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Advances in Mathematical Finance (Applied and Numerical Harmonic Analysis)
by Michael C. Fu (Editor), Robert A. Jarrow (Editor), Ju-Yi J. Yen (Editor), Robert J. Elliott (Editor)
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
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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[此贴子已经被作者于2007-9-19 0:24:22编辑过]
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