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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
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
Produkteigenschaften
- Artikelnummer: 9780817645441
- Medium: Buch
- ISBN: 978-0-8176-4544-1
- Verlag: Birkhauser Boston
- Erscheinungstermin: 30.07.2007
- Sprache(n): Englisch
- Auflage: 2007. Auflage 2007
- Serie: Applied and Numerical Harmonic Analysis
- Produktform: Gebunden
- Gewicht: 1540 g
- Seiten: 336
- Format (B x H x T): 165 x 233 x 21 mm
- Ausgabetyp: Kein, Unbekannt