Advances in Mathematical Finance / Edition 1

Advances in Mathematical Finance / Edition 1

by Michael C. Fu
     
 

ISBN-10: 0817645446

ISBN-13: 9780817645441

Pub. Date: 07/30/2007

Publisher: Birkhauser Verlag

This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the book has real-world applications to fixed income models, credit risk models, CDO pricing, tax rebates,

Overview

This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the book has real-world applications to fixed income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium. It is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering.

Product Details

ISBN-13:
9780817645441
Publisher:
Birkhauser Verlag
Publication date:
07/30/2007
Series:
Applied and Numerical Harmonic Analysis Series
Edition description:
2007
Pages:
336
Product dimensions:
6.14(w) x 9.25(h) x 0.03(d)

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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