Advances in Mathematical Finance

Inbunden, Engelska, 2007

Av Michael C. Fu, Robert A. Jarrow, Ju-Yi Yen, Robert J Elliott, Michael C Fu, Robert A Jarrow

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Includes a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting the developments in theory and practice, this book offers applications to fixed income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium.

Produktinformation

Utgivningsdatum2007-07-30
Mått156 x 235 x 23 mm
Vikt628 g
FormatInbunden
SpråkEngelska
SerieApplied and Numerical Harmonic Analysis
Antal sidor336
Upplaga2007
FörlagBirkhauser Boston Inc
ISBN9780817645441

Tillhör följande kategorier

Tillämpad matematik inom Naturvetenskap och teknik
Finansiering inom Ekonomi och ledarskap
Nationalekonomi inom Ekonomi och ledarskap
Teknik: allmänt inom Naturvetenskap och teknik
Makroekonomi inom Ekonomi och ledarskap

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.