Advances in Mathematical Finance
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...
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| Other Authors: | , , , |
| Language: | English |
| Published: |
Boston, MA :
Birkhäuser Boston : Imprint: Birkhäuser,
2007.
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| Edition: | 1st ed. 2007. |
| Series: | Applied and Numerical Harmonic Analysis,
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| Subjects: | |
| Online Access: | https://doi.org/10.1007/978-0-8176-4545-8 |
Table of Contents:
- 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.