Advances in Mathematical Finance
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Beschreibung
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
This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the book has real-world applications to fixed income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium. It is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering.
Includes contributions from some of the most distinguished researchers and practitioners in the fields of mathematical finance and financial engineering Offers state-of-the-art developments in theory and practice Real-world applications to fixed-income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium Ideal for a broad audience of graduate students, researchers, and practitioners in mathematical finance and financial engineering Suitable for readers coming from academia as well as industry
Autor*in
Michael C. Fu
Themen in »Advances in Mathematical Finance«
CDO pricing Lévy process Stochastic Processes credit risk model fixed income models fractional Brownian motion modeling multi-period financial market option adjusted spreads smooth fit principle tax arbitrage and equilibrium tax rebates zero volatility spreads quantitative finance