Advances in Mathematical Finance / Edition 1

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More About This Textbook


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 work is dedicated to Dilip B. Madan on the occasion of his 60th birthday.

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Product Details

  • ISBN-13: 9780817645441
  • Publisher: Birkhauser Verlag
  • Publication date: 7/30/2007
  • Series: Applied and Numerical Harmonic Analysis Series
  • Edition description: 2007
  • Edition number: 1
  • Pages: 336
  • Product dimensions: 9.21 (w) x 6.14 (h) x 0.88 (d)

Table of Contents

ANHA Series Preface Preface Career Highlights and List of Publications / Dilip B. Madan Part I. Variance-Gamma and Related Shastic 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 Shastic 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 Shastic Factor Model / Marek Musiela and Thaleia Zariphopoulou

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