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Advances in Mathematical Finance

M.C Fu, R.A. Jarrow, J.-Y J. Yen, and R. J. Elliott, editors
Publisher: 
Birkhäuser
Publication Date: 
2007
Number of Pages: 
340
Format: 
Hardcover
Series: 
Applied and Numerical Harmonic Analysis
Price: 
79.95
ISBN: 
978-0-8176-4544-1
Category: 
Festschrift
We do not plan to review this book.

ANHA Series Preface

Preface

Career Highlights and List of Publications / Dilip B. Madan

Part I. Variance-Gamma and Related Stochastic Processes

The Early Years of the Variance-Gamma Process / Eugene Seneta

Variance-Gamma and Monte Carlo / Michael C. Fu

Some Remarkable Properties of Gamma Processes / Marc Yor

A Note About Selberg's Integrals in Relation with the Beta-Gamma Algebra / Marc Yor

Itô Formulas for Fractional Brownian Motion / Robert J. Elliott and John van der Hoek

Part II. Asset and Option Pricing

A Tutorial on Zero Volatility and Option Adjusted Spreads / Robert A. Jarrow

Asset Price Bubbles in Complete Markets / Robert A. Jarrow, Philip Protter, and Kazuhiro Shimbo

Taxation and Transaction Costs in a General Equilibrium Asset Economy / Xing Jin and Frank Milne

Calibration of Lévy Term Structure Models / Ernst Eberlein and Wolfgang Kluge

Pricing of Swaptions in Affine Term Structures with Stochastic Volatility / Massoud Heidari, Ali Hirsa, and Dilip B. Madan

Forward Evolution Equations for Knock-Out Options / Peter Carr and Ali Hirsa

Mean Reversion Versus Random Walk in Oil and Natural Gas Prices / Hélyette Geman

Part III. Credit Risk and Investments

Beyond Hazard Rates: A New Framework for Credit-Risk Modelling / Dorje C. Brody, Lane P. Hughston, and Andrea Macrina

A Generic One-Factor Lévy Model for Pricing Synthetic CDOs / Hansjörg Albrecher, Sophie A. Ladoucette, and Wim Schoutens

Utility Valuation of Credit Derivatives: Single and Two-Name Cases / Ronnie Sircar and Thaleia Zariphopoulou

Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model / Marek Musiela and Thaleia Zariphopoulou

 

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