Advances in Mathematical Finance

ISBN: 978-0-8176-4544-1 (Print) 978-0-8176-4545-8 (Online)

Table of contents (16 chapters)

  1. Front Matter

    Pages I-XXVIII

  2. Variance-Gamma and Related Stochastic Processes

    1. Front Matter

      Pages 1-1

    2. No Access

      Book Chapter

      Pages 3-19

      The Early Years of the Variance-Gamma Process

    3. No Access

      Book Chapter

      Pages 21-34

      Variance-Gamma and Monte Carlo

    4. No Access

      Book Chapter

      Pages 37-47

      Some Remarkable Properties of Gamma Processes

    5. No Access

      Book Chapter

      Pages 49-58

      A Note About Selberg’s Integrals in Relation with the Beta-Gamma Algebra

    6. No Access

      Book Chapter

      Pages 59-81

      Itô Formulas for Fractional Brownian Motion

  3. Asset and Option Pricing

    1. Front Matter

      Pages 83-83

    2. No Access

      Book Chapter

      Pages 85-95

      A Tutorial on Zero Volatility and Option Adjusted Spreads

    3. No Access

      Book Chapter

      Pages 97-121

      Asset Price Bubbles in Complete Markets

    4. No Access

      Book Chapter

      Pages 123-146

      Taxation and Transaction Costs in a General Equilibrium Asset Economy

    5. No Access

      Book Chapter

      Pages 147-172

      Calibration of Lévy Term Structure Models

    6. No Access

      Book Chapter

      Pages 173-193

      Pricing of Swaptions in Affine Term Structures with Stochastic Volatility

    7. No Access

      Book Chapter

      Pages 195-217

      Forward Evolution Equations for Knock-Out Options

    8. No Access

      Book Chapter

      Pages 219-228

      Mean Reversion Versus Random Walk in Oil and Natural Gas Prices

  4. Credit Risk and Investments

    1. Front Matter

      Pages 229-229

    2. No Access

      Book Chapter

      Pages 231-257

      Beyond Hazard Rates: A New Framework for Credit-Risk Modelling

    3. No Access

      Book Chapter

      Pages 259-277

      A Generic One-Factor Lévy Model for Pricing Synthetic CDOs

    4. No Access

      Book Chapter

      Pages 279-301

      Utility Valuation of Credit Derivatives: Single and Two-Name Cases

    5. No Access

      Book Chapter

      Pages 303-334

      Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model