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978-0-8176-4545-8
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9780817645458
978-0-8176-4545-8
10.1007/978-0-8176-4545-8
doi
ISI Library, Kolkata
HG8779-8793
KFFN
bicssc
BUS033000
bisacsh
KFFN
thema
368.01
23
Advances in Mathematical Finance
[electronic resource] /
edited by Michael C. Fu, Robert A. Jarrow, Ju-Yi J. Yen, Robert J. Elliott.
Boston, MA :
Birkhäuser Boston,
2007.
XXVIII, 336 p.
online resource.
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online resource
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Applied and Numerical Harmonic Analysis,
2296-5009
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.
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 .
Finance.
Mathematics.
Engineering mathematics.
Economic theory.
Macroeconomics.
Actuarial Sciences.
http://scigraph.springernature.com/things/product-market-codes/M13080
Quantitative Finance.
http://scigraph.springernature.com/things/product-market-codes/M13062
Applications of Mathematics.
http://scigraph.springernature.com/things/product-market-codes/M13003
Mathematical and Computational Engineering.
http://scigraph.springernature.com/things/product-market-codes/T11006
Economic Theory/Quantitative Economics/Mathematical Methods.
http://scigraph.springernature.com/things/product-market-codes/W29000
Macroeconomics/Monetary Economics//Financial Economics.
http://scigraph.springernature.com/things/product-market-codes/W32000
Fu, Michael C.
editor.
edt
http://id.loc.gov/vocabulary/relators/edt
Jarrow, Robert A.
editor.
edt
http://id.loc.gov/vocabulary/relators/edt
Yen, Ju-Yi J.
editor.
edt
http://id.loc.gov/vocabulary/relators/edt
Elliott, Robert J.
editor.
edt
http://id.loc.gov/vocabulary/relators/edt
SpringerLink (Online service)
Springer eBooks
Printed edition:
9780817671389
Printed edition:
9780817645441
Applied and Numerical Harmonic Analysis,
2296-5009
https://doi.org/10.1007/978-0-8176-4545-8
ZDB-2-SMA
EB
Mathematics and Statistics (Springer-11649)
425686
425686
275818
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2017-04-01
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