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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 set of chapters through the most distinct researchers and practitioners within the fields of mathematical finance and monetary engineering. featuring state of the art advancements in thought and perform, the Festschrift is devoted to Dilip B. Madan at the party of his sixtieth birthday.

Specific issues lined include:

* conception 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 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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De Jong and D. Madan. The Fast Fourier Transform in Applied Spectral Inference Dilip was clearly interested in, and very capable in, an extraordinarily wide range of topics. Our collaboration seems to have marked a narrowing of focus, and continued production on more specific themes. The incoming Head of the Department of Econometrics, Professor Alan Woodland, also encouraged him in this. 3 The Normal Compound Poisson (NCP) Process Our first published paper [14], based on the the Economics Discussion Paper [13] dated February 1982, focuses on modelling the second differences in logprice: log{P (t)/P (0)} by the first difference of the continuous-time stochastic process {Z(t), t ≥ 0}, where N (t) ξi + θ1/2 b(t).

Stochastic volatility for L´evy processes. Mathematical Finance, 2:87–106, 2003. 6. P. Carr and D. Madan. Option valuation using the fast Fourier transform. Journal of Computational Finance, 2:61–73, 1999. 7. S. Fishman. Monte Carlo Methods: Concepts, Algorithms, and Applications. Springer, 1996. 8. C. Fu. Stochastic gradient estimation. Chapter 19 in Handbooks in Operations Research and Management Science: Simulation, eds. G. L. Nelson, Elsevier, 2006. 9. C. Q. Hu, Sensitivity analysis for Monte Carlo simulation of option pricing.

Mathematical Finance, 2:87–106, 2003. 6. P. Carr and D. Madan. Option valuation using the fast Fourier transform. Journal of Computational Finance, 2:61–73, 1999. 7. S. Fishman. Monte Carlo Methods: Concepts, Algorithms, and Applications. Springer, 1996. 8. C. Fu. Stochastic gradient estimation. Chapter 19 in Handbooks in Operations Research and Management Science: Simulation, eds. G. L. Nelson, Elsevier, 2006. 9. C. Q. Hu, Sensitivity analysis for Monte Carlo simulation of option pricing. Probability in the Engineering and Informational Sciences, 9:417–446, 1995.

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