Advances in Mathematical Finance

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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 * Levy process driven fixed-income and credit-risk models, including CDO pricing * ...

Advances in Mathematical Finance 2007, Birkhauser, Boston, MA

ISBN-13: 9780817645441

Hardcover

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