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Advances in mathematical finance /

Fu, Michael, (1962-.)

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Advances in mathematical finance /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Advances in mathematical finance // Michael C. Fu ... [et al.], editors.
other author:	Fu, Michael,
Published:	Boston :Birkhuser, : c2007.,
Description:	xxviii, 334 p. :ill. ;25 cm.
Notes:	The 'Mathematical Finance Conference in Honor of the 60th Birthday of Dilip B. Madan' was held at the Norbert Wiener Center of the University of Maryland, College Park, from September 29-October 1, 2006, and this volume is a Festschrift in honor of Dilip that includes articles from most of the conference's speakers--Pref.
Series:	Applied and numerical harmonic analysis.
[NT 15003449]:	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 -- Variance-gamma and Monte Carlo -- Some remarkable properties of gamma processes -- A note about Selberg's integrals in relation with the beta -gamma algebra -- it?formulas for fractional Brownian motion -- PART II. 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 Levy 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 -- PART III. CREDIT RISK AND INVESTMENTS. Beyond hazard rates: a new framework for credit-risk modelling -- A generic one-factor L憝y 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.
Subject:	Derivative securities - Congresses. - Prices -
ISBN:	0817645446 (hbk.)

Advances in mathematical finance /
Advances in mathematical finance /Michael C. Fu ... [et al.], editors. - Boston :Birkhuser,c2007. - xxviii, 334 p. :ill. ;25 cm. - Applied and numerical harmonic analysis..

The 'Mathematical Finance Conference in Honor of the 60th Birthday of Dilip B. Madan' was held at the Norbert Wiener Center of the University of Maryland, College Park, from September 29-October 1, 2006, and this volume is a Festschrift in honor of Dilip that includes articles from most of the conference's speakers--Pref.

Includes bibliographical references.

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 -- Variance-gamma and Monte Carlo -- Some remarkable properties of gamma processes -- A note about Selberg's integrals in relation with the beta -gamma algebra -- it?formulas for fractional Brownian motion -- PART II. 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 Levy 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 -- PART III. CREDIT RISK AND INVESTMENTS. Beyond hazard rates: a new framework for credit-risk modelling -- A generic one-factor L憝y 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.

ISBN: 0817645446 (hbk.)

LCCN: 2007924837Subjects--Topical Terms:

847644
Derivative securities
--Prices--Congresses.

Advances in mathematical finance /
LDR:02206pam a2200217 a 45 001 741862
003 aOCoLC
005 20080521
008 080501s2007 maua b 110 0 eng
010 $a 2007924837
020 $a 0817645446 (hbk.)
020 $a 9780817645441 (hbk.) : $c NT2817
035 $a 97MOET1375
040 2 $a OHX $c OHX $d BTCTA $d BAKER $d YDXCP $d TJC $d IAC $d NLGGC
092 0 $a 332.015118 $2 22
245 0 0 $a Advances in mathematical finance / $c Michael C. Fu ... [et al.], editors.
260 $a Boston : $c c2007. $b Birkhuser,
300 $a xxviii, 334 p. : $b ill. ; $c 25 cm.
440 0 $a Applied and numerical harmonic analysis.
500 $a The 'Mathematical Finance Conference in Honor of the 60th Birthday of Dilip B. Madan' was held at the Norbert Wiener Center of the University of Maryland, College Park, from September 29-October 1, 2006, and this volume is a Festschrift in honor of Dilip that includes articles from most of the conference's speakers--Pref.
504 $a Includes bibliographical references.
505 0 $a 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 -- Variance-gamma and Monte Carlo -- Some remarkable properties of gamma processes -- A note about Selberg's integrals in relation with the beta -gamma algebra -- it?formulas for fractional Brownian motion -- PART II. 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 Levy 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 -- PART III. CREDIT RISK AND INVESTMENTS. Beyond hazard rates: a new framework for credit-risk modelling -- A generic one-factor L憝y 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.
650 $a Derivative securities $x Prices $x Mathematical models $v Congresses. $3 847644
650 $a Finance $x Mathematical models $x Congresses. $3 674775
650 $a Investments $x Mathematics $v Congresses. $3 847645
650 $a Levy processes $v Congresses. $3 847646
650 $a Options (Finance) $x Mathematical models $v Congresses. $3 847647
650 $a Stochastic processes $x Congresses. $3 664186
700 $a Fu, Michael, $d 1962-. $3 847642
700 $a Madan, Dilip B. $3 847643
711 $a Mathematical Finance Conference $d (2006 : $c University of Maryland, College Park). $3 847648