Mathematical Methods for Financial Markets

Monique Jeanblanc, Marc Yor, Marc Chesney

• Hardcover | Engels | Springer Finance
• Unlike other texts available in the field, this book is written to be accessible to both mathematicians and practitioners Rather than provide full pro... Lees meer

Exponential Functionals of Brownian Motion and Related Processes

Marc Yor

• Paperback | Engels | Springer Finance | Springer Finance Lecture Notes
• This monograph contains: - ten papers written by the author, and co-authors, between December 1988 and October 1998 about certain exponential function... Lees meer

Risk-Neutral Valuation

Nicholas H Bingham, Rüdiger Kiesel

• Paperback | Engels | Springer Finance
• This second edition - completely up to date with new exercises - provides a comprehensive and self-contained treatment of the probabilistic theory beh... Lees meer

Derivative Securities and Difference Methods

You-Lan Zhu, Xiaonan Wu, I-Liang Chern, Zhi-Zhong Sun

• Paperback | Engels | Springer Finance
• This book is mainly devoted to finite difference numerical methods for solving partial differential equations (PDEs) models of pricing a wide variety ... Lees meer

The Price of Fixed Income Market Volatility

Antonio Mele, Yoshiki Obayashi

• Hardcover | Engels | Springer Finance
• Fixed income volatility and equity volatility evolve heterogeneously over time, co-moving disproportionately during periods of global imbalances and e... Lees meer

Term-Structure Models

Damir Filipovic

• Hardcover | Engels | Springer Finance | Springer Finance Textbooks
• Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-s... Lees meer

Credit Risk: Modeling, Valuation and Hedging

Tomasz R Bielecki, Marek Rutkowski

• Hardcover | Engels | Springer Finance
• This book will be an important reference for practitioners involved with managing portfolios sensitive to credit risk. Graduate students and researche... Lees meer

Stochastic Models for Prices Dynamics in Energy and Commodity Markets

Fred Espen Benth, Paul Krühner

• Paperback | Engels | Springer Finance
• This monograph presents a theory for random field models in time and space, viewed as stochastic processes with values in a Hilbert space, to model th... Lees meer

Mathematical Finance

Ernst Eberlein, Jan Kallsen

• Paperback | Engels | Springer Finance
• Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the s... Lees meer

Continuous-Time Asset Pricing Theory

Robert A Jarrow

• Paperback | Engels | Springer Finance | Springer Finance Textbooks
• Yielding new insights into important market phenomena like asset price bubbles and trading constraints, this is the first textbook to present asset pr... Lees meer

Visual Explorations in Finance

• Paperback | Engels | Springer Finance
• Self-organizing maps (SOM) have proven to be of significant economic value in the areas of finance, economic and marketing applications. As a result, ... Lees meer

Uncertain Volatility Models

Robert Buff

• Paperback | Engels | Springer Finance | Springer Finance Lecture Notes
• Many introductory books on mathematical finance also outline some com- puter algorithms. My goal is to contribute a closer look at algorithmic issues ... Lees meer

Option Prices as Probabilities

Christophe Profeta, Bernard Roynette, Marc Yor

• Paperback | Engels | Springer Finance | Springer Finance Lecture Notes
• Discovered in the seventies, Black-Scholes formula continues to play a central role in Mathematical Finance. We recall this formula. Let (B, t? 0; F, ... Lees meer

Modelling, Pricing, and Hedging Counterparty Credit Exposure

Giovanni Cesari, John Aquilina, Niels Charpillon, Zlatko Filipovic, Gordon Lee, Ion Manda

• Hardcover | Engels | Springer Finance
• It was the end of 2005 when our employer, a major European Investment Bank, gave our team the mandate to compute in an accurate way the counterparty c... Lees meer

Financial Modeling

Stephane Crepey

• Paperback | Engels | Springer Finance | Springer Finance Textbooks
• Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of finan... Lees meer

Financial Modeling Under Non-Gaussian Distributions

Eric Jondeau, Ser-Huang Poon, Michael Rockinger

• Paperback | Engels | Springer Finance
• Non-Gaussian distributions are the key theme of this book which addresses the causes and consequences of non-normality and time dependency in both ass... Lees meer

Mathematical Models of Financial Derivatives

Yue-Kuen Kwok

• Hardcover | Engels | Springer Finance | Springer Finance Textbooks
• This book contains a comprehensive account of pricing models of financial derivatives, including exotic equity options, interest rate products and cre... Lees meer

Derivative Securities and Difference Methods

You-Lan Zhu, Xiaonan Wu, I-Liang Chern, Zhi-Zhong Sun

• Hardcover | Engels | Springer Finance
• This book is mainly devoted to finite difference numerical methods for solving partial differential equations (PDEs) models of pricing a wide variety ... Lees meer

Mathematical Models of Financial Derivatives

Yue-Kuen Kwok

• Paperback | Engels | Springer Finance | Springer Finance Textbooks
• This book contains a comprehensive account of pricing models of financial derivatives, including exotic equity options, interest rate products and cre... Lees meer

Financial Markets Theory

Emilio Barucci

• Paperback | Engels | Springer Finance
• The first book to combine the latest discussion on financial market theory with precision mathematics and how practical results influence research, Fi... Lees meer

Stochastic Calculus for Finance II

Steven Shreve

• Paperback | Engels | Springer Finance
• Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master's program in Computational Finance. Lees meer

Interest Rate Models - Theory and Practice

Damiano Brigo, Fabio Mercurio

• E-book | Engels | Springer Finance
• The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched conside... Lees meer

Semiparametric Modeling of Implied Volatility

Matthias R Fengler

• Paperback | Engels | Springer Finance | Springer Finance Lecture Notes
• The implied volatility surface is a key financial variable for the pricing and the risk management of plain vanilla and exotic options portfolios alik... Lees meer

Contract Theory in Continuous-Time Models

Jaksa Cvitanic, Jianfeng Zhang

• Hardcover | Engels | Springer Finance
• In recent years there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their application... Lees meer