Exponential Functionals of Brownian Motion and Related Processes

Marc Yor

• Paperback | Engels | Springer Finance | Springer Finance Lecture Notes
• This volume collects papers about the laws of geometric Brownian motions and their time-integrals, written by the author and coauthors between 1988 an... 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

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

Mathematical Methods for Financial Markets

Monique Jeanblanc, Marc Yor, Marc Chesney

• Hardcover | Engels | Springer Finance
• Mathematical finance has grown into a huge area of research which requires a large number of sophisticated mathematical tools. This book simultaneousl... 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

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

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

Uncertain Volatility Models

Robert Buff

• Paperback | Engels | Springer Finance | Springer Finance Lecture Notes
• This is one of the only books to describe uncertain volatility models in mathematical finance and their computer implementation for portfolios of vani... 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
• Edited by Guido Deboeck, a leading exponent in the use of computation intelligence methods in finance and economic forecasting, and the originator of ... 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

Risk-Neutral Valuation

Nicholas H Bingham, Rüdiger Kiesel

• Hardcover | 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

Financial Modeling Under Non-Gaussian Distributions

Eric Jondeau, Ser-Huang Poon, Michael Rockinger

• Paperback | Engels | Springer Finance
• This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and... 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

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

• Hardcover | Engels | Springer Finance | Springer Finance Textbooks
• This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of fi... Lees meer

Mathematical Models of Financial Derivatives

Yue-Kuen Kwok

• Paperback | Engels | Springer Finance | Springer Finance Textbooks
• This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of fi... Lees meer

Financial Markets Theory

Emilio Barucci

• Paperback | Engels | Springer Finance
• A presentation of classical asset pricing theory, this textbook is the only one to address the economic foundations of financial markets theory from a... Lees meer

Semiparametric Modeling of Implied Volatility

Matthias R Fengler

• Paperback | Engels | Springer Finance | Springer Finance Lecture Notes
• This book offers recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods ... Lees meer

Term-Structure Models

Damir Filipovic

• Paperback | Engels | Springer Finance | Springer Finance Textbooks
• 1 Introduction.- 2 Interest Rates and Related Contracts.- 2.1 Zero-Coupon Bonds.- 2.2 Interest Rates.- 2.2.1 Market Example: LIBOR.- 2.2.2 Simple vs. ... Lees meer

Risk and Asset Allocation

Attilio Meucci

• Hardcover | Engels | Springer Finance | Springer Finance Textbooks
• Discusses in the practical and theoretical aspects of one-period asset allocation, i.e. market Modeling, invariants estimation, portfolia evaluation, ... Lees meer

A Course in Derivative Securities

Kerry Back

• Hardcover | Engels | Springer Finance | Springer Finance Textbooks
• "Deals with pricing and hedging financial derivatives.... Computational methods are introduced and the text contains the Excel VBA routines correspond... Lees meer

Visual Explorations in Finance

• Hardcover | Engels | Springer Finance
• Edited by Guido Deboeck, a leading exponent in the use of computation intelligence methods in finance and economic forecasting, and the originator of ... Lees meer