000			04210nam a22005295i 4500
001			978-0-8176-4545-8
003			DE-He213
005			20251006084436.0
007			cr nn 008mamaa
008			100301s2007 xxu| s |||| 0|eng d
020			_a9780817645458
020			_a99780817645458
024	7		_a10.1007/978-0-8176-4545-8 _2doi
082	0	4	_a519 _223
100	1		_aFu, Michael C. _eeditor.
245	1	0	_aAdvances in Mathematical Finance _h[electronic resource] / _cedited by Michael C. Fu, Robert A. Jarrow, Ju-Yi J. Yen, Robert J. Elliott.
264		1	_aBoston, MA : _bBirkhäuser Boston, _c2007.
300			_aXXVIII, 340 p. 41 illus. _bonline resource.
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
347			_atext file _bPDF _2rda
490	1		_aApplied and Numerical Harmonic Analysis
505	0		_aVariance-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			_aThis 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	_aMATHEMATICS.
650		0	_aFINANCE.
650		0	_aENGINEERING MATHEMATICS.
650		0	_aECONOMICS, MATHEMATICAL.
650	1	4	_aMATHEMATICS.
650	2	4	_aQUANTITATIVE FINANCE.
650	2	4	_aAPPLICATIONS OF MATHEMATICS.
650	2	4	_aAPPL.MATHEMATICS/COMPUTATIONAL METHODS OF ENGINEERING.
650	2	4	_aGAME THEORY/MATHEMATICAL METHODS.
650	2	4	_aFINANCIAL ECONOMICS.
700	1		_aJarrow, Robert A. _eeditor.
700	1		_aYen, Ju-Yi J. _eeditor.
700	1		_aElliott, Robert J. _eeditor.
710	2		_aSpringerLink (Online service)
773	0		_tSpringer eBooks
776	0	8	_iPrinted edition: _z9780817645441
830		0	_aApplied and Numerical Harmonic Analysis
856	4	0	_uhttp://dx.doi.org/10.1007/978-0-8176-4545-8 _zVer el texto completo en las instalaciones del CICY
912			_aZDB-2-SMA
942			_2ddc _cER
999			_c59693 _d59693