Advances In Mathematical Finance

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Fu, Michael, Jarrow, Robert A., Yen, J.-Y.Ju

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ISBN:9780817645441
Editorial: Birkhaüser
Fecha de la edición:2007
Encuadernación:Tapa dura
Dimensiones: 0 cm x 0 cm
Nº Pág.:360
Idiomas:Ingles,Inglés

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/ Inversión y Financiación Empresarial

This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the work is dedicated to Dilip B. Madan on the occasion of his 60th birthday.

Specific topics covered include:

* Zero volatility and option adjusted spreads

* Lévy driven fixed income and credit risk models

* Numerical methods in financial applications

* CDO pricing under variance gamma distributions

* New results for fractional Brownian motion

* Limited tax rebates, tax arbitrage, and tax equilibrium in a multi-period
financial market

Advances in Mathematical Finance is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering.