Fu M.C. et al. (Eds.) Advances in Mathematical Finance

Birkhäuser, 2007. — 345 p. — ISBN: 0817645446, 9780817645441This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the fields of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the Festschrift is dedicated to Dilip B. Madan on the occasion of his 60th birthday.
Specific topics covered include:
Theory and application of the Variance-Gamma process
Lévy process driven fixed-income and credit-risk models, including CDO pricing
Numerical PDE and Monte Carlo methods
Asset pricing and derivatives valuation and hedging
Itô formulas for fractional Brownian motion
Martingale characterization of asset price bubbles
Utility valuation for credit derivatives and portfolio managementAdvances in Mathematical Finance is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering.