Advances in Mathematical Finance [Hardcover]

This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the book has real-world applications to fixed income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium. It is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering.

 

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.ANHA Series Preface Preface Career Highlights and List of Publications / Dilip B. Madan Part I. Variance-Gamma and Related Stochastic Processes The Early Yeal#%