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. It covers topics, including: Theory and application of the Variance-Gamma process; Levy process driven fixed-income and credit-risk models, including CDO pricing; Numerical PDE and Monte Carlo methods; Asset pricing and derivatives valuation and hedging; Ito formulas for fractional Brownian motion; Martingale characterization of asset price bubbles; and, 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. The contributors include: 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, and M.Yor, T. Zariphopoulou.

Product Details

• Amazon Sales Rank: #1597994 in Books
• Published on: 2007-07-30
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 340 pages