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Advances in Mathematical Finance (Applied and Numerical Harmonic Analysis)

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Synopses & Reviews

Publisher Comments:

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  

Synopsis:

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.  

Table of Contents

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  

Product Details

ISBN:
9780817645441
Author:
Fu, Michael C.
Publisher:
Birkhauser
Editor:
Jarrow, Robert A.
Editor:
Yen, Ju-Yi J.
Editor:
Elliott, Robert J.
Author:
Jarrow, Robert A.
Author:
Elliott, Robert J.
Author:
Yen, Ju-Yi
Author:
Yen, Ju-Yi J.
Location:
Boston, MA
Subject:
Finance
Subject:
Applied
Subject:
Game Theory
Subject:
Business-Accounting and Finance
Subject:
CDO pricing
Subject:
Lvy Process
Subject:
credit risk model
Subject:
fixed income models
Subject:
fractional Brownian motion
Subject:
multi-period financial market
Subject:
option adjusted spreads
Subject:
smooth fit principle
Subject:
tax arbitrage and equilibrium
Subject:
Tax rebates
Subject:
zero volatility spreads
Subject:
Quantitative Finance
Subject:
APPLICATIONS OF MATHEMATICS
Subject:
Appl.Mathematics/Computational Methods of Engineering
Subject:
Game Theory/Mathematical Methods
Subject:
financial economics
Subject:
Smooth
Subject:
fit principle
Subject:
Mathematics
Subject:
The Arts
Subject:
mathematics and statistics
Subject:
Engineering mathematics
Subject:
Economics, mathematical
Copyright:
Edition Description:
Book
Series:
Applied and Numerical Harmonic Analysis
Publication Date:
20070731
Binding:
HARDCOVER
Language:
English
Illustrations:
Y
Pages:
364
Dimensions:
235 x 155 mm 1540 gr

Related Subjects

Business » Accounting and Finance
Religion » Comparative Religion » General
Science and Mathematics » Mathematics » Applied
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Science and Mathematics » Mathematics » General

Advances in Mathematical Finance (Applied and Numerical Harmonic Analysis) New Hardcover
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Product details 364 pages Birkhauser - English 9780817645441 Reviews:
"Synopsis" by , 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.  
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