Advances in Mathematical Finance

  • Michael C. Fu
  • Robert A. Jarrow
  • Ju-Yi J. Yen
  • Robert J. Elliott
Part of the Applied and Numerical Harmonic Analysis book series (ANHA)

Table of contents

  1. Front Matter
    Pages I-XXVIII
  2. Variance-Gamma and Related Stochastic Processes

    1. Front Matter
      Pages 1-1
    2. Michael C. Fu
      Pages 21-34
    3. Robert J. Elliott, John van der Hoek
      Pages 59-81
  3. Asset and Option Pricing

    1. Front Matter
      Pages 83-83
    2. Robert A. Jarrow, Philip Protter, Kazuhiro Shimbo
      Pages 97-121
    3. Ernst Eberlein, Wolfgang Kluge
      Pages 147-172
    4. Michael Heidari, Alil Hirsa, Dilip B. Madan
      Pages 173-193
    5. Peter Carr, Ali Hirsa
      Pages 195-217
  4. Credit Risk and Investments

    1. Front Matter
      Pages 229-229
    2. Dorje C. Brody, Lane P. Hughston, Andrea Macrina
      Pages 231-257
    3. Hansjörg Albrecher, Sophie A. Ladoucette, Wim Schoutens
      Pages 259-277
    4. Ronnie Sircar, Thaleia Zariphopoulou
      Pages 279-301

About this book

Introduction

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

 

Keywords

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

Editors and affiliations

  • Michael C. Fu
    • 1
  • Robert A. Jarrow
    • 2
  • Ju-Yi J. Yen
    • 3
  • Robert J. Elliott
    • 4
  1. 1.Robert H. Smith School of Business Van Munching HallUniversity of MarylandCollege ParkUSA
  2. 2.Johnson Graduate School of Management 451 Sage HallCornell UniversityIthacaUSA
  3. 3.Department of Mathematics1326 Stevenson Center Vanderbilt UniversityNashvilleUSA
  4. 4.Haskayne School of Business Scurfield HallUniversity of CalgaryCalgaryCanada

Bibliographic information

  • DOI https://doi.org/10.1007/978-0-8176-4545-8
  • Copyright Information Birkhäuser Boston 2007
  • Publisher Name Birkhäuser Boston
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-0-8176-4544-1
  • Online ISBN 978-0-8176-4545-8
  • About this book