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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Contents

VarianceGamma and Monte Carlo
20
Some Remarkable Properties of Gamma Processes
34
A Note About Selbergs Integrals in Relation with
48
A Tutorial on Zero Volatility and Option Adjusted Spreads
83
Asset Price Bubbles in Complete Markets
97
Taxation and Transaction Costs in a General Equilibrium
122
Calibration of LÚvy Term Structure Models
147
Pricing of Swaptions in Affine Term Structures with
173
Forward Evolution Equations for KnockOut Options
195
Mean Reversion Versus Random Walk in Oil and Natural
218
A Generic OneFactor LÚvy Model for Pricing Synthetic
258
Single and TwoName
279
Investment and Valuation Under Backward and Forward
302
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