Book2007

Advances in Mathematical Finance

Michael C. Fu · Robert A. Jarrow · Ju-Yi Yen · Robert James Elliott

75 citations0/0 files storedApplied and numerical harmonic analysis

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Stochastic processes and financial applications Financial Markets and Investment Strategies Mathematical Analysis and Transform Methods

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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

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1999Option valuation using the fast Fourier transform 1998The Variance Gamma Process and Option Pricing 1990The Variance Gamma (V.G.) Model for Share Market Returns 2010Towards a Theory of Volatility Trading 1998Pricing the risks of default 1991Option Pricing With V. G. Martingale Components1 2001Pricing and hedging in incomplete markets 2006A Theory of Volatility Spreads

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2018A stochastic program to evaluate disruption mitigation investments in the supply chain 2010Threshold estimation of Markov models with jumps and interest rate modeling 2016Applied Conic Finance 2013Shifting martingale measures and the birth of a bubble as a submartingale 2004Valuing Bermudan options when asset returns are Lévy processes 2009Lévy base correlation 2012A New Stochastic Derivative Estimator for Discontinuous Payoff Functions with Application to Financial Derivatives

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