|aAdvances in mathematical finance /|cMichael C. Fu ... [et al.], editors.
|axxviii, 334 p. :|bill. ;|c25 cm.
|aApplied and numerical harmonic analysis
|a"The 'Mathematical Finance Conference in Honor of the 60th Birthday of Dilip B. Madan' was held at the Norbert Wiener Center of the University of Maryland, College Park, from September 29-October 1, 2006, and this volume is a Festschrift in honor of Dilip that includes articles from most of the conference's speakers"--Pref.
|aIncludes bibliographical references.
|aANHA series preface -- Preface -- Career highlights and list of publications / Dilip B. Madan -- PART I. VARIANCE-GAMMA AND RELATED STOCHASTIC PROCESSES. The early years of the variance-gamma process -- Variance-gamma and Monte Carlo -- Some remarkable properties of gamma processes -- A note about Selberg's integrals in relation with the beta-gamma algebra -- ito? formulas for fractional Brownian motion -- PART II. ASSET AND OPTION PRICING. A tutorial on zero volatility and option adjusted spreads -- Asset price bubbles in complete markets -- Taxation and transaction costs in a general equilibrium asset economy -- Calibration of Le?vy term structure models -- Pricing of swaptions in affine term structures with stochastic volatility -- Forward evolution equations for knock-out options -- Mean reversion versus random walk in oil and natural gas prices -- PART III. CREDIT RISK AND INVESTMENTS. Beyond hazard rates: a new framework for credit-risk modelling -- A generic one-factor Le?vy model for pricing synthetic CDOs -- Utility valuation of credit derivatives: single and two-name cases -- Investment and valuation under backward and forward dynamic exponential utilities in a stochastic factor model.