Applied and Numerical Harmonic Analysis - Advances in Mathematical Finance
Latest Publications

TOTAL DOCUMENTS

(FIVE YEARS 0)

H-INDEX

(FIVE YEARS 0)

Published By Birkhäuser Boston

9780817645441, 9780817645458

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Asset Price Bubbles in Complete Markets

Applied and Numerical Harmonic Analysis - Advances in Mathematical Finance ◽

10.1007/978-0-8176-4545-8_7 ◽

2007 ◽

pp. 97-121 ◽

Cited By ~ 62

Author(s):

Robert A. Jarrow ◽

Philip Protter ◽

Kazuhiro Shimbo

Keyword(s):

Asset Price ◽

Complete Markets ◽

Asset Price Bubbles ◽

Price Bubbles

Download Full-text

Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model

Applied and Numerical Harmonic Analysis - Advances in Mathematical Finance ◽

10.1007/978-0-8176-4545-8_16 ◽

2007 ◽

pp. 303-334 ◽

Cited By ~ 16

Author(s):

Marek Musiela ◽

Thaleia Zariphopoulou

Keyword(s):

Factor Model ◽

Stochastic Factor ◽

Stochastic Factor Model

Download Full-text

Variance-Gamma and Monte Carlo

Applied and Numerical Harmonic Analysis - Advances in Mathematical Finance ◽

10.1007/978-0-8176-4545-8_2 ◽

2007 ◽

pp. 21-34 ◽

Cited By ~ 22

Author(s):

Michael C. Fu

Keyword(s):

Monte Carlo ◽

Variance Gamma

Download Full-text

Forward Evolution Equations for Knock-Out Options

Applied and Numerical Harmonic Analysis - Advances in Mathematical Finance ◽

10.1007/978-0-8176-4545-8_11 ◽

2007 ◽

pp. 195-217 ◽

Cited By ~ 2

Author(s):

Peter Carr ◽

Ali Hirsa

Keyword(s):

Evolution Equations ◽

Knock Out

Download Full-text

Some Remarkable Properties of Gamma Processes

Applied and Numerical Harmonic Analysis - Advances in Mathematical Finance ◽

10.1007/978-0-8176-4545-8_3 ◽

2007 ◽

pp. 37-47 ◽

Cited By ~ 15

Author(s):

Marc Yor

Keyword(s):

Gamma Processes

Download Full-text

Itô Formulas for Fractional Brownian Motion

Applied and Numerical Harmonic Analysis - Advances in Mathematical Finance ◽

10.1007/978-0-8176-4545-8_5 ◽

2007 ◽

pp. 59-81

Author(s):

Robert J. Elliott ◽

John van der Hoek

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion

Download Full-text

Utility Valuation of Credit Derivatives: Single and Two-Name Cases

Applied and Numerical Harmonic Analysis - Advances in Mathematical Finance ◽

10.1007/978-0-8176-4545-8_15 ◽

2007 ◽

pp. 279-301 ◽

Cited By ~ 11

Author(s):

Ronnie Sircar ◽

Thaleia Zariphopoulou

Keyword(s):

Credit Derivatives

Download Full-text

Mean Reversion Versus Random Walk in Oil and Natural Gas Prices

Applied and Numerical Harmonic Analysis - Advances in Mathematical Finance ◽

10.1007/978-0-8176-4545-8_12 ◽

2007 ◽

pp. 219-228 ◽

Cited By ~ 20

Author(s):

Hélyette Geman

Keyword(s):

Random Walk ◽

Natural Gas ◽

Mean Reversion ◽

Natural Gas Prices ◽

Oil And Natural Gas

Download Full-text

A Tutorial on Zero Volatility and Option Adjusted Spreads

Applied and Numerical Harmonic Analysis - Advances in Mathematical Finance ◽

10.1007/978-0-8176-4545-8_6 ◽

2007 ◽

pp. 85-95 ◽

Cited By ~ 3

Author(s):

Robert Jarrow

Download Full-text

A Note About Selberg’s Integrals in Relation with the Beta-Gamma Algebra

Applied and Numerical Harmonic Analysis - Advances in Mathematical Finance ◽

10.1007/978-0-8176-4545-8_4 ◽

2007 ◽

pp. 49-58

Author(s):

Marc Yor

Download Full-text

Applied and Numerical Harmonic Analysis - Advances in Mathematical FinanceLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Birkhäuser Boston

Asset Price Bubbles in Complete Markets

Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model

Variance-Gamma and Monte Carlo

Forward Evolution Equations for Knock-Out Options

Some Remarkable Properties of Gamma Processes

Itô Formulas for Fractional Brownian Motion

Utility Valuation of Credit Derivatives: Single and Two-Name Cases

Mean Reversion Versus Random Walk in Oil and Natural Gas Prices

A Tutorial on Zero Volatility and Option Adjusted Spreads

A Note About Selberg’s Integrals in Relation with the Beta-Gamma Algebra

Applied and Numerical Harmonic Analysis - Advances in Mathematical Finance
Latest Publications