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This second edition - completely up to date with new exercises - provides a comprehensive and self-contained treatment of the probabilistic theory beh...Lees meer
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
This book is mainly devoted to finite difference numerical methods for solving partial differential equations (PDEs) models of pricing a wide variety ...Lees meer
This monograph contains: - ten papers written by the author, and co-authors, between December 1988 and October 1998 about certain exponential function...Lees meer
A comprehensive overview of weak convergence of stochastic processes and its application to the study of financial markets. Split into three parts, th...Lees meer
This book addresses the applications of Fourier transform to smile modeling. Smile effect is used generically by ?nancial engineers and risk managers ...Lees meer
Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-s...Lees meer
This updated second edition provides a framework that shows how to bridge the gap between the continuous-time pricing practice in financial engineerin...Lees meer
Credit risk is an important consideration in most financial transactions. As for any other risk, the risk taker requires compensation for the undivers...Lees meer
This book will be an important reference for practitioners involved with managing portfolios sensitive to credit risk. Graduate students and researche...Lees meer
Fixed income volatility and equity volatility evolve heterogeneously over time, co-moving disproportionately during periods of global imbalances and e...Lees meer
This new edition is a greatly extended and updated version of my earlier monograph "Pricing Credit Linked Financial Instruments" (Schmid 2002). Wherea...Lees meer
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
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
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
The rapid advances in financial technology in the past decade have led to a commensurate increase in sophistication for modeling techniques researcher...Lees meer
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
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
This extensive and up-to-date text demonstrates the relevance of Malliavin calculus for Mathematical Finance. It starts with an exposition from scratc...Lees meer
Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume off...Lees meer
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
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
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