Advances in Mathematical Finance (eBook, PDF)

• Format: PDF

Produktbeschreibung

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 financialengineering.

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

Produktdetails

• Verlag: Birkhäuser Boston
• Erscheinungstermin: 22. Juni 2007
• Englisch
• ISBN-13: 9780817645458
• Artikelnr.: 37352354

Inhaltsangabe

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.

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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.