MARC details
| 000 -LEADER |
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04210nam a22005295i 4500 |
| 001 - CONTROL NUMBER |
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| control field |
978-0-8176-4545-8 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20251006084436.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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| fixed length control field |
cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
100301s2007 xxu| s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780817645458 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
99780817645458 |
| 024 7# - OTHER STANDARD IDENTIFIER |
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| Standard number or code |
10.1007/978-0-8176-4545-8 |
| Source of number or code |
doi |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
519 |
| Edition information |
23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Fu, Michael C. |
| Relator term |
editor. |
| 245 10 - TITLE STATEMENT |
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| Title |
Advances in Mathematical Finance |
| Medium |
[electronic resource] / |
| Statement of responsibility, etc. |
edited by Michael C. Fu, Robert A. Jarrow, Ju-Yi J. Yen, Robert J. Elliott. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
Boston, MA : |
| Name of producer, publisher, distributor, manufacturer |
Birkhäuser Boston, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2007. |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
XXVIII, 340 p. 41 illus. |
| Other physical details |
online resource. |
| 336 ## - CONTENT TYPE |
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| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
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| Media type term |
computer |
| Media type code |
c |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
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| Carrier type term |
online resource |
| Carrier type code |
cr |
| Source |
rdacarrier |
| 347 ## - DIGITAL FILE CHARACTERISTICS |
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| File type |
text file |
| Encoding format |
PDF |
| Source |
rda |
| 490 1# - SERIES STATEMENT |
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| Series statement |
Applied and Numerical Harmonic Analysis |
| 505 0# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
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. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
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 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
MATHEMATICS. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
FINANCE. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
ENGINEERING MATHEMATICS. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
ECONOMICS, MATHEMATICAL. |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
MATHEMATICS. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
QUANTITATIVE FINANCE. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
APPLICATIONS OF MATHEMATICS. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
APPL.MATHEMATICS/COMPUTATIONAL METHODS OF ENGINEERING. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
GAME THEORY/MATHEMATICAL METHODS. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
FINANCIAL ECONOMICS. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Jarrow, Robert A. |
| Relator term |
editor. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Yen, Ju-Yi J. |
| Relator term |
editor. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Elliott, Robert J. |
| Relator term |
editor. |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
|---|
| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY |
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| Title |
Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Relationship information |
Printed edition: |
| International Standard Book Number |
9780817645441 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE |
|---|
| Uniform title |
Applied and Numerical Harmonic Analysis |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
<a href="http://dx.doi.org/10.1007/978-0-8176-4545-8">http://dx.doi.org/10.1007/978-0-8176-4545-8</a> |
| Public note |
Ver el texto completo en las instalaciones del CICY |
| 912 ## - |
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| -- |
ZDB-2-SMA |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Libros electrónicos |
