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Advances in Mathematical Finance de Michael C Fu

Advances in Mathematical Finance

Editat de Michael C Fu, Robert A Jarrow, Ju-Yi Yen, Robert J. Elliott
en Limba Engleză Hardback – 30 iul 2007
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 financialengineering.
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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Specificații

ISBN-13: 9780817645441
ISBN-10: 0817645446
Pagini: 336
Ilustrații: XXVIII, 336 p.
Dimensiuni: 165 x 233 x 21 mm
Greutate: 0.63 kg
Ediția:2007 edition
Editura: BIRKHAUSER BOSTON INC
Locul publicării:Boston, MA, United States

Public țintă

Research

Cuprins

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.

Textul de pe ultima copertă

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
 

Caracteristici

Includes contributions from some of the most distinguished researchers and practitioners in the fields of mathematical finance and financial engineering Offers state-of-the-art developments in theory and practice Real-world applications to fixed-income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium Ideal for a broad audience of graduate students, researchers, and practitioners in mathematical finance and financial engineering Suitable for readers coming from academia as well as industry