Advances in Mathematical Finance by Michael C. Fu, Robert A. Jarrow, Ju-Yi Yen, Robert J Elliott

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

This self-contained quantity brings jointly a set of chapters by way of essentially the most distinctive researchers and practitioners within the fields of mathematical finance and monetary engineering. proposing cutting-edge advancements in thought and perform, the Festschrift is devoted to Dilip B. Madan at the party of his sixtieth birthday.

Specific themes lined include:

* conception and alertness of the Variance-Gamma process

* Lévy technique pushed fixed-income and credit-risk versions, together with CDO pricing

* Numerical PDE and Monte Carlo methods

* Asset pricing and derivatives valuation and hedging

* Itô formulation for fractional Brownian motion

* Martingale characterization of asset fee bubbles

* software valuation for credits derivatives and portfolio management

Advances in Mathematical Finance is a worthwhile source for graduate scholars, researchers, and practitioners in mathematical finance and fiscal 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, okay. Shimbo, R. Sircar, J. van der Hoek, M.Yor, T. Zariphopoulou

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Extra info for Advances in Mathematical Finance

Example text

Option pricing with VG martingale components. Mathematical Finance, 1(4): 19–55,1991. 12. B. Madan and E. Seneta. The profitability of barrier strategies for the stock market. 45, 39 pp, University of Sydney, 1981. 13. B. Madan and E. Seneta. Residuals and the compound Poisson process. Economic Statistics Papers, No. 48, 17 pp, University of Sydney, 1982. 14. B. Madan and E. Seneta. Compound Poisson models for economic variable movements. B, 46:174–187, 1984. 15. B. Madan and E. Seneta. Simulation of estimates using the empirical characteristic function.

J. Appl. , 43:441–453, 2006. 6. T. Fung and E. Seneta. Operations Research Letters, in press, 2006. 7. W. Harrar, E. K. Gupta. G. distributions. J. Multivariate Analysis, 97:1467–1475,2006. 8. C. Heyde. A risky asset model with strong dependence through fractal activity time. J. Appl. , 36: 1234–1239, 1999. 9. S. Kullback. The distribution laws of the difference and quotient of variables independently distributed in Pearson type III laws. Ann. Math. , 7:51– 53,1936. 10. B. Madan, P. C. Chang. The variance gamma process and option pricing.

Appl. , 43:441–453, 2006. 6. T. Fung and E. Seneta. Operations Research Letters, in press, 2006. 7. W. Harrar, E. K. Gupta. G. distributions. J. Multivariate Analysis, 97:1467–1475,2006. 8. C. Heyde. A risky asset model with strong dependence through fractal activity time. J. Appl. , 36: 1234–1239, 1999. 9. S. Kullback. The distribution laws of the difference and quotient of variables independently distributed in Pearson type III laws. Ann. Math. , 7:51– 53,1936. 10. B. Madan, P. C. Chang. The variance gamma process and option pricing.

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