Applied and Numerical Harmonic Analysis

Advances in Mathematical Finance

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

  • 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
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eBook $109.00
price for USA (gross)
  • ISBN 978-0-8176-4545-8
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $149.00
price for USA
  • ISBN 978-0-8176-4544-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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

 

Table of contents (8 chapters)

  • The Early Years of the Variance-Gamma Process

    Eugene Seneta

    Pages 3-19

  • Variance-Gamma and Monte Carlo

    Michael C. Fu

    Pages 21-34

  • Some Remarkable Properties of Gamma Processes

    Marc Yor

    Pages 37-47

  • Itô Formulas for Fractional Brownian Motion

    Robert J. Elliott, John van der Hoek

    Pages 59-81

  • A Tutorial on Zero Volatility and Option Adjusted Spreads

    Robert Jarrow

    Pages 85-95

Buy this book

eBook $109.00
price for USA (gross)
  • ISBN 978-0-8176-4545-8
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $149.00
price for USA
  • ISBN 978-0-8176-4544-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Advances in Mathematical Finance
Editors
  • Michael C. Fu
  • Robert A. Jarrow
  • Ju-Yi Yen
  • Robert J Elliott
Series Title
Applied and Numerical Harmonic Analysis
Copyright
2007
Publisher
Birkhäuser Basel
Copyright Holder
Birkhäuser Boston
eBook ISBN
978-0-8176-4545-8
DOI
10.1007/978-0-8176-4545-8
Hardcover ISBN
978-0-8176-4544-1
Series ISSN
2296-5009
Edition Number
1
Number of Pages
XXVIII, 336
Topics