Advances in Mathematical Finance von Michael C (Hrsg.) Fu

Name: Advances in Mathematical Finance von Michael C (Hrsg.) Fu
SKU: 978-0-8176-4544-1
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ISBN: 978-0-8176-4544-1

Einband: Fester Einband

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This 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

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.

Autor	Fu, Michael C (Hrsg.) / Jarrow, Robert A (Hrsg.) / Yen, Ju-Yi (Hrsg.) / Elliott, Robert J (Hrsg.)
Einband	Fester Einband
Erscheinungsjahr	2007
Seitenangabe	336 S.
Lieferstatus	Folgt in ca. 15 Arbeitstagen
Ausgabekennzeichen	Englisch
Masse	H23.3 cm x B16.5 cm x D2.1 cm 626 g
Auflage	2007 edition
Verlagsartikelnummer	11778578
Verlag	Birkhauser Boston

Über den Autor Michael C (Hrsg.) Fu

Dr. Michael C. Fu received his Ph.D. in applied mathematics from Harvard University and master's and bachelor's degrees in EECS and mathematics from MIT. Since 1989, he has been at the University of Maryland in the Robert H. Smith School of Business, where he is currently Ralph J. Tyser Professor of Management Science, with a joint appointment in the Institute for Systems Research (ISR) and an affiliate appointment in the Electrical and Computer Engineering Department, A. James Clark School of Engineering. At the University of Maryland, he was named a Distinguished Scholar-Teacher and received the ISR's Outstanding Systems Engineering Faculty Award and the Business School's Allen J. Krowe Award for Teaching Excellence. He served as the Stochastic Models and Simulation Department Editor of Management Science from 2006-2008, as Simulation Area Editor of Operations Research from 2000-2005 and on the Editorial Boards of the INFORMS Journal on Computing, Mathematics of Operations Research, Production and Operations Management and IIE Transactions. He served as Program Chair of the 2011 Winter Simulation Conference and as Operations Research Program Director at the National Science Foundation from 2010-2012. His co-authored book, Conditional Monte Carlo: Gradient Estimation and Optimization Applications received the INFORMS College on Simulation Outstanding Publication Award. He also co-authored the research monograph Simulation-based Algorithms for Markov Decision Processes and co-edited the books Perspectives in Operations Research, Advances in Mathematical Finance and the 3rd edition of the Encyclopedia of Operations Research and Management Science. He is a Fellow of IEEE and the Institute of Operations Research and the Management Sciences (INFORMS).