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 amazing researchers and practitioners within the fields of mathematical finance and monetary engineering. featuring cutting-edge advancements in idea and perform, the Festschrift is devoted to Dilip B. Madan at the celebration of his sixtieth birthday.

Specific themes coated include:

* conception 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 expense 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, okay. 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

Pricing the Priceless: A Health Care Conundrum (Walras-Pareto Lectures)

Winner of the 2003 certificates of Excellence offered by means of the TIAA-CREF Institute The future health care differs from such a lot different industries in that clinical pricing is basically administered through the govt. and personal insurers and in that it makes use of various kinds of contracts. prone might obtain a set sum for all precious prone inside a given time period, for the mandatory companies to regard a given situation, or for every particular carrier.

How our days became numbered : risk and the rise of the statistical individual

Lengthy sooner than the age of "Big info" or the increase of brand new "self-quantifiers," American capitalism embraced "risk"--and proceeded to quantity our days. existence insurers led the best way, constructing numerical practices for measuring members and teams, predicting their fates, and intervening of their futures.

Computational Statistics with R

R is open resource statistical computing software program. because the R middle team was once shaped in 1997, R has been prolonged through a truly huge variety of applications with wide documentation besides examples freely on hand on the web. It bargains a great number of statistical and numerical tools and graphical instruments and visualization of terribly prime quality.

What Is Health Insurance (Good) For?: An Examination of Who Gets It, Who Pays for It, and How to Improve It

This informative quantity synthesizes the literatures on well-being economics, danger administration, and health and wellbeing providers right into a concise consultant to the monetary and social fundamentals of medical health insurance with a watch to its wide-scale improve. Its scope takes in ideas of well-being capital, strengths and boundaries of coverage types, the effectiveness of insurance and prone, and the jobs of healthcare services and executive companies within the equation.

Additional resources for Advances in Mathematical Finance

Sample text

The remaining classes, including the NCP, each had three parameters. f. estimation methods. f. of the symmetric VG and the associated stochastic process. This introduction of the VG material is expressed, verbatim, as follows in both [15] and [16]: The fourth parametric class is motivated by the derivation of the t distribution proposed by Praetz (1972). Praetz took the variance of the normal to be uncertain with reciprocal of the variance distributed as a gamma variable. The characteristic function of this distribution is not known in closed form, nor is it known what continuous time stochastic process gives rise to such a period-one distribution.

If the function ψ is an even (or odd) function, the random variable T will be symmetrically distributed on (−b/ω, b/ω]. f. depends on the same parameters as the distribution of X, if it is explicitly available, these parameters may be estimated by maximum likelihood procedures from the transformed observations T1 , T2 , . . , Tn . In Madan and Seneta [18] the choice ψ(v) = cos v, −∞ < v < ∞ is made, so Ti = cos ωXi , i = 1, . . , n. f. of T is given by ∞ g(t) = 2n φX (nω)qn (t)(π(1 − t2 )1/2 )−1 , (13) n=0 where q0 (y) = 1 and qn (y), n ≥ 1, is the nth Chebyshev polynomial.

World Scientific, 2000. 3. F. Fama. The behaviour of stock-market prices. J. Business, 38:34–105,1965. 4. A. Feuerverger and P. McDunnough. On the efficiency of empirical characteristic function procedures. J. R. Statist. , Ser. B, 43:20–27, 1981. 5. R. Finlay and E. Seneta. Stationary-increment Student and Variance-Gamma processes. J. Appl. , 43:441–453, 2006. 6. T. Fung and E. Seneta. Operations Research Letters, in press, 2006. 7. W. Harrar, E. K. Gupta. G. distributions. J. Multivariate Analysis, 97:1467–1475,2006.

Download PDF sample

Rated 4.61 of 5 – based on 42 votes