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Books > Business & Economics > Finance & accounting > Finance
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Advances in Mathematical Finance (Hardcover, 2007 ed.)
Loot Price: R3,002
Discovery Miles 30 020
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Advances in Mathematical Finance (Hardcover, 2007 ed.)
Series: Applied and Numerical Harmonic Analysis
Expected to ship within 10 - 15 working days
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Total price: R3,022
Discovery Miles: 30 220
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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 * L?vy process driven
fixed-income and credit-risk models, including CDO pricing *
Numerical PDE and Monte Carlo methods * Asset pricing and
derivatives valuation and hedging * It? 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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