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

Specific issues coated include:

* idea and alertness of the Variance-Gamma process

* Lévy technique 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 rate bubbles

* application 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 monetary 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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**Additional info for Advances in Mathematical Finance**

**Example text**

D. d. nondecreasing compound Poisson processes. This conclusion is obtained more compactly in the published version [21]. f. of Z(t), which shows that there is no Gaussian component. This argument is in a short Appendix in line with the editor’s instruction to compress and then move any mathematical proofs to the back of the paper, to accord with the requirement that papers in the Journal of Business should be accessible to a wide audience. In the discussion of the L´evy representation, it is shown that the process {Z(t)} can be viewed as the limit of compound Poisson processes.

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. 8. C. Heyde. A risky asset model with strong dependence through fractal activity time. J. Appl. , 36: 1234–1239, 1999. 9. S. Kullback. The distribution laws of the diﬀerence and quotient of variables independently distributed in Pearson type III laws.

Academic year, and I recall last touches on a brief conference visit which I made to the United States in January 1990. Acknowledgments I am indebted to Keith McLaren, Professor of Econometrics at Monash University, and Emeritus Professor Helen Praetz, Peter Praetz’s widow, for biographical and academic information about him. 18 Eugene Seneta Fig. 1. Dilip Madan (left) in my Sydney oﬃce circa July 1988, ﬁnalizing a ﬁrst revision of what became the original VG paper [21]. References 1. D. Applebaum.

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