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The technical contributions in the book are divided into three parts. The
first part deals with stochastic processes used in mathematical finance, primarily
the L′evy processes most associated with Dilip, who has been a fervent
advocate of this class of processes for addressing the well-known flaws of geometric
Brownian motion for asset price modeling. The primary focus is on the
Variance-Gamma (VG) process that Dilip and Eugene Seneta introduced to
the finance community。
The second part of the volume treats various aspects of mathematical finance
related to asset pricing and the valuation and hedging of derivatives.
The article by Bob Jarrow, a longtime collaborator and colleague of Dilip in
the mathematical finance community, provides a tutorial on zero volatility
spreads and option adjusted spreads for fixed income securities – specifically
bonds with embedded options – using the framework of the Heath-Jarrow-
Morton model for the term structure of interest rates, and highlights the
characteristics of zero volatility spreads capturing both embedded options and
mispricings due to model or market errors, whereas option adjusted spreads
measure only the mispricings.
The third part of the volume includes several contributions in one of the
most rapidly growing fields in mathematical finance and financial engineering:
credit risk. A new class of reduced-form credit risk models that associates
default events directly with market information processes driving cash flows is
introduced
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