Advances in Mathematical Finance (Applied and Numerical Harmonic Analysis) - Tapa dura

 
9780817645441: Advances in Mathematical Finance (Applied and Numerical Harmonic Analysis)
Tapa dura
ISBN 10: 0817645446 ISBN 13: 9780817645441
Editorial: Birkhäuser, 2007

Sinopsis

This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the book has real-world applications to fixed income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium. It is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering.

 

"Sinopsis" puede pertenecer a otra edición de este libro.

De la contraportada

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

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Birkhäuser
Año de publicación
2007
Idioma
Inglés
ISBN 10 
0817645446
ISBN 13 
9780817645441
Encuadernación
Tapa dura
Número de páginas
372
Editor
Yen Ju-Yi, Fu Michael C., Jarrow Robert A.
Contacto del fabricante
no disponible
Persona responsable
no disponible

Otras ediciones populares con el mismo título

9780817671389: Advances in Mathematical Finance

Edición Destacada

ISBN 10:  0817671382 ISBN 13:  9780817671389
Editorial: Springer, 2008
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