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Mathematics in Finance
Edited by: Santiago Carrillo Menéndez and José Luis Fernández Pérez, Universidad Autónoma de Madrid, Spain
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Contemporary Mathematics
2010; 146 pp; softcover
Volume: 515
ISBN-10: 0-8218-4673-6
ISBN-13: 978-0-8218-4673-5
List Price: US$59
Member Price: US$47.20
Order Code: CONM/515
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This volume contains survey papers on mathematical finance based on some courses given at the "Lluís Santaló" Summer School of the Real Sociedad Matemática Española, held in July 2007 at the Universidad Internacional Menéndez Pelayo, Santander (Spain). The primary topics are pathwise approximations of stochastic differential equations, Hedge funds, and credit derivatives.

The paper by L. Seco and F. Chen provides a systematic survey of hedge funds from a rigorous mathematical point of view. The related paper by M. Escobar, S. Krämer, F. Scheibl, L. Seco and R. Zagst introduces a new theoretical framework for the pricing of hedge funds' equity, inspired by the framework of Black and Cox for the valuation of company equity as a call option.

A general framework for deriving high order, stable and tractable path-wise approximations of Stratonovich stochastic differential equations as applied to finance is the subject of the paper of L. G. Gyurkó and T. Lyons.

The paper by R. Zagst and M. Scherer is a short course on the different approaches used for pricing, hedging and risk management of credit derivatives.

Researchers and practitioners in mathematical finance will find in this book a collection of excellent, up-to-date and mathematically rigorous presentations of some of the most advanced techniques for pricing and risk management.

This book is published in cooperation with Real Sociedad Matemática Española (RSME).

Readership

Graduate students and research mathematicians interested in mathematical finance.

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