[高级数量金融]Advances in Mathematical Finance

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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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From the Back Cover

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.


Product Details

• Series: Applied and Numerical Harmonic Analysis
  
• Hardcover: 336 pages
• Publisher: Birkhäuser; 2007 edition (July 30, 2007)
• Language: English
• ISBN-10: 0817645446
• ISBN-13: 978-0817645441
• Product Dimensions: 6.1 x 0.9 x 9.2 inches
• Shipping Weight: 1.4 pounds
  

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