A Benchmark Approach to Quantitative Finance
The general framework is used to provide an understanding of the nature of stochastic volatility. The book is intended for ...
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Applied Stochastic Control of Jump Diffusions
The main purpose of the book is to give a rigorous, yet mostly nontechnical, introduction to the most important and useful ...
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Applied Stochastic Control of Jump Diffusions
The main purpose of the book is to give a rigorous, yet mostly nontechnical, introduction to the most important and useful ...
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Aspects of Brownian Motion
Stochastic calculus and excursion theory are very efficient tools to obtain either exact or asymptotic results about Brownian ...
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Aspects of Mathematical Finance
Considering the stupendous gain in importance, in the banking and insurance industries since the early 1990’s, of mathematical ...
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Calcolo stocastico per la finanza = Stochastic Calculation for Finance
Offers an introduction to the mathematical, probabilistic and numerical methods that are the basis of the models for the ...
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Economists Mathematical Manual
In particular, we have included some key concepts and results from trade theory, games of incomplete information and combinatorics. ...
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Financial Modeling Under Non-Gaussian Distributions
Practitioners and researchers who have handled financial market data know that asset returns do not behave according to the ...
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From Stochastic Calculus to Mathematical Finance
The Festschrift is a collection of papers, including several surveys, written by his former students, co-authors and colleagues. ...
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From Stochastic Calculus to Mathematical Finance
The Festschrift is a collection of papers, including several surveys, written by his former students, co-authors and colleagues. ...
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In Memoriam Paul-André Meyer - Séminaire de Probabilités XXXIX
The 39th volume of Séminaire de Probabilités is a tribute to the memory of Paul André Meyer. His life and achievements ...
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In Memoriam Paul-André Meyer - Séminaire de Probabilités XXXIX
The 39th volume of Séminaire de Probabilités is a tribute to the memory of Paul André Meyer. His life and achievements ...
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Interest Rate Models - Theory and Practice
The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact ...
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Interest Rate Models - Theory and Practice
The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact ...
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Introduction to Stochastic Calculus for Finance
The justifcation is mainly pedagogical. These lecture notes start with an elementary approach to stochastic calculus due ...
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Introduction to Stochastic Calculus for Finance
The justifcation is mainly pedagogical. These lecture notes start with an elementary approach to stochastic calculus due ...
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Malliavin Calculus for Lévy Processes with Applications to Finance
While the original works on Malliavin calculus aimed to study the smoothness of densities of solutions to stochastic differential ...
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Martingale Methods in Financial Modelling
This book provides a comprehensive, self-contained and up-to-date treatment of the main topics in the theory of option pricing. ...
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Mathematical Models of Financial Derivatives
Mathematical Models of Financial Derivatives is a textbook on the theory behind modeling derivatives using the financial ...
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Mathematics of Financial Markets
This book presents the mathematics that underpins pricing models for derivative securities, such as options, futures and ...
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