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Advances in mathematical finance /

(1998 :)

Advances in mathematical finance /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Advances in mathematical finance /Michael C. Fu ... [et al.], editors.
其他作者:	Fu, Michael,
出版者:	Boston :Birkhäuser,c2007.
面頁冊數:	xxviii, 334 p. :ill. ;25 cm.
附註:	"The 'Mathematical Finance Conference in Honor of the 60th Birthday of Dilip B. Madan' was held at the Norbert Wiener Center of the University of Maryland, College Park, from September 29-October 1, 2006, and this volume is a Festschrift in honor of Dilip that includes articles from most of the conference's speakers"--Pref.
叢書名:	Applied and numerical harmonic analysis
標題:	FinanceMathematical models
ISBN:	0817645446 (hd.bd.) :

Advances in mathematical finance /
Advances in mathematical finance /Michael C. Fu ... [et al.], editors. - Boston :Birkhäuser,c2007. - xxviii, 334 p. :ill. ;25 cm. - Applied and numerical harmonic analysis.

"The 'Mathematical Finance Conference in Honor of the 60th Birthday of Dilip B. Madan' was held at the Norbert Wiener Center of the University of Maryland, College Park, from September 29-October 1, 2006, and this volume is a Festschrift in honor of Dilip that includes articles from most of the conference's speakers"--Pref.

Includes bibliographical references.

ANHA series preface -- Preface -- Career highlights and list of publications / Dilip B. Madan -- PART I. VARIANCE-GAMMA AND RELATED STOCHASTIC PROCESSES. The early years of the variance-gamma process / Eugene Seneta -- Variance-gamma and Monte Carlo / Michael C. Fu -- Some remarkable properties of gamma processes / Marc Yor -- A note about Selberg's integrals in relation with the beta-gamma algebra / Marc Yor -- Itô formulas for fractional Brownian motion / Robert J. Elliott, John van der Hoek -- PART II. ASSET AND OPTION PRICING. A tutorial on zero volatility and option adjusted spreads / Robert Jarrow -- Asset price bubbles in complete markets / Robert A. Jarrow, Philip Protter Kazuhiro Shimbo -- Taxation and transaction costs in a general equilibrium asset economy / Xing Jin, Frank Milne -- Calibration of Lévy term structure models/ Ernst Eberlein, Wolfgang Kluge -- Pricing of swaptions in affine term structures with stochastic volatility / Massoud Heidari, Ali Hirsa, Dilip B. Madan -- Forward evolution equations for knock-out options / Peter Carr, Ali Hirsa -- Mean reversion versus random walk in oil and natural gas prices / Hélyette Geman -- PART III. CREDIT RISK AND INVESTMENTS. Beyond hazard rates: a new framework for credit-risk modelling / Dorje C. Brody, Lane P. Hughston, Andrea Macrina -- A generic one-factor Lévy model for pricing synthetic CDOs / Hansjörg Albrecher, Sophie A. Ladoucette, Wim Schoutens -- Utility valuation of credit derivatives: single and two-name cases / Ronnie Sircar, Thaleia Zariphopoulou -- Investment and valuation under backward and forward dynamic exponential utilities in a stochastic factor model / Marek Musiela, Thaleia Zariphopoulou.

ISBN: 0817645446 (hd.bd.) :NT$2787

LCCN: 2007924837Subjects--Topical Terms:

217204
Finance
--Mathematical models

LC Class. No.: HG106 / .A383 2007

Dewey Class. No.: 332.015118

Advances in mathematical finance /
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245 0 0 $a Advances in mathematical finance / $c Michael C. Fu ... [et al.], editors.
260 $a Boston : $c c2007. $b Birkhäuser,
300 $a xxviii, 334 p. : $b ill. ; $c 25 cm.
440 0 $a Applied and numerical harmonic analysis
500 $a "The 'Mathematical Finance Conference in Honor of the 60th Birthday of Dilip B. Madan' was held at the Norbert Wiener Center of the University of Maryland, College Park, from September 29-October 1, 2006, and this volume is a Festschrift in honor of Dilip that includes articles from most of the conference's speakers"--Pref.
504 $a Includes bibliographical references.
505 0 $a ANHA series preface -- Preface -- Career highlights and list of publications / Dilip B. Madan -- PART I. VARIANCE-GAMMA AND RELATED STOCHASTIC PROCESSES. The early years of the variance-gamma process / Eugene Seneta -- Variance-gamma and Monte Carlo / Michael C. Fu -- Some remarkable properties of gamma processes / Marc Yor -- A note about Selberg's integrals in relation with the beta-gamma algebra / Marc Yor -- Itô formulas for fractional Brownian motion / Robert J. Elliott, John van der Hoek -- PART II. ASSET AND OPTION PRICING. A tutorial on zero volatility and option adjusted spreads / Robert Jarrow -- Asset price bubbles in complete markets / Robert A. Jarrow, Philip Protter Kazuhiro Shimbo -- Taxation and transaction costs in a general equilibrium asset economy / Xing Jin, Frank Milne -- Calibration of Lévy term structure models/ Ernst Eberlein, Wolfgang Kluge -- Pricing of swaptions in affine term structures with stochastic volatility / Massoud Heidari, Ali Hirsa, Dilip B. Madan -- Forward evolution equations for knock-out options / Peter Carr, Ali Hirsa -- Mean reversion versus random walk in oil and natural gas prices / Hélyette Geman -- PART III. CREDIT RISK AND INVESTMENTS. Beyond hazard rates: a new framework for credit-risk modelling / Dorje C. Brody, Lane P. Hughston, Andrea Macrina -- A generic one-factor Lévy model for pricing synthetic CDOs / Hansjörg Albrecher, Sophie A. Ladoucette, Wim Schoutens -- Utility valuation of credit derivatives: single and two-name cases / Ronnie Sircar, Thaleia Zariphopoulou -- Investment and valuation under backward and forward dynamic exponential utilities in a stochastic factor model / Marek Musiela, Thaleia Zariphopoulou.
650 0 $a Finance $x Mathematical models $3 217204
650 0 $a Stochastic processes $x Congresses. $3 185307
650 0 $a Derivative securities $x Prices $x Mathematical models $v Congresses. $3 450615
650 0 $a Options (Finance) $x Mathematical models $v Congresses. $3 450616
650 0 $a Investments $x Mathematics $v Congresses. $3 450617
650 0 $a Lévy processes $v Congresses. $3 450618
700 1 $a Fu, Michael, $d 1962- $3 198978
700 1 $a Madan, Dilip B. $3 377548
711 2 $n (3rd : $d 1998 : $c Amsterdam, Netherlands) $3 194767