bokomslag Advances in Mathematical Finance
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Advances in Mathematical Finance

Michael C Fu Robert A Jarrow Ju-Yi Yen Robert J Elliott

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  • 336 sidor
  • 2007
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 * Lvy process driven fixed-income and credit-risk models, including CDO pricing * Numerical PDE and Monte Carlo methods * Asset pricing and derivatives valuation and hedging * It 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
  • Författare: Michael C Fu, Robert A Jarrow, Ju-Yi Yen, Robert J Elliott
  • Illustratör: 10 tables 41 illus
  • Format: Inbunden
  • ISBN: 9780817645441
  • Språk: Engelska
  • Antal sidor: 336
  • Utgivningsdatum: 2007-07-01
  • Förlag: Birkhauser Boston Inc