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04421nam a22005895i 4500 |
| 001 - CONTROL NUMBER |
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| control field |
978-0-8176-4545-8 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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20161121231125.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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100301s2007 xxu| s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780817645458 |
| -- |
978-0-8176-4545-8 |
| 024 7# - OTHER STANDARD IDENTIFIER |
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| Standard number or code |
10.1007/978-0-8176-4545-8 |
| Source of number or code |
doi |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HG8779-8793 |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
KFFN |
| Source |
bicssc |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
BUS033000 |
| Source |
bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
368.01 |
| Edition number |
23 |
| 245 10 - TITLE STATEMENT |
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| Title |
Advances in Mathematical Finance |
| Medium |
[electronic resource] / |
| Statement of responsibility, etc. |
edited by Michael C. Fu, Robert A. Jarrow, Ju-Yi J. Yen, Robert J. Elliott. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
Boston, MA : |
| Name of producer, publisher, distributor, manufacturer |
Birkhäuser Boston, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2007. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
XXVIII, 336 p. |
| Other physical details |
online resource. |
| 336 ## - CONTENT TYPE |
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| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
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| Media type term |
computer |
| Media type code |
c |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
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| Carrier type term |
online resource |
| Carrier type code |
cr |
| Source |
rdacarrier |
| 347 ## - DIGITAL FILE CHARACTERISTICS |
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| File type |
text file |
| Encoding format |
PDF |
| Source |
rda |
| 490 1# - SERIES STATEMENT |
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| Series statement |
Applied and Numerical Harmonic Analysis |
| 505 0# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
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 -- 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 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
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 . |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Mathematics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Applied mathematics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Engineering mathematics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Economics, Mathematical. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Actuarial science. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Economic theory. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Macroeconomics. |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Mathematics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Actuarial Sciences. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Quantitative Finance. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Applications of Mathematics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Appl.Mathematics/Computational Methods of Engineering. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Economic Theory/Quantitative Economics/Mathematical Methods. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Macroeconomics/Monetary Economics//Financial Economics. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Fu, Michael C. |
| Relator term |
editor. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Jarrow, Robert A. |
| Relator term |
editor. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Yen, Ju-Yi J. |
| Relator term |
editor. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Elliott, Robert J. |
| Relator term |
editor. |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
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| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY |
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| Title |
Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
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| Relationship information |
Printed edition: |
| International Standard Book Number |
9780817645441 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE |
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| Uniform title |
Applied and Numerical Harmonic Analysis |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
http://dx.doi.org/10.1007/978-0-8176-4545-8 |
| 912 ## - |
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ZDB-2-SMA |
