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 the stochastic dynamics of forward and futures prices in energy, power, and commodity markets. In …

This book is devoted to problems of stochastic control and stopping that are time inconsistent in the sense that they do not admit a Bellman optimality principle. These problems are cast in a game-theoretic framework, with the focus on …

Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical …

Fixed income volatility and equity volatility evolve heterogeneously over time, co-moving disproportionately during periods of global imbalances and each reacting to events of different nature. While the methodology for options-based "model-free"

This book is mainly devoted to finite difference numerical methods for solving partial differential equations (PDEs) models of pricing a wide variety of financial derivative securities. With this objective, the book is divided into two main parts.

In recent years there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their applications. Continuous-time models provide a powerful and elegant framework for solving stochastic optimiz

Risk management for financial institutions is one of the key topics the financial industry has to deal with. The present volume is a mathematically rigorous text on solvency modeling. Currently, there are many new developments in this area in the

Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and processes are the natural tools for describing the dynamic behavior of fi

Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative c

Asymptotic analysis of stochastic stock price models is the central topic of the present volume. Special examples of such models are stochastic volatility models, that have been developed as an answer to certain imperfections in a celebrated Black

This book addresses the applications of Fourier transform to smile modeling. Smile effect is used generically by ?nancial engineers and risk managers to refer to the inconsistences of quoted implied volatilities in ?nancial markets, or more mat- mati

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 ,t? 0, P) - t t note a standard Brownian motion with B = 0, (F ,t? 0) being its natural ?ltra- 0 t t

Mathematical finance has grown into a huge area of research which requires a large number of sophisticated mathematical tools. This book simultaneously introduces the financial methodology and the relevant mathematical tools in a style that is mat

Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introductio

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 credit exposure arising from exotic derivatives traded by the ?rm. As often happens, - posure of prod

Introduction This book presents and develops major numerical methods currently used for solving problems arising in quantitative ?nance. Our presentation splits into two parts. Part I is methodological, and offers a comprehensive toolkit on numerical

Objectives and Audience In the past three decades, we have witnessed the phenomenal growth in the trading of ?nancial derivatives and structured products in the ?nancial markets around the globe and the surge in research on derivative pricing theory.

Non-Gaussian distributions are the key theme of this book which addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The aim is to bridge the gap between theoretical developments and t

This book describes the modelling of prices of ?nancial assets in a simple d- crete time, discrete state, binomial framework. By avoiding the mathematical technicalitiesofcontinuoustime?nancewehopewehavemadethematerial accessible to a wide audience.