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＜電子ブック＞
Advances in Mathematical Finance / edited by Michael C. Fu, Robert A. Jarrow, Ju-Yi Yen, Robert J Elliott
(Applied and Numerical Harmonic Analysis. ISSN:22965017)

版	1st ed. 2007.
出版者	(Boston, MA : Birkhäuser Boston : Imprint: Birkhäuser)
出版年	2007
本文言語	英語
大きさ	XXVIII, 336 p : online resource
著者標目	Fu, Michael C editor Jarrow, Robert A editor Yen, Ju-Yi editor Elliott, Robert J editor SpringerLink (Online service)
件　名	LCSH:Actuarial science LCSH:Social sciences -- Mathematics  全ての件名で検索 LCSH:Mathematics LCSH:Engineering mathematics LCSH:Engineering -- Data processing  全ての件名で検索 LCSH:Econometrics LCSH:Macroeconomics FREE:Actuarial Mathematics FREE:Mathematics in Business, Economics and Finance FREE:Applications of Mathematics FREE:Mathematical and Computational Engineering Applications FREE:Quantitative Economics FREE:Macroeconomics and Monetary Economics
一般注記	Variance-Gamma and Related Stochastic Processes -- The Early Years of the Variance-Gamma Process -- Variance-Gamma and Monte Carlo -- Some Remarkable Properties of Gamma Processes -- A Note About Selberg’s Integrals in Relation with the Beta-Gamma Algebra -- Itô Formulas for Fractional Brownian Motion -- Asset and Option Pricing -- A Tutorial on Zero Volatility and Option Adjusted Spreads -- Asset Price Bubbles in Complete Markets -- Taxation and Transaction Costs in a General Equilibrium Asset Economy -- Calibration of Lévy Term Structure Models -- Pricing of Swaptions in Affine Term Structures with Stochastic Volatility -- Forward Evolution Equations for Knock-Out Options -- Mean Reversion Versus Random Walk in Oil and Natural Gas Prices -- Credit Risk and Investments -- Beyond Hazard Rates: A New Framework for Credit-Risk Modelling -- A Generic One-Factor Lévy Model for Pricing Synthetic CDOs -- Utility Valuation of Credit Derivatives: Single and Two-Name Cases -- Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model 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 HTTP:URL=https://doi.org/10.1007/978-0-8176-4545-8

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