Editors:
- 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
Part of the book series: Applied and Numerical Harmonic Analysis (ANHA)
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Table of contents (16 chapters)
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Front Matter
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Variance-Gamma and Related Stochastic Processes
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Front Matter
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Asset and Option Pricing
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Front Matter
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Credit Risk and Investments
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Front Matter
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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 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
Keywords
Editors and Affiliations
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Robert H. Smith School of Business Van Munching Hall, University of Maryland, College Park, USA
Michael C. Fu
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Johnson Graduate School of Management 451 Sage Hall, Cornell University, Ithaca, USA
Robert A. Jarrow
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Department of Mathematics, 1326 Stevenson Center Vanderbilt University, Nashville, USA
Ju-Yi J. Yen
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Haskayne School of Business Scurfield Hall, University of Calgary, Calgary, Canada
Robert J. Elliott
Bibliographic Information
Book Title: Advances in Mathematical Finance
Editors: Michael C. Fu, Robert A. Jarrow, Ju-Yi J. Yen, Robert J. Elliott
Series Title: Applied and Numerical Harmonic Analysis
DOI: https://doi.org/10.1007/978-0-8176-4545-8
Publisher: Birkhäuser Boston, MA
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Birkh�user Boston 2007
Hardcover ISBN: 978-0-8176-4544-1Published: 30 July 2007
eBook ISBN: 978-0-8176-4545-8Published: 22 June 2007
Series ISSN: 2296-5009
Series E-ISSN: 2296-5017
Edition Number: 1
Number of Pages: XXVIII, 336
Topics: Actuarial Sciences, Quantitative Finance, Applications of Mathematics, Mathematical and Computational Engineering, Economic Theory/Quantitative Economics/Mathematical Methods, Macroeconomics/Monetary Economics//Financial Economics