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

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By Michael C. Fu, Robert A. Jarrow, Ju-Yi Yen, Robert J Elliott

This self-contained quantity brings jointly a set of chapters by way of probably the most wonderful researchers and practitioners within the fields of mathematical finance and fiscal engineering. featuring 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 themes coated include:

* concept and alertness of the Variance-Gamma process

* Lévy procedure 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

* application valuation for credits derivatives and portfolio management

Advances in Mathematical Finance is a useful 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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Example text

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. Kluwer Academic, 1991. 14. P. Glasserman. Monte Carlo Methods in Financial Engineering. Springer, 2003. 15. A. B. Madan. Pricing American options under variance gamma.

International Statistical Review, 55:153–161, 1987. 17. B. Madan and E. Seneta. Chebyshev polynomial approximations and characteristic function estimation. Econometric Discussion Papers, No. 87-04, 13 pp, University of Sydney, 1987. 18. B. Madan and E. Seneta. Chebyshev polynomial approximations and characteristic function estimation. 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.

14. P. Glasserman. Monte Carlo Methods in Financial Engineering. Springer, 2003. 15. A. B. Madan. Pricing American options under variance gamma. Journal of Computational Finance, 7:63–80, 2004. 16. P. J¨ ackel. Monte Carlo Methods in Finance. Wiley, 2002. 17. S. Laprise. Stochastic Dynamic Programming: Monte Carlo Simulation and Applications to Finance. D. dissertation, Department of Mathematics, University of Maryland, 2002. 18. B. Madan, P. C. Chang. The variance gamma process and option pricing.

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