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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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor Corporativo: | |
| Otros Autores: | , , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Boston, MA :
Birkhäuser Boston : Imprint: Birkhäuser,
2007.
|
| Edición: | 1st ed. 2007. |
| Colección: | Applied and Numerical Harmonic Analysis,
|
| Temas: | |
| Acceso en línea: | Texto Completo |
MARC
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| 001 | 978-0-8176-4545-8 | ||
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| 024 | 7 | |a 10.1007/978-0-8176-4545-8 |2 doi | |
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| 245 | 1 | 0 | |a Advances in Mathematical Finance |h [electronic resource] / |c edited by Michael C. Fu, Robert A. Jarrow, Ju-Yi Yen, Robert J Elliott. |
| 250 | |a 1st ed. 2007. | ||
| 264 | 1 | |a Boston, MA : |b Birkhäuser Boston : |b Imprint: Birkhäuser, |c 2007. | |
| 300 | |a XXVIII, 336 p. |b online resource. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 347 | |a text file |b PDF |2 rda | ||
| 490 | 1 | |a Applied and Numerical Harmonic Analysis, |x 2296-5017 | |
| 505 | 0 | |a 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. | |
| 520 | |a 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 . | ||
| 650 | 0 | |a Actuarial science. | |
| 650 | 0 | |a Social sciences-Mathematics. | |
| 650 | 0 | |a Mathematics. | |
| 650 | 0 | |a Engineering mathematics. | |
| 650 | 0 | |a Engineering-Data processing. | |
| 650 | 0 | |a Econometrics. | |
| 650 | 0 | |a Macroeconomics. | |
| 650 | 1 | 4 | |a Actuarial Mathematics. |
| 650 | 2 | 4 | |a Mathematics in Business, Economics and Finance. |
| 650 | 2 | 4 | |a Applications of Mathematics. |
| 650 | 2 | 4 | |a Mathematical and Computational Engineering Applications. |
| 650 | 2 | 4 | |a Quantitative Economics. |
| 650 | 2 | 4 | |a Macroeconomics and Monetary Economics. |
| 700 | 1 | |a Fu, Michael C. |e editor. |4 edt |4 http://id.loc.gov/vocabulary/relators/edt | |
| 700 | 1 | |a Jarrow, Robert A. |e editor. |4 edt |4 http://id.loc.gov/vocabulary/relators/edt | |
| 700 | 1 | |a Yen, Ju-Yi. |e editor. |4 edt |4 http://id.loc.gov/vocabulary/relators/edt | |
| 700 | 1 | |a Elliott, Robert J. |e editor. |4 edt |4 http://id.loc.gov/vocabulary/relators/edt | |
| 710 | 2 | |a SpringerLink (Online service) | |
| 773 | 0 | |t Springer Nature eBook | |
| 776 | 0 | 8 | |i Printed edition: |z 9780817671389 |
| 776 | 0 | 8 | |i Printed edition: |z 9780817645441 |
| 830 | 0 | |a Applied and Numerical Harmonic Analysis, |x 2296-5017 | |
| 856 | 4 | 0 | |u https://doi.uam.elogim.com/10.1007/978-0-8176-4545-8 |z Texto Completo |
| 912 | |a ZDB-2-SMA | ||
| 912 | |a ZDB-2-SXMS | ||
| 950 | |a Mathematics and Statistics (SpringerNature-11649) | ||
| 950 | |a Mathematics and Statistics (R0) (SpringerNature-43713) | ||