisacsh
072 #7 -
-- KFFN
-- thema
082 04 - DEWEYDECIMAL CLASSIFICATION NUMBER
Classification number 368.01
Edition number 23
245 10 - TITLE STATEMENT
Title Advances in Mathematical Finance
Medium [electronic resource] /
Statement of responsibility, etc edited by Michael C. Fu, Robert A. Jarrow, Ju-Yi J. Yen, Robert J. Elliott.
942 ## - ADDED ENTRY ELEMENTS(KOHA)
Koha item type E-BOOKS
264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE STATEMENTS
Place of production, publication, distribution, manufacture Boston, MA :
Name of producer, publisher, distributor, manufacturer Birkhäuser Boston,
Date of production, publication, distribution, manufacture 2007.
300 ## -
-- XXVIII, 336 p.
-- online resource.
336 ## - CONTENT TYPE
Content Type Term text
Content Type Code txt
Source rdacontent
337 ## - MEDIA TYPE
Media Type Term computer
Media Type Code c
Source rdamedia
338 ## - CARRIER TYPE
Carrier Type Term online resource
Carrier Type Code cr
Source rdacarrier
347 ## -
-- text file
-- PDF
-- rda
490 1# -
-- Applied and Numerical Harmonic Analysis,
-- 2296-5009
505 0# -
-- 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.
520 ## -
-- This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the fields of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the Festschrift is dedicated to Dilip B. Madan on the occasion of his 60th birthday. Specific topics covered include: * Theory and application of the Variance-Gamma process * Lévy process driven fixed-income and credit-risk models, including CDO pricing * Numerical PDE and Monte Carlo methods * Asset pricing and derivatives valuation and hedging * Itô formulas for fractional Brownian motion * Martingale characterization of asset price bubbles * Utility valuation for credit derivatives and portfolio management Advances in Mathematical Finance is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering. Contributors: H. Albrecher, D. C. Brody, P. Carr, E. Eberlein, R. J. Elliott, M. C. Fu, H. Geman, M. Heidari, A. Hirsa, L. P. Hughston, R. A. Jarrow, X. Jin, W. Kluge, S. A. Ladoucette, A. Macrina, D. B. Madan, F. Milne, M. Musiela, P. Protter, W. Schoutens, E. Seneta, K. Shimbo, R. Sircar, J. van der Hoek, M.Yor, T. Zariphopoulou .
650 #0 -
-- Finance.
650 #0 -
-- Mathematics.
650 #0 -
-- Engineering mathematics.
650 #0 -
-- Economic theory.
650 #0 -
-- Macroeconomics.
650 14 -
-- Actuarial Sciences.
-- http://scigraph.springernature.com/things/product-market-codes/M13080
650 24 -
-- Quantitative Finance.
-- http://scigraph.springernature.com/things/product-market-codes/M13062
650 24 -
-- Applications of Mathematics.
-- http://scigraph.springernature.com/things/product-market-codes/M13003
650 24 -
-- Mathematical and Computational Engineering.
-- http://scigraph.springernature.com/things/product-market-codes/T11006
650 24 -
-- Economic Theory/Quantitative Economics/Mathematical Methods.
-- http://scigraph.springernature.com/things/product-market-codes/W29000
650 24 -
-- Macroeconomics/Monetary Economics//Financial Economics.
-- http://scigraph.springernature.com/things/product-market-codes/W32000
700 1# -
-- Fu, Michael C.
-- editor.
-- edt
-- http://id.loc.gov/vocabulary/relators/edt
700 1# -
-- Jarrow, Robert A.
-- editor.
-- edt
-- http://id.loc.gov/vocabulary/relators/edt
700 1# -
-- Yen, Ju-Yi J.
-- editor.
-- edt
-- http://id.loc.gov/vocabulary/relators/edt
700 1# -
-- Elliott, Robert J.
-- editor.
-- edt
-- http://id.loc.gov/vocabulary/relators/edt
710 2# -
-- SpringerLink (Online service)
773 0# -
-- Springer eBooks
776 08 -
-- Printed edition:
-- 9780817671389
776 08 -
-- Printed edition:
-- 9780817645441
830 #0 -
-- Applied and Numerical Harmonic Analysis,
-- 2296-5009
856 40 -
-- https://doi.org/10.1007/978-0-8176-4545-8
912 ## -
-- ZDB-2-SMA
950 ## -
-- Mathematics and Statistics (Springer-11649)
Holdings
Location (home branch) Sublocation or collection (holding branch) Date acquired Piece designation (barcode) Koha item type
ISI Library, Kolkata ISI Library, Kolkata 2017-04-01 EB1369 E-BOOKS
Library, Documentation and Information Science Division, Indian Statistical Institute, 203 B T Road, Kolkata 700108, INDIA
Phone no. 91-33-2575 2100, Fax no. 91-33-2578 1412, ksatpathy@isical.ac.in


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