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New & Forthcoming Titles | Advances in Mathematical Finance

Advances in Mathematical Finance

Fu, M.C., Jarrow, R.A., Yen, J.-Y., Elliott, R.J. (Eds.)

2007, XXVIII, 336 p.

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  • 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

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

 

Content Level » Research

Keywords » CDO pricing - Lévy process - Stochastic Processes - credit risk model - fixed income models - fractional Brownian motion - modeling - multi-period financial market - option adjusted spreads - smooth fit principle - tax arbitrage and equilibrium - tax rebates - zero volatility spreads

Related subjects » Birkhäuser Engineering - Birkhäuser Mathematics

Table of contents 

ANHA Series Preface Preface Career Highlights and List of Publications / Dilip B. Madan Part I. Variance-Gamma and Related Stochastic Processes The Early Years of the Variance-Gamma Process / Eugene Seneta Variance-Gamma and Monte Carlo / Michael C. Fu Some Remarkable Properties of Gamma Processes / Marc Yor A Note About Selberg's Integrals in Relation with the Beta-Gamma Algebra / Marc Yor Itô Formulas for Fractional Brownian Motion / Robert J. Elliott and John van der Hoek Part II. Asset and Option Pricing A Tutorial on Zero Volatility and Option Adjusted Spreads / Robert A. Jarrow Asset Price Bubbles in Complete Markets / Robert A. Jarrow, Philip Protter, and Kazuhiro Shimbo Taxation and Transaction Costs in a General Equilibrium Asset Economy / Xing Jin and Frank Milne Calibration of Lévy Term Structure Models / Ernst Eberlein and Wolfgang Kluge Pricing of Swaptions in Affine Term Structures with Stochastic Volatility / Massoud Heidari, Ali Hirsa, and Dilip B. Madan Forward Evolution Equations for Knock-Out Options / Peter Carr and Ali Hirsa Mean Reversion Versus Random Walk in Oil and Natural Gas Prices / Hélyette Geman Part III. Credit Risk and Investments Beyond Hazard Rates: A New Framework for Credit-Risk Modelling / Dorje C. Brody, Lane P. Hughston, and Andrea Macrina A Generic One-Factor Lévy Model for Pricing Synthetic CDOs / Hansjörg Albrecher, Sophie A. Ladoucette, and Wim Schoutens Utility Valuation of Credit Derivatives: Single and Two-Name Cases / Ronnie Sircar and Thaleia Zariphopoulou Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model / Marek Musiela and Thaleia Zariphopoulou

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