Advances in mathematical finance: [In honor of Dilip B. Madan on the occasion of his 60th birthday]
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Boston [u.a.]
Birkhäuser
2007
|
| Series: | Applied and numerical harmonic analysis
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis Klappentext |
| Physical Description: | XXVIII, 334 S. Ill., graph. Darst. 235 mm x 155 mm |
| ISBN: | 9780817645441 |
Staff View
MARC
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| 245 | 1 | 0 | |a Advances in mathematical finance |b [In honor of Dilip B. Madan on the occasion of his 60th birthday] |c Michael C. Fu ... eds. |
| 246 | 1 | 3 | |a Mathematical finance |
| 264 | 1 | |a Boston [u.a.] |b Birkhäuser |c 2007 | |
| 300 | |a XXVIII, 334 S. |b Ill., graph. Darst. |c 235 mm x 155 mm | ||
| 336 | |b txt |2 rdacontent | ||
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| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Derivative securities |x Prices |x Mathematical models |v Congresses | |
| 650 | 4 | |a Finance |x Mathematical models |v Congresses | |
| 650 | 4 | |a Investments |x Mathematics |v Congresses | |
| 650 | 4 | |a Lévy processes |v Congresses | |
| 650 | 4 | |a Options (Finance) |x Mathematical models |v Congresses | |
| 650 | 4 | |a Stochastic processes |v Congresses | |
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Contents
ANHA
Series
Preface
.
vii
Preface
. xi
Career Highlights and List of Publications
Dilip B. Madan
.xix
Part I Variance-Gamma and Related Stochastic Processes
The Early Years of the Variance-Gamma Process
Eugene Seneta
. 3
Variance-Gamma and Monte Carlo
Michael C.
Fu
. 21
Some Remarkable Properties of Gamma Processes
Marc Yor
. 37
A Note About Selberg's Integrals in Relation with the
Beta-Gamma Algebra
Marc Yor
. 49
Ito
Formulas for Fractional Brownian Motion
Robert J. Elliott and John van
der Hoek.
59
Part II Asset and Option Pricing
A Tutorial on Zero Volatility and Option Adjusted Spreads
Robert Jarrow
. 85
xxviii Contents
Asset Price Bubbles in Complete Markets
Robert A. Jarrow, Philip Protter, and Kazuhiro Shimbo
. 97
Taxation and Transaction Costs in a General Equilibrium
Asset Economy
Xing Jin and Frank Milne
.123
Calibration of Levy Term Structure Models
Ernst
Eberlein
and Wolfgang
Kluge .147
Pricing of Swaptions in
Affine
Term Structures with
Stochastic Volatility
Massoud Heidari,
Ali
Hirsa, and Dilip B. Madan
.173
Forward Evolution Equations for Knock-Out Options
Peter Carr and
Ali
Hirsa
.195
Mean Reversion Versus Random Walk in Oil and Natural
Gas Prices
Helyette Geman
.219
Part III Credit Risk and Investments
Beyond Hazard Rates: A New Framework for Credit-Risk
Modelling
Dorje
C. Brody,
Lane P. Hughston, and Andrea Macrina
.231
A Generic One-Factor Levy Model for Pricing Synthetic
CDOs
Hansjörg Albrecher,
Sophie A. Ladoucette, and
Wim Schoutens.259
Utility Valuation of Credit Derivatives: Single and Two-Name
Cases
Ronnie Sircar and
Thaleta
Zañphopoulou.
279
Investment and Valuation Under Backward and Forward
Dynamic Exponential Utilities in a Stochastic Factor Model
Marek
Mustela
and Thaleia Zariphopoulou
.303
Advances in Mathematical Finance
Michael C.
Fu,
Robert A. (arrow, ¡u-Yi |. Yen, and Robert |. Elliott, Editors
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
•
Levy process driven fixed-income and credit-risk models, including CDO pricing
•
Numerical PDE and Monte Carlo methods
•
Asset pricing and derivatives valuation and hedging
•
Ito
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.
C O N T R
1
Β
U T O R
S
:
H. Albrecher L. P. Hughston P. Protter
D. C. Brody R.
A.¡arrow
W.
Schoutens
P. Carr X. [in E. Seneta
E.
Eberlein
W.
Kluge
K. Shimbo
R. |.
Elliott
S. A. Ladoucette R.
Sircar
M. C.
Fu
A. Macrina ¡.
van der Hoek
H. Geman D. B. Madan M. Yor
M. Heidari F. Milne T. Zariphopoulou
A. HlRSA M. MUSIELA |
| adam_txt |
Contents
ANHA
Series
Preface
.
vii
Preface
. xi
Career Highlights and List of Publications
Dilip B. Madan
.xix
Part I Variance-Gamma and Related Stochastic Processes
The Early Years of the Variance-Gamma Process
Eugene Seneta
. 3
Variance-Gamma and Monte Carlo
Michael C.
Fu
. 21
Some Remarkable Properties of Gamma Processes
Marc Yor
. 37
A Note About Selberg's Integrals in Relation with the
Beta-Gamma Algebra
Marc Yor
. 49
Ito
Formulas for Fractional Brownian Motion
Robert J. Elliott and John van
der Hoek.
59
Part II Asset and Option Pricing
A Tutorial on Zero Volatility and Option Adjusted Spreads
Robert Jarrow
. 85
xxviii Contents
Asset Price Bubbles in Complete Markets
Robert A. Jarrow, Philip Protter, and Kazuhiro Shimbo
. 97
Taxation and Transaction Costs in a General Equilibrium
Asset Economy
Xing Jin and Frank Milne
.123
Calibration of Levy Term Structure Models
Ernst
Eberlein
and Wolfgang
Kluge .147
Pricing of Swaptions in
Affine
Term Structures with
Stochastic Volatility
Massoud Heidari,
Ali
Hirsa, and Dilip B. Madan
.173
Forward Evolution Equations for Knock-Out Options
Peter Carr and
Ali
Hirsa
.195
Mean Reversion Versus Random Walk in Oil and Natural
Gas Prices
Helyette Geman
.219
Part III Credit Risk and Investments
Beyond Hazard Rates: A New Framework for Credit-Risk
Modelling
Dorje
C. Brody,
Lane P. Hughston, and Andrea Macrina
.231
A Generic One-Factor Levy Model for Pricing Synthetic
CDOs
Hansjörg Albrecher,
Sophie A. Ladoucette, and
Wim Schoutens.259
Utility Valuation of Credit Derivatives: Single and Two-Name
Cases
Ronnie Sircar and
Thaleta
Zañphopoulou.
279
Investment and Valuation Under Backward and Forward
Dynamic Exponential Utilities in a Stochastic Factor Model
Marek
Mustela
and Thaleia Zariphopoulou
.303
Advances in Mathematical Finance
Michael C.
Fu,
Robert A. (arrow, ¡u-Yi |. Yen, and Robert |. Elliott, Editors
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
•
Levy process driven fixed-income and credit-risk models, including CDO pricing
•
Numerical PDE and Monte Carlo methods
•
Asset pricing and derivatives valuation and hedging
•
Ito
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.
C O N T R
1
Β
U T O R
S
:
H. Albrecher L. P. Hughston P. Protter
D. C. Brody R.
A.¡arrow
W.
Schoutens
P. Carr X. [in E. Seneta
E.
Eberlein
W.
Kluge
K. Shimbo
R. |.
Elliott
S. A. Ladoucette R.
Sircar
M. C.
Fu
A. Macrina ¡.
van der Hoek
H. Geman D. B. Madan M. Yor
M. Heidari F. Milne T. Zariphopoulou
A. HlRSA M. MUSIELA |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
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| callnumber-sort | HG 3106 |
| callnumber-subject | HG - Finance |
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| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.015118 |
| dewey-sort | 3332.015118 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| discipline_str_mv | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV022395796 |
| illustrated | Illustrated |
| index_date | 2024-07-02T17:16:29Z |
| indexdate | 2024-09-23T12:21:07Z |
| institution | BVB |
| isbn | 9780817645441 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-015604541 |
| oclc_num | 123434654 |
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| physical | XXVIII, 334 S. Ill., graph. Darst. 235 mm x 155 mm |
| publishDate | 2007 |
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| publisher | Birkhäuser |
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| series2 | Applied and numerical harmonic analysis |
| spelling | Advances in mathematical finance [In honor of Dilip B. Madan on the occasion of his 60th birthday] Michael C. Fu ... eds. Mathematical finance Boston [u.a.] Birkhäuser 2007 XXVIII, 334 S. Ill., graph. Darst. 235 mm x 155 mm txt rdacontent n rdamedia nc rdacarrier Applied and numerical harmonic analysis Financieel management gtt Wiskundige economie gtt Mathematik Mathematisches Modell Derivative securities Prices Mathematical models Congresses Finance Mathematical models Congresses Investments Mathematics Congresses Lévy processes Congresses Options (Finance) Mathematical models Congresses Stochastic processes Congresses Finanzmathematik (DE-588)4017195-4 gnd rswk-swf (DE-588)4016928-5 Festschrift gnd-content (DE-588)1071861417 Konferenzschrift 2006 Maryland gnd-content Finanzmathematik (DE-588)4017195-4 s DE-604 Fu, Michael 1962- Sonstige (DE-588)124369464 oth Madan, Dilip B. 1946- (DE-588)134243633 hnr Erscheint auch als Online-Ausgabe 978-08176-4545-8 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015604541&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015604541&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Advances in mathematical finance [In honor of Dilip B. Madan on the occasion of his 60th birthday] Financieel management gtt Wiskundige economie gtt Mathematik Mathematisches Modell Derivative securities Prices Mathematical models Congresses Finance Mathematical models Congresses Investments Mathematics Congresses Lévy processes Congresses Options (Finance) Mathematical models Congresses Stochastic processes Congresses Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4016928-5 (DE-588)1071861417 |
| title | Advances in mathematical finance [In honor of Dilip B. Madan on the occasion of his 60th birthday] |
| title_alt | Mathematical finance |
| title_auth | Advances in mathematical finance [In honor of Dilip B. Madan on the occasion of his 60th birthday] |
| title_exact_search | Advances in mathematical finance [In honor of Dilip B. Madan on the occasion of his 60th birthday] |
| title_exact_search_txtP | Advances in mathematical finance [In honor of Dilip B. Madan on the occasion of his 60th birthday] |
| title_full | Advances in mathematical finance [In honor of Dilip B. Madan on the occasion of his 60th birthday] Michael C. Fu ... eds. |
| title_fullStr | Advances in mathematical finance [In honor of Dilip B. Madan on the occasion of his 60th birthday] Michael C. Fu ... eds. |
| title_full_unstemmed | Advances in mathematical finance [In honor of Dilip B. Madan on the occasion of his 60th birthday] Michael C. Fu ... eds. |
| title_short | Advances in mathematical finance |
| title_sort | advances in mathematical finance in honor of dilip b madan on the occasion of his 60th birthday |
| title_sub | [In honor of Dilip B. Madan on the occasion of his 60th birthday] |
| topic | Financieel management gtt Wiskundige economie gtt Mathematik Mathematisches Modell Derivative securities Prices Mathematical models Congresses Finance Mathematical models Congresses Investments Mathematics Congresses Lévy processes Congresses Options (Finance) Mathematical models Congresses Stochastic processes Congresses Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Financieel management Wiskundige economie Mathematik Mathematisches Modell Derivative securities Prices Mathematical models Congresses Finance Mathematical models Congresses Investments Mathematics Congresses Lévy processes Congresses Options (Finance) Mathematical models Congresses Stochastic processes Congresses Finanzmathematik Festschrift Konferenzschrift 2006 Maryland |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015604541&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015604541&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
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