Advances in Mathematical Finance
Advances in Mathematical Finance

Author: Michael C. Fu

Publisher: Springer Science & Business Media

Published: 2007-06-22

Total Pages: 345

ISBN-13: 0817645454

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This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the book has real-world applications to fixed income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium. It is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering.

The Analytical Formula for the Distribution Function of the Variance Gamma Process and Its Application to Option Pricing
The Analytical Formula for the Distribution Function of the Variance Gamma Process and Its Application to Option Pricing

Author: Roman Ivanov

Publisher:

Published: 2015

Total Pages: 11

ISBN-13:

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In this paper we primarily obtain the explicit formulas for the distribution function of the variance gamma process. The formulas are based on values of hypergeometric functions. This result is applied to European option pricing. Basing on the established formulas, we get the prices of binary options, as long as the price of European call which was derived firstly in paper by Madan, Carr and Chang (1998).

Time for a Change
Time for a Change

Author: Harvey J. Stein

Publisher:

Published: 2007

Total Pages: 12

ISBN-13:

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The most widely used option pricing model is the Black-Scholes model.We motivate an alternative option pricing model called the Variance Gamma (VG) model and demonstrate its implementation in the Bloomberg system.