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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| Další autoři: | , , , , , , |
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| Médium: | Livre numérique |
| Jazyk: | Anglais |
| Vydáno: |
Boston, MA :
Birkhäuser Boston
[20..].
Cham : Springer Nature |
| Vydání: | 1st ed. 2007. |
| Edice: | Applied and Numerical Harmonic Analysis
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| Témata: | |
| On-line přístup: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Poznámka: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) Numérisation de l'édition de Boston ; Basel ; Berlin : Birkhäuser , cop. 2007 |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Advances in mathematical finance, Michael C. Fu, Robert A. Jarrow, Ju-Yi J. Yen ... [et al.], editors, 2007, Boston, Birkhäuser, 1 vol. (XXVIII-334 p.), Applied and numerical harmonic analysis, 978-0-8176-4544-1 • Advances in Mathematical Finance, Texte imprimé, 9780817671389 • Advances in mathematical finance, Michael C. Fu, Robert A. Jarrow, Ju-Yi J. Yen ... [et al.], editors, 2007, Boston, Birkhäuser, 1 vol. (XXVIII-334 p.), Applied and numerical harmonic analysis, 978-0-8176-4544-1 |
| Shrnutí: | 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 |
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| Popis jednotky: | Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) Numérisation de l'édition de Boston ; Basel ; Berlin : Birkhäuser , cop. 2007 |
| ISBN: | 9780817645458 |
| ISSN: | 2296-5017 |
| Přístup: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |