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Advances in Mathematical Finance (Applied and Numerical Harmonic Analysis)
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Home > Mathematics Books > Brownian Motion Books > Item 16
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Advances in Mathematical Finance (Applied and Numerical Harmonic Analysis)
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by Michael C. Fu, Robert A. Jarrow, Ju-Yi J. Yen, and Robert J. Elliott
Sales Rank: 1774387
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List Price: $79.95
$79.95
At Amazon
on 12-5-2008
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Hardcover: 340 pages
Publisher: Birkhäuser Boston; 1 edition July 30, 2007
Language: English
ISBN-10: 0817645446
ISBN-13: 978-0817645441
Product Dimensions:
9.2 x 6.2 x 0.9 inches
Shipping Weight: 1.4 pounds
Product Description
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
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Advances in Mathematical Finance (Applied and Numerical Harmonic Analysis)
Available from Amazon
Price: $79.95
Updated on 12-5-2008
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