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...
Gardado en:
| Outros autores: | , , , , , , |
|---|---|
| Formato: | Livre numérique |
| Idioma: | Anglais |
| Publicado: |
Boston, MA :
Birkhäuser Boston
[20..].
Cham : Springer Nature |
| Edición: | 1st ed. 2007. |
| Series: | Applied and Numerical Harmonic Analysis
|
| Sujets: | |
| Acceso en liña: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
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 |
| LEADER | 05247nam a22005177a 4500 | ||
|---|---|---|---|
| 001 | 938880 | ||
| 008 | 080410q2000 xxe ||| |||| 00| 0 eng d | ||
| 009 | PPN123147255 | ||
| 020 | |a 9780817645458 | ||
| 041 | 0 | |a eng | |
| 082 | |a 519 | ||
| 245 | 0 | 0 | |a Advances in Mathematical Finance |c edited by Michael C. Fu, Robert A. Jarrow, Ju-Yi J. Yen, Robert J. Elliott. |
| 250 | |a 1st ed. 2007. | ||
| 260 | |a Boston, MA : |b Birkhäuser Boston. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 490 | 0 | |a Applied and Numerical Harmonic Analysis |x 2296-5017 | |
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Numérisation de l'édition de Boston ; Basel ; Berlin : Birkhäuser , cop. 2007 | ||
| 505 | 1 | |a 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 Itô Formulas for Fractional Brownian Motion 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 Lévy 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 Credit Risk and Investments Beyond Hazard Rates: A New Framework for Credit-Risk Modelling A Generic One-Factor Lévy 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 | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a 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 | ||
| 650 | |a Processus stochastiques | ||
| 650 | |a Processus de Lévy | ||
| 650 | |a Options (finances) | ||
| 650 | |a Instruments financiers | ||
| 650 | |a Mathématiques financières | ||
| 650 | |a Actes de congrès | ||
| 700 | 1 | |a Fu, Michael C. |4 pbd | |
| 700 | 1 | |a Jarrow, Robert A. |4 pbd | |
| 700 | 1 | |a Yen, Ju-Yi. |4 pbd | |
| 700 | 1 | |a Elliott, Robert J. |4 pbd | |
| 700 | 1 | |a Fu, Michael C., |d 19..- |4 pbd | |
| 700 | 1 | |a Elliott, Robert James, |d 1940- |4 pbd | |
| 700 | 1 | |a Jarrow, Robert A. |4 pbd | |
| 700 | 1 | |a Yen, Ju-Yi, |d 19..- |4 pbd | |
| 776 | 0 | |0 119104628 |t Advances in mathematical finance |f Michael C. Fu, Robert A. Jarrow, Ju-Yi J. Yen ... [et al.], editors |d 2007 |c Boston |n Birkhäuser |p 1 vol. (XXVIII-334 p.) |s Applied and numerical harmonic analysis |z 978-0-8176-4544-1 | |
| 776 | 0 | |t Advances in Mathematical Finance |b Texte imprimé |z 9780817671389 | |
| 776 | 0 | |0 119104628 |t Advances in mathematical finance |f Michael C. Fu, Robert A. Jarrow, Ju-Yi J. Yen ... [et al.], editors |d 2007 |c Boston |n Birkhäuser |p 1 vol. (XXVIII-334 p.) |s Applied and numerical harmonic analysis |z 978-0-8176-4544-1 | |
| 856 | 4 | |q PDF |u https://doi.org/10.1007/978-0-8176-4545-8 |z Accès sur la plateforme de l'éditeur | |
| 856 | 4 | |u https://revue-sommaire.istex.fr/ark:/67375/8Q1-B9Z21WB3-S |z Accès sur la plateforme Istex | |
| 856 | 4 | |5 452349901:747888574 |u https://ezproxy.univ-orleans.fr/login?url=https://dx.doi.org/10.1007/978-0-8176-4545-8 |z Accès Université d'Orléans | |
| 856 | 4 | |5 180339901:750901608 |u https://ezproxy.insa-cvl.fr/login?qurl=https://dx.doi.org/10.1007/978-0-8176-4545-8 |z Accès INSA CVL | |
| 997 | |0 938880 |1 Livre numérique |a Ressource numérique |b INSA |b ENSA |c 0/Bibliothèque numérique/ |c 1/Bibliothèque numérique/Autre ressource numérique/ | ||