rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Advances in mathematical finance
  name:
    name part: Fu, Michael
    name part: 1962-
  name:
    name part: Madan, Dilip B.
  name:
    name part: SpringerLink (Online service)
  name:
    name part: Mathematical Finance Conference in Honor of the 60th Birthday of Dilip B. Madan (2006 : University of Maryland, College Park)
  type of resource: text
  genre: bibliography
  genre: conference publication
  genre: festschrift
  genre: Electronic books.
  origin info:
    place:
      place term: mau
    date issued: 2007
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: remote
    extent: xxviii, 334 pages : illustrations ; 25 cm.
  table of contents: ANHA series preface -- Preface -- Career highlights and list of publications / Dilip B. Madan -- PART I. 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 -- PART II. 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 -- PART III. 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.
  note: Michael C. Fu [and others], editors.
  note: "The 'Mathematical Finance Conference in Honor of the 60th Birthday of Dilip B. Madan' was held at the Norbert Wiener Center of the University of Maryland, College Park, from September 29-October 1, 2006, and this volume is a Festschrift in honor of Dilip that includes articles from most of the conference's speakers"--Pref.
  note: Electronic resource.
  note: Electronic reproduction. New York : Springer, 2007. Mode of access: World Wide Web. System requirements: Web browser. Title from title screen (viewed on Dec. 13, 2007). Access may be restricted to users at subscribing institutions.
  note: Includes bibliographical references.
  subject:
    topic: Derivative securities
    topic: Prices
    topic: Mathematical models
    genre: Congresses
  subject:
    topic: Finance
    topic: Mathematical models
    genre: Congresses
  subject:
    topic: Investments
    topic: Mathematics
    genre: Congresses
  subject:
    topic: Lévy processes
    genre: Congresses
  subject:
    topic: Options (Finance)
    topic: Mathematical models
    genre: Congresses
  subject:
    topic: Stochastic processes
    genre: Congresses
  classification: HG106 .A383 2007eb
  classification: 332.015118
  related item:
    identifier: (DLC) 2007924837
    identifier: (OCoLC)123434654
  related item:
    title info:
      title: Applied and numerical harmonic analysis
  identifier: 0817645454
  identifier: 9780817645458
  identifier: 978-0-8176-4544-1 Springer
  identifier: http://proxy.library.tamu.edu/login
  record info:
    record content source: GW5XE
    record creation date: 080103
    record change date: 20210803091500.0
    record identifier: in00002379639