By Michael C. Fu, Robert A. Jarrow, Ju-Yi Yen, Robert J Elliott
This self-contained quantity brings jointly a set of chapters by means of one of the most special researchers and practitioners within the fields of mathematical finance and monetary engineering. providing cutting-edge advancements in idea and perform, the Festschrift is devoted to Dilip B. Madan at the party of his sixtieth birthday.
Specific subject matters lined include:
* concept and alertness of the Variance-Gamma process
* Lévy approach 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 cost bubbles
* software valuation for credits derivatives and portfolio management
Advances in Mathematical Finance is a beneficial 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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Additional info for Advances in Mathematical Finance
Madan and E. Seneta. Chebyshev polynomial approximations and characteristic function estimation. R. Statist. , Ser. B, 49:163–169, 1987. 19. B. Madan and E. Seneta. Characteristic function estimation using maximum likelihood on transformed variables. Econometric Discussion Papers, No. 87-08, 9 pp, University of Sydney, 1987. 20. B. Madan and E. Seneta. Chebyshev polynomial approximations for characteristic function estimation: Some theoretical supplements. R. Statist. , Ser. B, 51:281–285, 1989.
Pricing American options: A comparison of Monte Carlo simulation approaches. Journal of Computational Finance, 4:39–88, 2001. 12. C. B. Madan and T. Wang. Pricing continuous Asian options: A comparison of Monte Carlo and Laplace transform inversion methods. Journal of Computational Finance, 2:49–74, 1999. 13. P. Glasserman. Gradient Estimation Via Perturbation Analysis. Kluwer Academic, 1991. 14. P. Glasserman. Monte Carlo Methods in Financial Engineering. Springer, 2003. 15. A. B. Madan. Pricing American options under variance gamma.
Chebyshev polynomial approximations for characteristic function estimation: Some theoretical supplements. R. Statist. , Ser. B, 51:281–285, 1989. 21. B. Madan and E. Seneta. ) model for share market returns. J. Business, 63: 511–524, 1990. 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.
Advances in Mathematical Finance by Michael C. Fu, Robert A. Jarrow, Ju-Yi Yen, Robert J Elliott