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Advances in Mathematical Finance

Medium: Buch
ISBN: 978-0-8176-4544-1
Verlag: Birkhauser Boston
Erscheinungstermin: 30.07.2007
Lieferfrist: bis zu 10 Tage

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
Autoren/Hrsg.

Herausgeber

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.