Advances in Mathematical Finance (Applied and Numerical Harmonic Analysis)

By Michael C. Fu (Editor), Robert A. Jarrow (Editor), Ju-Yi J. Yen (Editor), Robert J. Elliott (Editor)

Publisher: Birkhäuser Boston
Number Of Pages: 340
Publication Date: 2007-07
Sales Rank: 2547151
ISBN / ASIN: 0817645446
EAN: 9780817645441
Binding: Hardcover
Manufacturer: Birkhäuser Boston
Studio: Birkhäuser Boston

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.