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

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 via one of the most wonderful researchers and practitioners within the fields of mathematical finance and monetary engineering. providing cutting-edge advancements in conception and perform, the Festschrift is devoted to Dilip B. Madan at the get together of his sixtieth birthday.

Specific subject matters coated include:

* thought and alertness of the Variance-Gamma process

* Lévy approach 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 helpful 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, okay. Shimbo, R. Sircar, J. van der Hoek, M.Yor, T. Zariphopoulou

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Extra resources for Advances in Mathematical Finance

Example text

10. C. Q. Hu. Conditional Monte Carlo: Gradient Estimation and Optimization Applications. Kluwer Academic, 1997. 11. C. B. B. Madan, Y. Su, and R. Wu. 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.

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. 21. B. Madan and E. Seneta. ) model for share market returns. J. Business, 63: 511–524, 1990. 22.

The fifth parametric class is related to the NCP but was constructed to generate continuous sample paths. A revised version of [15] was eventually published, two years later, in the International Statistical Review [ISR] [16] after trials and tribulations with another journal. It was received by ISR in May 1986 and revised November 1986. f. f. d. observations X1 , X2 , . . f. is ˆ φ(u) = n i=1cos(uXi ) n . Selecting a set of p values u1 , u2 , . . , up of u for p ≥ m, construct the p√ ˆ dimensional vector z(α) = {zj (α)} where zj (α) = n(φ(u j ) − φ(uj ; α)).

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

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