Applied and Numerical Harmonic Analysis doc

[...]... Handbook of Financial Engineering (with J.-Y Yen) 85 Self-decomposability and option pricing Mathematical Finance, 17(1):31– 57, 2007 (with P Carr, H Geman, and M Yor) 86 Probing options markets for information Methodology and Computing in Applied Probability, 9:115–131, 2007 (with H Geman and M Yor) 87 Correlation and the pricing of risks forthcoming in Annals of Finance (with M Atlan, H Geman, and. .. Theoretical foundations and empirical applications, 2001 (with G Bakshi and F Zhang) 95 Reduction method for valuing derivative securities, 2001 (with P Carr and A Lipton) 96 Option pricing and heat transfer, 2002 (with P Carr and A Lipton) 97 Multiple prior asset pricing models, 2003 (with R.J Elliott) Career Highlights and List of Publications xxv 98 Absence of arbitrage and local L´vy models, 2003... 66 Incomplete diversification and asset pricing Advances in Finance and Stochastics: Essays in Honor of Dieter Sondermann, eds K Sandmann and P Schonbucher, Springer-Verlag, 101–124, 2002 (with F Milne and R Elliott) 67 Making Markov martingales meet marginals: With explicit constructions Bernoulli, 8:509–536, 2002 (with M Yor) 68 Stock return characteristics, skew laws, and the differential pricing of... content in interest rate term structures Review of Economics and Statistics, 75(4):695–699, 1993 (with R.O Edmister) 29 Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying Mathematical Finance, 3(2):85–99, 1993 (with M Chesney, R.J Elliott, and H Yang) 30 Contingent claims valued and hedged by pricing and investing in a basis Mathematical Finance, 4(3):223–245,... Estimation of statistical and risk-neutral densities by hermite polynomial approximation: With an application to Eurodollar Futures options, 1996 (with P Abken and S Ramamurtie) 90 Crash discovery in options markets, 1999 (with G Bakshi) 91 Risk aversion, physical skew and kurtosis, and the dichotomy between risk-neutral and physical index volatility, 2001 (with G Bakshi and I Kirgiz) 92 Factor models... (with H Geman and M Yor) 58 Determining volatility surfaces and option values from an implied volatility smile Quantitative Analysis of Financial Markets, vol 2 ed M Avellanada, World Scientific Press, 163–191, 2001 (with P Carr) Career Highlights and List of Publications xxiii 59 Towards a theory of volatility trading Handbooks in Mathematical Finance: Option Pricing, Interest Rates and Risk Management,... Reversion Versus Random Walk in Oil and Natural Gas Prices H´lyette Geman 219 e Part III Credit Risk and Investments Beyond Hazard Rates: A New Framework for Credit-Risk Modelling Dorje C Brody, Lane P Hughston, and Andrea Macrina 231 A Generic One-Factor L´vy Model for Pricing Synthetic e CDOs Hansj¨rg Albrecher, Sophie A Ladoucette, and Wim Schoutens... 259 o Utility Valuation of Credit Derivatives: Single and Two-Name Cases Ronnie Sircar and Thaleia Zariphopoulou 279 Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model Marek Musiela and Thaleia Zariphopoulou 303 Part I Variance-Gamma and Related Stochastic Processes The Early Years of the... small, thus arguing for a purely compound Poisson process, and against the stable laws The VG distribution and process were yet to make their appearance The VG was to share equal standing with the NCP in the next two papers [16] and [18] An important difference between the VG and NCP models, however, is that the VG turns out to be a pure jump process, and the limit of compound Poisson processes The paper... Senior Lecturer, Faculty of Economics and Politics at Monash University in Melbourne, and in 1975–1989 Associate Professor (this was equivalent to full Professor in the U.S system) jointly in the Department of Econometrics and Operations Research and in the Department of Accounting and Finance, Monash University He took early retirement in 1989 on account of his health, and died October 6, 1997 As a young . class="bi x1 y1 w3 h2" alt="" Applied and Numerical Harmonic Analysis Series Editor John J. Benedetto University of Maryland Editorial Advisory Board Akram. birthday ANHA Series Preface The Applied and Numerical Harmonic Analysis (ANHA) book series aims to provide the engineering, mathematical, and scientific communities