Advances in Mathematical Finance [electronic resource] / edited by Michael C. Fu, Robert A. Jarrow, JuYi J. Yen, Robert J. Elliott.
Contributor(s): Fu, Michael C [editor.]  Jarrow, Robert A [editor.]  Yen, JuYi J [editor.]  Elliott, Robert J [editor.]  SpringerLink (Online service).
Material type: TextSeries: Applied and Numerical Harmonic Analysis: Publisher: Boston, MA : Birkhäuser Boston, 2007Description: XXVIII, 336 p. online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9780817645458.Subject(s): Finance  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 EconomicsAdditional physical formats: Printed edition:: No title; Printed edition:: No titleDDC classification: 368.01 Online resources: Click here to access onlineItem type  Current location  Call number  Status  Date due  Barcode  Item holds  

EBOOKS 
ISI Library, Kolkata

Available  EB1369 
VarianceGamma and Related Stochastic Processes  The Early Years of the VarianceGamma Process  VarianceGamma and Monte Carlo  Some Remarkable Properties of Gamma Processes  A Note About Selberg’s Integrals in Relation with the BetaGamma 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 KnockOut Options  Mean Reversion Versus Random Walk in Oil and Natural Gas Prices  Credit Risk and Investments  Beyond Hazard Rates: A New Framework for CreditRisk Modelling  A Generic OneFactor Lévy Model for Pricing Synthetic CDOs  Utility Valuation of Credit Derivatives: Single and TwoName Cases  Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model.
This selfcontained 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 stateoftheart 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 VarianceGamma process * Lévy process driven fixedincome and creditrisk 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 .
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