Advances in mathematical finance : [Mathematical Finance Conference in honor of the 60th Birthday of Dilip B. Madan, September 29 - October 1, 2006

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. Contributors: H. Albrecher, D. C. Brody, P. Carr, E. Eberlein, R. J. Elliott, M. C. Fu, H. Geman, M. Heidari, A. Hirsa, L. P. Hughston, R. A. Jarrow, X. Jin, W. Kluge, S. A. Ladoucette, A. Macrina, D. B. Madan, F. Milne, M. Musiela, P. Protter, W. Schoutens, E. Seneta, K. Shimbo, R. Sircar, J. van der Hoek, M.Yor, T. Zariphopoulou 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. It covers topics, including: Theory and application of the Variance-Gamma process; Levy process driven fixed-income and credit-risk models, including CDO pricing; Numerical PDE and Monte Carlo methods; Asset pricing and derivatives valuation and hedging 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.