Advances in Mathematical Finance by Michael C. Fu, Robert A. Jarrow, Ju-Yi Yen, Robert J Elliott

By Michael C. Fu, Robert A. Jarrow, Ju-Yi Yen, Robert J Elliott

This self-contained quantity brings jointly a suite of chapters by means of the most unique researchers and practitioners within the fields of mathematical finance and monetary engineering. providing cutting-edge advancements in thought and perform, the Festschrift is devoted to Dilip B. Madan at the social gathering of his sixtieth birthday.

Specific issues lined include:

* idea and alertness of the Variance-Gamma process

* Lévy procedure pushed fixed-income and credit-risk types, together with CDO pricing

* Numerical PDE and Monte Carlo methods

* Asset pricing and derivatives valuation and hedging

* Itô formulation for fractional Brownian motion

* Martingale characterization of asset fee bubbles

* software valuation for credits derivatives and portfolio management

Advances in Mathematical Finance is a useful source for graduate scholars, researchers, and practitioners in mathematical finance and monetary 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, ok. Shimbo, R. Sircar, J. van der Hoek, M.Yor, T. Zariphopoulou

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Extra resources for Advances in Mathematical Finance

Sample text

A compound events model for security prices. J. Business, 40:317– 335, 1967. 27. W. Schoutens. L´evy Processes in Finance: Pricing Financial Derivatives. Wiley, 2003. 28. E. Seneta. Fitting the Variance-Gamma model to financial data. C. Heyde Festschrift), eds. J. Gani and E. Seneta, J. Appl. , 41A:177–187, 2004. 29. E. Seneta and D. Vere-Jones. On the asymptotic behaviour of subcritical branching processes with continuous state-space. Z. Wahrscheinlichkeutstheorie verw. Geb, 10:212–225,1968. 30.

Dissertation in a somewhat new direction. In the paper [25] there is a footnote which reads: Department of Economics, University of Adelaide, Adelaide, South Australia. I am grateful to Professor J. N. Darroch, who suggested the possibility of this approach to me. John N. Darroch is a mathematical statistician who was a Senior Lecturer at the University of Adelaide’s then-Department of Mathematics, from about August 1962 to August 1964. In 1963 I took his courses in Mathematical Statistics (with Hogg and Craig’s first edition as back-up text), and in Markov chains (with Kemeny and Snell’s 1960 edition of Finite Markov Chains as back-up text).

Seneta. Simulation of estimates using the empirical characteristic function. Econometric Discussion Papers, No. 85-02, 18 pp, University of Sydney, 1985. 16. B. Madan and E. Seneta. Simulation of estimates using the empirical characteristic function. International Statistical Review, 55:153–161, 1987. 17. B. Madan and E. Seneta. Chebyshev polynomial approximations and characteristic function estimation. Econometric Discussion Papers, No. 87-04, 13 pp, University of Sydney, 1987. 18. B. Madan and E.

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