Advances in Mathematical Finance

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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor Corporativo: SpringerLink (Online service)
Otros Autores: Fu, Michael C. (Editor ), Jarrow, Robert A. (Editor ), Yen, Ju-Yi (Editor ), Elliott, Robert J. (Editor )
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Boston, MA : Birkhäuser Boston : Imprint: Birkhäuser, 2007.
Edición:1st ed. 2007.
Colección:Applied and Numerical Harmonic Analysis,
Temas:
Actuarial science.
Social sciences-Mathematics.
Mathematics.
Engineering mathematics.
Engineering-Data processing.
Econometrics.
Macroeconomics.
Actuarial Mathematics.
Mathematics in Business, Economics and Finance.
Applications of Mathematics.
Mathematical and Computational Engineering Applications.
Quantitative Economics.
Macroeconomics and Monetary Economics.
Acceso en línea:Texto Completo
Descripción
Sumario: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 Advances in Mathematical Finance is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering. 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 .
Descripción Física:XXVIII, 336 p. online resource.
ISBN:9780817645458
ISSN:2296-5017

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