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Advances in Mathematical Finance

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Cover of 'Advances in Mathematical Finance'

Table of Contents

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    Book Overview
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    Chapter 1 The Early Years of the Variance-Gamma Process
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    Chapter 2 Variance-Gamma and Monte Carlo
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    Chapter 3 Some Remarkable Properties of Gamma Processes
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    Chapter 4 A Note About Selberg’s Integrals in Relation with the Beta-Gamma Algebra
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    Chapter 5 Itô Formulas for Fractional Brownian Motion
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    Chapter 6 A Tutorial on Zero Volatility and Option Adjusted Spreads
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    Chapter 7 Asset Price Bubbles in Complete Markets
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    Chapter 8 Taxation and Transaction Costs in a General Equilibrium Asset Economy
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    Chapter 9 Calibration of Lévy Term Structure Models
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    Chapter 10 Pricing of Swaptions in Affine Term Structures with Stochastic Volatility
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    Chapter 11 Forward Evolution Equations for Knock-Out Options
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    Chapter 12 Mean Reversion Versus Random Walk in Oil and Natural Gas Prices
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    Chapter 13 Beyond Hazard Rates: A New Framework for Credit-Risk Modelling
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    Chapter 14 A Generic One-Factor Lévy Model for Pricing Synthetic CDOs
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    Chapter 15 Utility Valuation of Credit Derivatives: Single and Two-Name Cases
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    Chapter 16 Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model
Attention for Chapter 2: Variance-Gamma and Monte Carlo
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