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.

Download File Size:7.7 MB

---