ANHA series preface -- Preface -- Career highlights and list of publications / Dilip B. Madan -- PART I. VARIANCE-GAMMA AND RELATED STOCHASTIC PROCESSES. The early years of the variance-gamma process -- Variance-gamma and Monte Carlo -- Some remarkable properties of gamma processes -- A note about Selberg's integrals in relation with the beta-gamma algebra -- itô formulas for fractional Brownian motion -- PART II. ASSET AND OPTION PRICING. A tutorial on zero volatility and option adjusted spreads -- Asset price bubbles in complete markets -- Taxation and transaction costs in a general equilibrium asset economy -- Calibration of Lévy term structure models -- Pricing of swaptions in affine term structures with stochastic volatility -- Forward evolution equations for knock-out options -- Mean reversion versus random walk in oil and natural gas prices -- PART III. CREDIT RISK AND INVESTMENTS. Beyond hazard rates: a new framework for credit-risk modelling -- A generic one-factor Lévy model for pricing synthetic CDOs -- Utility valuation of credit derivatives: single and two-name cases -- Investment and valuation under backward and forward dynamic exponential utilities in a stochastic factor model
Summary
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
