Advances in mathematical finance /
| Corporate Authors: | , |
|---|---|
| Other Authors: | , |
| Format: | Conference Proceeding eBook |
| Language: | English |
| Published: |
Boston :
Birkhäuser,
[2007]
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| Series: | Applied and numerical harmonic analysis.
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| Subjects: | |
| Online Access: | Connect to the full text of this electronic book |
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.