Advances in mathematical finance

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.