Research Catalog

Title

Advances in mathematical finance / Michael C. Fu [and others], editors.

Publication

Boston : Birkhäuser, [2007], ©2007.

Items in the Library & Off-site

Holdings

Details

Additional Authors

• Fu, Michael, 1962-
• Madan, Dilip B.
• Mathematical Finance Conference in Honor of the 60th Birthday of Dilip B. Madan (2006 : University of Maryland, College Park)

Description

xxviii, 334 pages : illustrations; 25 cm.

Series Statement

Applied and numerical harmonic analysis

Uniform Title

Applied and numerical harmonic analysis.

Subject

• Finance > Mathematical models > Congresses
• Stochastic processes > Congresses
• Derivative securities > Mathematical models > Congresses
• Options (Finance) > Mathematical models > Congresses
• Investments > Mathematics > Congresses
• Lévy processes > Congresses
• Wiskundige economie
• Financieel management

Note

• "The 'Mathematical Finance Conference in Honor of the 60th Birthday of Dilip B. Madan' was held at the Norbert Wiener Center of the University of Maryland, College Park, from September 29-October 1, 2006, and this volume is a Festschrift in honor of Dilip that includes articles from most of the conference's speakers"--Pref.

Bibliography (note)

• Includes bibliographical references.

Contents

Career highlights and list of publications / Dilip B. Madan -- Pt. 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 -- Ito formulas for fractional Brownian motion / Robert J. Elliott and John van der Hoek -- Pt. II. Asset and option pricing -- A tutorial on zero volatility and option adjusted spreads / Robert 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 levy 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 / Helyette Geman -- Pt. 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 levy model for pricing synthetic CDOs / Hansjorg 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 / March Musiela and Thalcia Zariphopoulou.

ISBN

• 9780817645441 (hd.bd.)
• 0817645446 (hd.bd.)

LCCN

2007924837

OCLC

• ocn123434654
• 123434654
• SCSB-8412737

Owning Institutions

Columbia University Libraries