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...
Enregistré dans:
| Andre forfattere: | , , , , , , |
|---|---|
| Format: | Livre numérique |
| Sprog: | Anglais |
| Udgivet: |
Boston, MA :
Birkhäuser Boston
[20..].
Cham : Springer Nature |
| Udgivelse: | 1st ed. 2007. |
| Serier: | Applied and Numerical Harmonic Analysis
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| Fag: | |
| Online adgang: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Kommentar: |
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 |
Indholdsfortegnelse:
- 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