By Michael C. Fu, Robert A. Jarrow, Ju-Yi Yen, Robert J Elliott
This self-contained quantity brings jointly a set of chapters through the most distinctive researchers and practitioners within the fields of mathematical finance and fiscal engineering. proposing cutting-edge advancements in idea and perform, the Festschrift is devoted to Dilip B. Madan at the celebration of his sixtieth birthday.
Specific subject matters lined include:
* idea and alertness of the Variance-Gamma process
* Lévy method pushed fixed-income and credit-risk versions, 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 important source for graduate scholars, researchers, and practitioners in mathematical finance and fiscal 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 info for Advances in Mathematical Finance
22. B. Madan and E. Seneta. On the monotonicity of the labour-capital ratio in Sraﬀa’s model. Journal of Economics [Zeitschrift f¨ ur National¨ okonomie], 51: 101–107, 1990. 23. B. Mandelbrot. New methods in statistical economics. J. Political Economy, 71:421–440, 1963. 24. D. Praetz. Australian share prices and the random walk hypothesis. Austral. J. , 11:123–139, 1969. 25. D. Praetz. The distribution of share price changes. J. Business, 45:49–55,1972. 26. J. Press. A compound events model for security prices.
J. , 11:123–139, 1969. 25. D. Praetz. The distribution of share price changes. J. Business, 45:49–55,1972. 26. J. Press. 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.
F. f. of a transformed variable T in terms of φX (u). The transforming function ψ(·) is taken as a simple bounded periodic function of period 2π, which maps the interval [−π, π) onto the interval [−b, b), for ﬁxed b. The transformation of the whole sample space of X to that of T is in general not one-to-one, thus involving some loss of information. A sample X1 , X2 , . . d. random variables is transformed via Ti = ψ(ωXi ), i = 1, 2, . . , n, where ω > 0 is a parameter chosen at will to control the loss of information in going to the transformed sample.
Advances in Mathematical Finance by Michael C. Fu, Robert A. Jarrow, Ju-Yi Yen, Robert J Elliott