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020 _a9780817645458
_99780817645458
024 7 _a10.1007/9780817645458
_2doi
035 _avtls000333546
039 9 _a201509030802
_bVLOAD
_c201404130446
_dVLOAD
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040 _aMX-SnUAN
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_erda
050 4 _aHB135-147
100 1 _aFu, Michael C.
_eeditor.
_9304348
245 1 0 _aAdvances in Mathematical Finance /
_cedited by Michael C. Fu, Robert A. Jarrow, Ju-Yi J. Yen, Robert J. Elliott.
264 1 _aBoston, MA :
_bBirkhäuser Boston,
_c2007.
300 _axxviii, 340 páginas 41 ilustraciones
_brecurso en línea.
336 _atexto
_btxt
_2rdacontent
337 _acomputadora
_bc
_2rdamedia
338 _arecurso en línea
_bcr
_2rdacarrier
347 _aarchivo de texto
_bPDF
_2rda
490 0 _aApplied and Numerical Harmonic Analysis
500 _aSpringer eBooks
505 0 _aVariance-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 -- Itô Formulas for Fractional Brownian Motion -- 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 Lévy 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 -- Credit Risk and Investments -- Beyond Hazard Rates: A New Framework for Credit-Risk Modelling -- A Generic One-Factor Lévy 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.
520 _aThis 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 management Advances in Mathematical Finance is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial 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, K. Shimbo, R. Sircar, J. van der Hoek, M.Yor, T. Zariphopoulou
590 _aPara consulta fuera de la UANL se requiere clave de acceso remoto.
700 1 _aJarrow, Robert A.
_eeditor.
_9306049
700 1 _aYen, Ju-Yi J.
_eeditor.
_9306050
700 1 _aElliott, Robert J.
_eeditor.
_9300079
710 2 _aSpringerLink (Servicio en línea)
_9299170
776 0 8 _iEdición impresa:
_z9780817645441
856 4 0 _uhttp://remoto.dgb.uanl.mx/login?url=http://dx.doi.org/10.1007/978-0-8176-4545-8
_zConectar a Springer E-Books (Para consulta externa se requiere previa autentificación en Biblioteca Digital UANL)
942 _c14
999 _c280838
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