Advances in Mathematical Finance

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Michael C. Fu, Robert A. Jarrow, Ju-Yi Yen, Robert J Elliott
Springer Science & Business Media, Jun 22, 2007 - Business & Economics - 336 pages
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The Applied and Numerical Harmonic Analysis (ANHA) book series aims to provide the engineering, mathematical, and scienti?c communities with s- ni?cant developments in harmonic analysis, ranging from abstract harmonic analysis to basic applications. The title of the series re?ects the importance of applications and numerical implementation, but richness and relevance of applications and implementation depend fundamentally on the structure and depth of theoretical underpinnings. Thus, from our point of view, the int- leaving of theory and applications and their creative symbiotic evolution is axiomatic. Harmonic analysis is a wellspring of ideas and applicability that has ?o- ished, developed, and deepened over time within many disciplines and by means of creative cross-fertilizationwith diverse areas. The intricate and f- damental relationship between harmonic analysis and ?elds such as signal processing, partial di?erential equations (PDEs), and image processing is - ?ected in our state-of-the-art ANHA series. Our vision of modern harmonic analysis includes mathematical areas such as wavelet theory, Banach algebras, classical Fourier analysis, time-frequency analysis, and fractal geometry, as well as the diverse topics that impinge on them.

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Some Remarkable Properties of Gamma Processes
A Note About Selbergs Integrals in Relation with
A Tutorial on Zero Volatility and Option Adjusted Spreads
Asset Price Bubbles in Complete Markets
Taxation and Transaction Costs in a General Equilibrium
Calibration of LÚvy Term Structure Models
Pricing of Swaptions in Affine Term Structures with
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Mean Reversion Versus Random Walk in Oil and Natural
A Generic OneFactor LÚvy Model for Pricing Synthetic
Single and TwoName
Investment and Valuation Under Backward and Forward

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