ANHA 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 / Eugene Seneta- Variance-Gamma and Monte Carlo / Michael C. Fu- Some Remarkable Properties of Gamma Processes / Marc Yor- A Note About Selberg's Integrals in Relation with the Beta-Gamma Algebra / Marc Yor- Ito Formulas for Fractional Brownian Motion / Robert J. Elliott and John van der Hoek- Part II. Asset and Option Pricing- A Tutorial on Zero Volatility and Option Adjusted Spreads / Robert A. Jarrow- Asset Price Bubbles in Complete Markets / Robert A. Jarrow, Philip Protter, and Kazuhiro Shimbo- Taxation and Transaction Costs in a General Equilibrium Asset Economy / Xing Jin and Frank Milne- Calibration of Levy Term Structure Models / Ernst Eberlein and Wolfgang Kluge- Pricing of Swaptions in Affine Term Structures with Stochastic Volatility / Massoud Heidari, Ali Hirsa, and Dilip B. Madan- Forward Evolution Equations for Knock-Out Options / Peter Carr and Ali Hirsa- Mean Reversion Versus Random Walk in Oil and Natural Gas Prices / Helyette Geman- Part III. Credit Risk and Investments- Beyond Hazard Rates: A New Framework for Credit-Risk Modelling / Dorje C. Brody, Lane P. Hughston, and Andrea Macrina- A Generic One-Factor Levy Model for Pricing Synthetic CDOs / Hansjörg Albrecher, Sophie A. Ladoucette, and Wim Schoutens- Utility Valuation of Credit Derivatives: Single and Two-Name Cases / Ronnie Sircar and Thaleia Zariphopoulou- Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model / Marek Musiela and Thaleia Zariphopoulou
EAN/ISBN : 9780817645458
Publisher(s): Springer, Berlin
Discussed keywords: Finanzmathematik
Format: ePub/PDF