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.
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.
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