Download e-book for iPad: 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

ISBN-10: 0817645446

ISBN-13: 9780817645441

ISBN-10: 0817645454

ISBN-13: 9780817645458

This self-contained quantity brings jointly a set of chapters by means of the most uncommon researchers and practitioners within the fields of mathematical finance and fiscal engineering. offering state of the art advancements in conception and perform, the Festschrift is devoted to Dilip B. Madan at the party of his sixtieth birthday.

Specific subject matters lined include:

* idea and alertness of the Variance-Gamma process

* Lévy technique 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

* application 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 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

Show description

Read Online or Download Advances in Mathematical Finance PDF

Similar insurance books

Download e-book for iPad: The Insurance Buying Guide: A Practical Method for Figuring by The Silver Lake Editors

Easy-to-understand tools for calculating how a lot coverage is required and what sort of it is going to rate.

Download PDF by Cees Diks: Nonlinear Time Series Analysis: Methods And Applications

Equipment of nonlinear time sequence research are mentioned from a dynamical platforms point of view at the one hand, and from a statistical point of view at the different. After giving a casual evaluate of the speculation of dynamical platforms correct to the research of deterministic time sequence, time sequence generated via nonlinear stochastic platforms and spatio-temporal dynamical platforms are thought of.

Paying the Price: The Status and Role of Insurance Against by Howard Kunreuther, Sr. Richard J. Roth PDF

This e-book considers the effectiveness of insurance for low-probability, high-consequence occasions corresponding to usual disasters--and how coverage courses can effectively be used with different coverage instruments, comparable to construction codes and criteria, to inspire powerful loss relief measures. The authors talk about the explanations for the dramatic bring up in insured losses from traditional failures due to the fact that 1989 and the worry that insurers have approximately their skill to supply insurance opposed to extra such occasions sooner or later.

Additional resources for Advances in Mathematical Finance

Example text

Madan and E. Seneta. The profitability of barrier strategies for the stock market. 45, 39 pp, University of Sydney, 1981. 13. B. Madan and E. Seneta. Residuals and the compound Poisson process. Economic Statistics Papers, No. 48, 17 pp, University of Sydney, 1982. 14. B. Madan and E. Seneta. Compound Poisson models for economic variable movements. B, 46:174–187, 1984. 15. B. Madan and E. Seneta. Simulation of estimates using the empirical characteristic function. Econometric Discussion Papers, No.

Seneta. The profitability of barrier strategies for the stock market. 45, 39 pp, University of Sydney, 1981. 13. B. Madan and E. Seneta. Residuals and the compound Poisson process. Economic Statistics Papers, No. 48, 17 pp, University of Sydney, 1982. 14. B. Madan and E. Seneta. Compound Poisson models for economic variable movements. B, 46:174–187, 1984. 15. B. Madan and E. Seneta. Simulation of estimates using the empirical characteristic function. Econometric Discussion Papers, No. 85-02, 18 pp, University of Sydney, 1985.

2 Monte Carlo Simulation General books on Monte Carlo (MC) simulation for financial applications include [16], [14] and [23]; see also [2]. Monte Carlo simulation is most fruitful for “high-dimensional” problems, which in finance are prevalent in pathdependent options, such as Asian, lookback, and barrier options, all of which Variance-Gamma and Monte Carlo 25 are considered in [1], from which most of our discussion on bridge sampling for simulating VG is taken. The importance sampling discussion following that is based on [29].

Download PDF sample

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


by Jason
4.4

Rated 4.45 of 5 – based on 41 votes