Advances in Mathematical Finance

ISBN 10: 0817645446 / ISBN 13: 9780817645441

Published by Springer, 2007

About this Item

pp. 372 52:B&W 6.14 x 9.21in or 234 x 156mm (Royal 8vo) Case Laminate on White w/Gloss Lam.

Seller Inventory # 7547615

Bibliographic Details

• Title: Advances in Mathematical Finance
• Publisher: Springer
• Publication Date: 2007
• Language: English
• ISBN 10: 0817645446
• ISBN 13: 9780817645441
• Binding: Hardcover
• Condition: New

About this title

Synopsis

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