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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...
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| Auteurs principaux : | , , , |
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| Format : | Livre |
| Langue : | anglais |
| Titre complet : | Advances in Mathematical Finance / edited by Michael C. Fu, Robert A. Jarrow, Ju-Yi J. Yen, Robert J. Elliott. |
| Édition : | 1st ed. 2007. |
| Publié : |
Boston, MA :
Birkhäuser Boston
, [20..] Cham : Springer Nature |
| Collection : | Applied and numerical harmonic analysis (Online) |
| Accès en ligne : |
Accès Nantes Université
Accès direct soit depuis les campus via le réseau ou le wifi eduroam soit à distance avec un compte @etu.univ-nantes.fr ou @univ-nantes.fr |
| Note sur l'URL : | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex |
| Condition d'utilisation et de reproduction : | Conditions particulières de réutilisation pour les bénéficiaires des licences nationales : https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |
| Reproduction de : | Numérisation de l'édition de Boston ; Basel ; Berlin : Birkhäuser , cop. 2007 |
| Contenu : | 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 |
| Sujets : | |
| Documents associés : | Autre format:
Advances in mathematical finance Autre format: Advances in Mathematical Finance Autre format: Advances in mathematical finance |
| Résumé : | 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 |
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| ISBN : | 978-0-8176-4545-8 |
| DOI : | 10.1007/978-0-8176-4545-8 |