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Quantitative

Finance

2006
2006
springer.com Contents Springer Finance . Related Titles from Mathematics and Statistics Financial Economics/Financial
springer.com
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47
A
Deboeck, Kohonen (Eds.)
Deissenberg, Hartl (Eds.)
Delbaen, Schachermayer
11
K
Platen, Heath
23
Albeverio, Schachermayer,
41
Talagrand 30
11
Kaas, Goovaerts, Dhaene,
Denuit 44
Prigent
23
Protter
38
Ammann 1
E
Asmussen, Glynn
30
Kabanov, Liptser,
Stoyanov 34
R
Elliott, Kopp
12
Rao
24
Azéma, Émery, Ledoux,
Karatzas, Shreve
17
Embrechts, Klüppelberg,
Robert
38
Yor (Eds.)
30
Karatzas, Shreve
34
Mikosch
11
Roman
24
Kellerhals 17
B
Ruppert
25
F
Kloeden, Platen
34
Back 1
Barucci 2
Benth 2
Fan, Yao 33
Fengler 16
Filipovic 13
Fleming, Soner
S
Külpmann 18
Sandmann,
Kuo 35
Schönbucher (Eds.)
25
Kwok 19
Bernard 30
32
Scherer, Martin
39
Kyprianou 35
Bhar, Hamori
3
Franke, Härdle, Hafner
13
Schmid 25
Biais, Björk, Cvitanic, El Karoui,
L
Frenkel, Hommel,
Schulmerich 46
Jouini, Rochet
3
44
Rudolf (Eds.)
42
Schwartz, Byrne,
Bielecki, Rutkowski
4
Lee, Lee (Eds.)
Lemke 44
Frenkel, Karmann, Scholtens
(Eds.) 41
Colaninno (Eds.)
46
Bingham, Kiesel
4
Levy (Ed.)
45
Bouleau 5
Liptser, Shiryaev
36
Frittelli, Biagini, Scandolo
Frittelli, Runggaldier (Eds.)
12
Sethi, Thompson 46
Seydel 26
Brabazon 5
32
M
Shiryaev, Grossinho, Oliveira,
Breton, Ben-Ameur
40
Fusai, Roncoroni
13
Ma, Yong
37
Esquível (Eds.)
38
Brigo, Mercurio
6
Mahringer
45
Shreve 26
G
Buff 7
Malevergne, Sornette
19
Steele 27
Gandolfo 42
Bühlmann 6
Malliavin, Thalmaier 18
Straub 21
Geman, Madan, Pliska,
Bühlmann, Gisler
7
Mandelbrot
20
Stuljater 39
Vorst (Eds.)
14
C
Mansuy, Yor
36
Genser 42
T
Camera (Ed.)
40
Mathieu, Beaufils,
Gerber 21
Talluri, Ryzin
47
Capinski, Kopp
31
Brandouy
45
Glasserman 14
V
Capinski, Zastawniak
8
Matthäus-Maier,
Gundlach, Lehrbass
14
Van der Hoek, Elliott
15
Carmona 31
Pischke (Eds.)
45
H
W
Carmona, Cinlar, Ekeland,
Jouini, Scheinkman, Touzi
Meucci
20
Hanke 42
Wang
47
Mikosch
21
Härdle, Kleinow, Stahl
15
Y
(Eds.)
9, 10
Molchanov
37
Haurie, Zaccour
43
Yao, Zhang, Zhou
Yor 27
39
Carmona, Tehranchi 8
Mönch
46
Hehn (Ed.)
43
Caselli, Gatti (Eds.)
40, 41
Musiela, Rutkowski
22
Herwig 43
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Chung, AitSahlia
31
N
I
Zagst
27
Cizek, Härdle, Weron (Eds.)
Clark 40
9
Itô, Barndorff-Nielsen,
Niederreiter, Talay (Eds.)
37
Zhu, Wu, Chern 28
Sato (Eds.)
33
O
Ziegler
28, 29
Colombo, Stanca
41
J
Øksendal, Sulem
37
Zivot, Wang
29
D
Jacod, Protter
33
P
Dana, Jeanblanc
De Laurentis (Ed.)
10
Jäkel 43
Jondeau, Rockinger, Poon
Paul, Baschnagel
20
41
16
Pelsser
22
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2nd

EDITION

Springer Finance

Springer Finance

1

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Credit Risk Valuation

Methods, Models, and Applications

M. Ammann, University of St. Gallen, Switzerland

This book offers an advanced introduction to the models of credit risk valuation. It concentrates on firm-value and reduced-form approaches and their applications in practice. Additionally, the book includes new models for valuing derivative securities with credit risk, focussing on options and forward contracts subject to counterparty default risk, but also treating options on credit-risky bonds and credit derivatives. The text provides detailed descriptions of the state-of-the-art martingale methods and advanced numerical implementations based on multi-variate trees used to price deriva- tive credit risk. Numerical examples illustrate the effects of credit risk on the prices of financial derivatives.

of credit risk on the prices of financial derivatives. 2nd ed. 2001. Corr. 2nd printing 2002.

2nd ed. 2001. Corr. 2nd printing 2002. X, 255, 17 figs., 23 tabs. (Springer Finance) Hardcover

ISBN 3-540-67805-0 € 74,95 | £57.50

A Course in Derivative Securities

Introduction to Theory and Computation

K. Back, Texas A&M University, College Station, TX, USA

This book aims at a middle ground between the introductory books on derivative securities and those that provide advanced mathematical treatments. It is written for mathematically capable students who have not necessarily had prior exposure to probability theory, stochastic calculus, or computer programming. It provides derivations of pricing and hedging formulas (using the probabilistic change of numeraire technique) for standard options, exchange options, options on forwards and futures, quanto options, exotic options, caps, floors and swaptions, as well as VBA code implement- ing the formulas. It also contains an introduction to Monte Carlo, binomial models, and finite-difference methods.

Professor Back has written a superb book on advanced derivatives. The book provides wonderfully clear explanations without sacrificing mathematical accuracy. I highly recommend this book for everyone who wants to understand more about this fascinating and important

area. Mark Broadie, Columbia University, New York

area.  Mark Broadie , Columbia University, New York 2005. XVI, 356 p. (Springer Finance) Hardcover

2005. XVI, 356 p. (Springer Finance) Hardcover

ISBN 3-540-25373-4 € 54,95 | £42.50

356 p. (Springer Finance) Hardcover ISBN 3-540-25373-4  € 54,95 | £42.50 Best of 2005 Book

Best of 2005 Book Awards by riskbook.com

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2

springer.com 2 Springer Finance Financial Markets Theory Equilibrium, Efficiency and Information E. Barucci ,

Springer Finance

Financial Markets Theory

Equilibrium, Efficiency and Information

E. Barucci, Università di Pisa, Italy

Financial Markets Theory presents classical asset pricing theory, a theory composed of milestones such as portfolio selection, risk aver- sion, fundamental asset pricing theorem, portfolio frontier, CAPM, CCAPM, APT, the Modigliani-Miller Theorem, no arbitrage/risk neutral evaluation and information in financial markets. Starting from an analysis of the empirical tests of the above theories, the author provides a discussion of the most recent literature, pointing out the main advancements within classical asset pricing theory and the new approaches designed to address open problems (e.g. behavioural finance). It is the only textbook to address the economic foundations of financial markets theory from a mathematically rigorous standpoint, and to offer a self-contained critical discussion, based on empirical results.

critical discussion, based on empirical results. 2003. XII, 467 p. 14 illus. (Springer Finance) Hardcover

2003. XII, 467 p. 14 illus. (Springer Finance) Hardcover

ISBN 1-85233-469-X € 69,95 | £45.00

Hardcover ISBN 1-85233-469-X  € 69,95 | £45.00 Option Theory with Stochastic Analysis An Introduction to

Option Theory with Stochastic Analysis

An Introduction to Mathematical Finance

F. E. Benth, University of Oslo, Norway

The objective of this textbook is to provide a very basic and acces- sible introduction to option pricing, invoking only a minimum of stochastic analysis. Although short, it covers the theory essential to the statistical modeling of stocks, pricing of derivatives (general contingent claims) with martingale theory, and computational finance including both finite-difference and Monte Carlo methods. The reader is led to an understanding of the assumptions inherent in the Black Scholes theory, of the main idea behind deriving prices and hedges, and of the use of numerical methods to compute prices for exotic contracts. The author’s style is compact and to-the-point, requiring of the reader only basic mathematical skills. In contrast to many books addressed to an audience with greater mathematical experience, it can appeal not only to students entering the discipline, but also to many practitioners, e.g. in industry, looking for an introduction to this theory without too much detail.

for an introduction to this theory without too much detail. 2004. X, 162 p. (Universitext) Softcover

2004. X, 162 p. (Universitext) Softcover

ISBN 3-540-40502-X € 39,95 | £30.50

Springer Finance

Empirical Techniques in Finance

R. Bhar, The University of New South Wales, Sydney, NSW, Australia;

S. Hamori, University of Kobe, Japan

The rapid advances in financial technology in the past decade have led to a commensurate increase in sophistication for modelling tech- niques needed by the researchers for the understanding of financial markets. The book aims at equipping graduate students, market analysts and others with a wide range of empirical techniques. It not only discusses the analytical structures behind such modelling approaches, but also explains how they are applied to actual data. Besides traditional elements of financial econometrics and statistical techniques commonly used in quantitative finance, the book covers:

estimation of parametric and non-parametric models; advanced tools to deal with unobserved components; discrete time models of asset prices and of interest rates. Illustrations include specula- tive equity prices, equity and currency risk premium as well as real investment opportunity analysis and interest rate contingent claim valuation.

2005. XII, 243 p. 30 illus. (Springer Finance) Hardcover

ISBN 3-540-25123-5 € 69,95 | £54.00

3

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3-540-25123-5  € 69,95 | £54.00 3 springer.com Research Starts Here. Visit SpringerLink today to create

Research Starts Here. Visit SpringerLink today to create your own user profile, register to receive free research alerts, read Online First™ articles weeks before they are in print to complete critical research projects.

Financial Mathematics

Lectures given at the 3rd Session of the Centro Internazionale Matematico Estivo (C.I.M.E.) held in Bressanone, Italy, July 8-13, 1996

B. Biais, University of Toulouse, France; T. Björk, Stockholm School of

Economics, Sweden; J. Cvitanic, Columbia University, New York, NY, USA;

N. El Karoui, Université Paris VI, France; E. Jouini, ENSAE, Malakoff, France;

J.C. Rochet, University of Toulouse, France

1997. VII, 316 pp. (Lecture Notes in Mathematics, Volume 1656) Softcover

ISBN 3-540-62642-5 € 49,95 | £38.50

2nd

EDITION

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4

2nd EDITION springer.com 4 Springer Finance Credit Risk: Modeling, Valuation and Hedging T. R. Bielecki ,

Springer Finance

Credit Risk: Modeling, Valuation and Hedging

T. R. Bielecki, Northeastern Illinois University, Chicago, IL, USA;

M. Rutkowski, Warsaw University of Technology, Warsaw, Poland

From the reviews A fairly complete overview of the most important recent developments of credit risk modelling from the viewpoint of

mathematical finance

It provides an excellent treatment of math-

ematical aspects of credit risk and will also be useful as a reference for technical details to traders and analysts dealing with credit-risky assets. It is a worthwhile addition to the literature and will serve as highly recommended reading for students and researchers in the subject area for some years to come. MATHEMATICAL REVIEWS

1st ed. 2002. Corr. 2nd printing 2004. XVIII, 501 p. (Springer Finance) Hardcover

ISBN 3-540-67593-0 € 69,95 | £54.00

Hardcover ISBN 3-540-67593-0  € 69,95 | £54.00 Risk-Neutral Valuation Pricing and Hedging of Financial

Risk-Neutral Valuation

Pricing and Hedging of Financial Derivatives

N. H. Bingham, University of Sheffield, UK; R. Kiesel, University of Ulm,

Germany

Since its introduction in the early 1980s, the risk-neutral valuation principle has proved to be an important tool in the pricing and hedging of financial derivatives. Following the success of the first edition of ‘Risk-Neutral Valuation’, the authors have thoroughly revised the entire book, taking into account recent developments in the field, and changes in their own thinking and teaching. In particular, the chapters on Incomplete Markets and Interest Rate Theory have been updated and extended, there is a new chapter on the important and growing area of Credit Risk and, in recognition of the increasing popularity of Lévy finance, there is considerable new material on: Infinite divisibility and Lévy processes; Lévy-based models in incomplete markets. Further material such as exercises, solutions to exercises and lecture slides are also available via the web to provide additional support for lecturers.

via the web to provide additional support for lecturers. 2nd ed. 2004. XVIII, 437 p. (Springer

2nd ed. 2004. XVIII, 437 p. (Springer Finance) Hardcover

ISBN 1-85233-458-4 € 59,59 | £39.50

Springer Finance

Financial Markets and Martingales

Observations on Science and Speculation

N. Bouleau, École des Ponts, Paris, France

Is it really possible to make money on the financial markets? This is just one of the questions posed in this practical and thought- provoking book, winner in the original french version, of the “Best financial economics book” prize 1999 from the Institute de Haute Finance, and the “Prix FNAC-Arthur Anderson du meilleur livre d’entreprise 2000”. Starting with games of chance, from which probability theory was born, Nicolas Bouleau explains how the financial markets operate, and demonstrates how the application of mathematics has turned finance into a high-tech business, as well as a formidable and efficient tool. The human side of finance is also considered, with a look at the influence of the trader and the work- ing relationships that are woven into the market rooms. Concise and accessible, with no previous knowledge of finance or mathematics required, the aim of this book is simply to articulate the main ideas and put them into perspective, leading readers to a fresh under- standing of this complex area.

2004. XV, 151 p. Softcover

ISBN 1-85233-582-3 € 39,95 | £29.50

5

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1-85233-582-3  € 39,95 | £29.50 5 springer.com Biologically Inspired Algorithms for Financial Modelling A.

Biologically Inspired Algorithms for Financial Modelling

A. Brabazon, M. O‘Neill, University College Dublin, Ireland

Predicting the future for financial gain is a difficult, sometimes profitable activity. The focus of this book is the application of biologically inspired algorithms (BIAs) to financial modelling. In a detailed introduction, the authors explain computer trading on financial markets and the difficulties faced in financial market modelling. Then Part I provides a thorough guide to the various bioinspired methodologies – neural networks, evolutionary comput- ing (particularly genetic algorithms and grammatical evolution), particle swarm and ant colony optimization, and immune systems. Part II brings the reader through the development of market trading systems. Finally, Part III examines real-world case studies where BIA methodologies are employed to construct trading systems in equity and foreign exchange markets, and for the prediction of corporate bond ratings and corporate failures. The book was written for those in the finance community who want to apply BIAs in financial modelling, and for computer scientists who want an introduction to this growing application domain.

NEW
NEW

2005. XV, 269 p., 92 illus. (Natural Computing Series) Hardcover

ISBN 3-540-26252-0 € 64,95 | £50.00

2nd printing

2005

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2 n d p r i n t i n g 2005 springer.com 6 Springer Finance

Springer Finance

Mathematical Methods in Risk Theory

H. Bühlmann

From the reviews

,

the book (and its author) had enormous impact

on the development of risk theory. It was the first self-contained mono- graph on risk theory providing a rigorous probabilistic foundation.

[and]

made an important contribution to the successful develop-

ment of risk theory. This success has made the book a classic.

Zentralblatt MATH, 1996

1st ed. 1970. 2nd printing 2005. XII, 210 p. 39 illus. (Grundlehren der

mathematischen Wissenschaften, Volume 172) Hardcover

ISBN 3-540-05117-1 € 79,95 | £61.50

2nd

EDITION

NEW
NEW

Interest Rate Models - Theory and Practice

With Smile, Inflation and Credit

D. Brigo, F. Mercurio, Banca IMI, Milan, Italy

The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swap- tions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swap- tion-volatility interpolation technique has been introduced. The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with

a thorough treatment of the recently developed uncertain-volatil-

ity approach. Examples of calibrations to real market data are now considered. The fast-growing interest for hybrid products has led to

a new chapter. A special focus here is devoted to the pricing of infla-

tion-linked derivatives. The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increas- ingly fundamental, and since in the reduced-form modeling frame- work much of the technique involved is analogous to interest-rate modeling, Credit Derivatives – mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS – are discussed, build- ing on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.

2nd ed. 2006. Approx. 1000 p. (Springer Finance) Hardcover

ISBN 3-540-22149-2 € 64,95 | £50.00

Springer Finance

A Course in Credibility Theory and its Applications

H. Bühlmann, ETH, Zürich, Switzerland; A. Gisler, Winterthur Insurance Company, Winterthur, Switzerland

The book is aimed at teachers and students as well as practising experts in the financial area, in particular at actuaries in the field of property-casualty insurance, life insurance, reinsurance and insur- ance supervision. Persons working in the wider world of finance will also find many relevant ideas and examples even though credibility methods have not yet been widely applied here.The book covers the subject of Credibility Theory extensively and includes most aspects of this topic from the simplest case to the most general dynamic model. Credibility is a lifeless topic if it is not linked closely to practical applications. The book therefore treats explicitly the tasks which the actuary encounters in his daily work such as estimation of loss ratios, claim frequencies and claim sizes. This book deserves a place on the bookshelf of every actuary and mathematician who works, teaches or does research in the area of insurance and finance.

2005. XVIII, 331 p. (Universitext) Softcoveror does research in the area of insurance and finance. ISBN 3-540-25753-5  € 44,95 |

ISBN 3-540-25753-5 € 44,95 | £34.50

7 springer.com NEW
7
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NEW

Uncertain Volatility Models – Theory and Application

R. Buff, Goldman Sachs & Co. New York, NY, USA

This book introduces Uncertain Volatility Models in mathematical finance and their computer implementation for portfolios of vanilla, barrier and American options in equity and FX markets. Uncertain Volatility Models place subjective constraints such as upper and lower bounds on volatility and evaluate option portfolios under worst- and best-case scenarios. This book is for graduate students, researchers and practitioners who wish to study advanced aspects of volatility risk in portfolios of vanilla and exotic options. The accom- panying CD contains the source code of a C++ implementation of the algorithms presented in the book.

C++ implementation of the algorithms presented in the book. 2002. XII, 244 pp. With CD-ROM. (Springer

2002. XII, 244 pp. With CD-ROM. (Springer Finance) Softcoversource code of a C++ implementation of the algorithms presented in the book. ISBN 3-540-42657-4 

ISBN 3-540-42657-4 € 44,95 | £34.50

3rd printing

2005

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8

3 r d p r i n t i n g 2005 springer.com 8 Springer Finance

Springer Finance

Mathematics for Finance

An Introduction to Financial Engineering

M. Capiński, National Louis University, Nowy Sacz, Poland; T. Zastawniak, University of York, UK

Designed to form the basis of an undergraduate course in math- ematical finance, this book builds on mathematical models of bond and stock prices and covers three major areas of mathemati- cal finance that all have an enormous impact on the way modern financial markets operate, namely: Black-Scholes’ arbitrage pricing

of options and other derivative securities; Markowitz portfolio opti- mization theory and the Capital Asset Pricing Model; and interest rates and their term structure. Assuming only a basic knowledge of probability and calculus, it covers the material in a mathematically rigorous and complete way at a level accessible to second or third year undergraduate students. The text is interspersed with a multi- tude of worked examples and exercises, so it is ideal for self-study and suitable not only for students of mathematics, but also students of business management, finance and economics, and anyone with an interest in finance who needs to understand the underlying theory.

in finance who needs to understand the underlying theory. 1st ed. 2003. 3rd printing 2005. X,

1st ed. 2003. 3rd printing 2005. X, 310 p. 75 illus. (Springer Undergrad- uate Mathematics Series) Softcover

ISBN 1-85233-330-8 € 32,95 | £19.95

NEW
NEW

Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

R. A. Carmona, Princeton University, Princeton, USA; M. R. Tehranchi, University of Cambridge, Cambridge, UK

Interest Rate Models: an Infinite Dimensional Stochastic Analysis

Perspective studies the mathematical issues that arise in model- ing the interest rate term structure. These issues are approached by casting the interest rate models as stochastic evolution equations in infinite dimensional function spaces. The book is comprised of three parts. Part I is a crash course on interest rates, including a statistical analysis of the data and an introduction to some popular interest rate models. Part II is a self-contained introduction to infinite dimensional stochastic analysis, including SDE in Hilbert spaces and Malliavin calculus. Part III presents some recent results in interest rate theory, including finite dimensional realizations of HJM models, generalized bond portfolios, and the ergodicity of HJM models.

2006. XIV, 235 p. (Springer Finance) Hardcover

ISBN 3-540-27065-5 € 69,95 | £54.00

Springer Finance

Statistical Tools for Finance and Insurance

P. Cizek, University of Tillburg, The Netherlands; W. Härdle, Humboldt

Universität zu Berlin, Germany; R. Weron, Wroclaw University of Tech- nology, Poland (Eds.)

Statistical Tools in Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insur- ance. Written by practitioners and leading academics in the field, this book offers a unique combination of topics from which every market analyst and risk manager will benefit. Covering topics such as heavy tailed distributions, implied trinomial trees, support vector machines, valuation of mortgage-backed securities, pricing of CAT bonds, simulation of risk processes and ruin probability approximation, the book does not only offer practitioners insight into new methods for their applications, but it also gives theoreticians insight into the applicability of the stochastic technology. Additionally, the book provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations. Written in an accessible and engaging style, this self-instructional book makes a good use of extensive examples and full explanations. The design of the text links theory and computational tools in an innovative way.

2005. V, 517 p. Softcover

ISBN 3-540-22189-1 € 69,95 | £54.00

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3-540-22189-1  € 69,95 | £54.00 9 springer.com Paris-Princeton Lectures on Mathematical Finance 2002 R.

Paris-Princeton Lectures on Mathematical Finance 2002

R.

A. Carmona, E. Cinlar, Princeton University, Princeton, NJ, USA;

I.

Ekeland, University of British Columbia, Vancouver, B.C., Canada;

E.

Jouini, Université Paris IX - Dauphine, Paris, France; J. A. Scheinkman,

Princeton University, Princeton, NJ, USA; N. Touzi, CREST, Malakoff, France

(Eds.)

NJ, USA; N. Touzi , CREST, Malakoff, France (Eds.) Table of contents  M.H. Soner, N.

Table of contents M.H. Soner, N. Touzi: The Problem of Super-replica- tion under Constraints F. Baudoin: Modelling Anticipations on Financial Markets L.C.G. Rogers: Duality in Constrained Optimal Investment and Consumption problems: A Synthesis P. Bank, H. Föllmer: American Options, Multi-armed Bandits, and Optimal Consumption Plans: A Unifying View.

2003. X, 172p. (Lecture Notes in Mathematics, Volume 1814) Softcover

ISBN 3-540-40193-8 € 29,95 | £23.00

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springer.com 10 Springer Finance Paris-Princeton Lectures on Mathematical Finance 2003 R. A. Carmona , E. Cinlar

Springer Finance

Paris-Princeton Lectures on Mathematical Finance 2003

R.

A. Carmona, E. Cinlar, Princeton University, Princeton, NJ, USA;

I.

Ekeland, University of British Columbia, Vancouver, B.C., Canada;

E.

Jouini, Université Paris IX - Dauphine, Paris, France; J. A. Scheinkman,

Princeton University, Princeton, NJ, USA; N. Touzi, CREST, Malakoff, France

(Eds.)

Table of contents T. Bielecki, M. Jeanblanc, Marek Rutkowski: Hedging of Defaultable Claims. T. Björk: On the Geometry of Interest Rate Models. J.A. Scheinkman, W. Xiong: Heterogeneous Beliefs, Speculation and Trading in Financial Markets.

2004. IX, 250 p. (Lecture Notes in Mathematics, Volume 1847) Softcover

ISBN 3-540-22266-9 € 39,95 | £30.50

1847) Softcover ISBN 3-540-22266-9  € 39,95 | £30.50 Financial Markets in Continuous Time R. Dana

Financial Markets in Continuous Time

R. Dana, Université de Paris IX Dauphine, France; M. Jeanblanc, Université

d’Evry, France

In modern financial practice, asset prices are modelled by means of stochastic processes, and continuous-time stochastic calculus thus plays a central role in financial modelling. This approach has its roots in the foundational work of the Nobel laureates Black, Scholes and Merton. Asset prices are further assumed to be rationalizable, that is, determined by equality of demand and supply on some market. This approach has its roots in the foundational work on General Equilibrium of the Nobel laureates Arrow and Debreu and in the work of McKenzie. This book has four parts. The first brings together a number of results from discrete-time models. The second develops stochastic continuous-time models for the valuation of financial assets (the Black-Scholes formula and its extensions), for optimal portfolio and consumption choice, and for obtaining the yield curve and pricing interest rate products. The third part recalls some concepts and results of general equilibrium theory, and applies this in financial markets. The last part is more advanced and tackles market incompleteness and the valuation of exotic options in a complete market.

and the valuation of exotic options in a complete market. 2003. XI, 324 p. (Springer Finance)

2003. XI, 324 p. (Springer Finance) Hardcover

ISBN 3-540-43403-8 € 59,95 | £46.00

Springer Finance

Visual Explorations in Finance

with Self-Organizing Maps

G. Deboeck, Arlington, VA, USA; T. Kohonen, Helsinki University of Tech-

nology, Hut, Finland (Eds.)

Self-organizing maps (SOM) have proven to be of significant economic value in the areas of finance, economic and marketing applications. As a result, this area is rapidly becoming a non- academic technology. This book looks at near state-of-the-art SOM applications in the above areas, and is a multi-authored volume, edited by Guido Deboeck, a leading exponent in the use of compu- tational methods in financial and economic forecasting, and by the originator of SOM, Teuvo Kohonen. The book contains chapters on applications of unsupervised neural networks using Kohonen’s self- organizing map approach.

1998. XLVI, 312 p. 129 illus. (Springer Finance) Hardcover

ISBN 3-540-76266-3 € 104,95 | £59.50

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3-540-76266-3  € 104,95 | £59.50 11 springer.com The Mathematics of Arbitrage F. Delbaen , ETH

The Mathematics of Arbitrage

F. Delbaen, ETH Zürich, Switzerland; W. Schachermayer, Technische

Universität Wien, Austria

This long-awaited book aims at a rigorous mathematical treatment of the theory of pricing and hedging of derivative securities by the principle of ‘no arbitrage’. The first part presents a relatively elemen- tary introduction, restricting itself to the case of finite probability spaces. The second part compromises an updated edition of seven original research papers by the authors, which analyse the topic in the general framework of semi-martingale theory.

2006. XVI, 373 p. (Springer Finance) Hardcover

ISBN 3-540-21992-7 € 69,95 | £54.00

NEW
NEW

Modelling Extremal Events for Insurance and Finance

P. Embrechts, ETH Zürich, Switzerland; C. Klüppelberg, Technische Univer-

sität München, Germany; T. Mikosch, University of Copenhagen, Denmark

1st ed. 1997. Corr. 4th printing 2003. XV, 648 p. 100 figs. (Stochastic Model- ling and Applied Probability, Volume 33) Hardcover

ISBN 3-540-60931-8 € 69,95 | £54.00

2nd

EDITION

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12

2nd EDITION springer.com 12 Springer Finance Mathematics of Financial Markets R. J. Elliott , University of

Springer Finance

Mathematics of Financial Markets

R. J. Elliott, University of Calgary, AL, Canada; P. E. Kopp, University of Hull, UK

This book presents the mathematics that underpins pricing models for derivative securities, such as options, futures and swaps, in modern financial markets. The idealized continuous-time models built upon the famous Black-Scholes theory require sophisticated mathematical tools drawn from modern stochastic calculus. However, many of the underlying ideas can be explained more simply within a discrete-time framework. This is developed exten- sively in this substantially revised second edition to motivate the technically more demanding continuous-time theory, which includes a detailed analysis of the Black-Scholes model and its generaliza- tions, American put options, term structure models and consump- tion-investment problems. The mathematics of martingales and stochastic calculus is developed where it is needed. he new edition adds substantial material from current areas of active research, nota- bly: a new chapter on coherent risk measures, with applications to hedging – a complete proof of the first fundamental theorem of asset pricing for general discrete market models – the arbitrage interval for incomplete discrete-time markets – characterization of complete discrete-time markets, using extended models – risk and return and sensitivity analysis for the Black-Scholes model.

return and sensitivity analysis for the Black-Scholes model. 2nd ed. 2005. XI, 352 p. 7 illus.

2nd ed. 2005. XI, 352 p. 7 illus. (Springer Finance) Hardcover

ISBN 0-387-21292-2 € 89,95 | £69.00

Forthcoming

Duality in Mathematical Finance

M. Frittelli, Università degli Studi di Firenze, Italy; S. Biagini, Università degli Studi di Perugia, Italy; G. Scandolo, Università degli Studi di Firenze, Italy

This monograph presents an advanced and unified treatment of four important issues that have dominated the theoretical research in mathematical finance for the last ten years: (1) the fundamental theorem of asset pricing; (2) utility maximization in incomplete markets; (3) pricing in incomplete markets; (4) the risk measure- ment of a static payoff and of a cash-flow stream. The powerful tools of convex analysis and duality theory are systematically applied to investigate these topics, under very general assumptions on the financial markets. This duality approach reveals the prominent role of the investor’s preferences in all these fundamental issues and contributes to a deeper understanding of the economic aspects of the theory.

2007. Approx. 150 p. (Springer Finance) Hardcover

ISBN 3-540-40108-3 approx. € 44,95 | £34.50

Springer Finance

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Consistency Problems for Heath-Jarrow-Morton Interest Rate Models

D. Filipovic, ETH-Zentrum, Zürich, Switzerland

2001. VIII, 134 p. (Lecture Notes in Mathematics, Volume 1760) Softcover

ISBN 3-540-41493-2 € 29,95 | £23.00

Statistics of Financial Markets

An Introduction

J. Franke, University of Kaiserslautern, Germany; W. Härdle, Humboldt- Universität zu Berlin, Germany; C. M. Hafner, Erasmus University Rotterdam, The Netherlands

From the reviews This book provides a statistical approach to the theoretical and practical issues relating to stock trading. Written by three specialists in closely related fields, it is highly useful for anyone interested in the mathematical and statistical aspects of finance … .

Kassim S. Mwitondi, Journal of Applied Statistics, Vol. 32 (4), 2005

2004. XXIII, 424 p. (Universitext) SoftcoverMwitondi , Journal of Applied Statistics, Vol. 32 (4), 2005 ISBN 3-540-21675-8  € 59,95 |

ISBN 3-540-21675-8 € 59,95 | £46.00

Softcover ISBN 3-540-21675-8  € 59,95 | £46.00 Implementing Models in Quantitative Finance: Methods and

Implementing Models in Quantitative Finance:

Methods and Cases

G. Fusai, Università degli Studi del Piemonte Orientale, Novara, Italy;

A. Roncoroni, ESSEC, Cergy Pontoise, France

This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance (Monte Carlo, PDE, Stochastic Optimization, Copula, Econometrics). The second part proposes twenty self-contained cases covering model simula- tion, asset pricing and hedging, risk management, statistical estima- tion and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appen- dices contain “crash courses” in VBA and Matlab programming languages. A companion CD provides ready-to-run codes (VBA, MATLAB). The book originates from class notes and case studies developed within a course on numerical methods in finance held by the authors at Bocconi University.

Forthcoming

2006. Approx. 500 p. With CD-ROM. (Springer Finance) Hardcovermethods in finance held by the authors at Bocconi University. Forthcoming ISBN 3-540-22348-7  € 69,95

ISBN 3-540-22348-7 € 69,95 | £54.00

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Springer Finance

Mathematical Finance – Bachelier Congress 2000

Selected Papers from the First World Congress of the Bachelier Finance Society, Paris, June 29-July 1, 2000

H. Geman, Université Paris IX, Paris, France; D. Madan, University of Mary-

land, College Park, MD, USA; S. R. Pliska, University of Illinois, Chicago, IL, USA; T. Vorst, Erasmus Universiteit Rotterdam, The Netherlands (Eds.)

2002. X, 521 pp. (Springer Finance) Hardcover

ISBN 3-540-67781-X € 79,95 | £61.50

Hardcover ISBN 3-540-67781-X  € 79,95 | £61.50 Monte Carlo Methods in Financial Engineering P. Glasserman

Monte Carlo Methods in Financial Engineering

P. Glasserman, Columbia University, New York, NY, USA

From the reviews Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo

method. The book will appeal to graduate students, researchers, and

most of all, practicing financial engineers [

gency Analysis

]

Glyn Holton, Contin-

2005 INFORMS Outstanding Simula- tion Publication Award

2005 INFORMS Outstanding Simula- tion Publication Award 2003. XIII, 596 p. 99 illus. (Stochastic Modelling and

2003. XIII, 596 p. 99 illus. (Stochastic Modelling and Applied Probability, Volume 53) Hardcover

ISBN 0-387-00451-3 € 52,95 | £40.50

53) Hardcover ISBN 0-387-00451-3  € 52,95 | £40.50 CreditRisk + in the Banking Industry M.

CreditRisk + in the Banking Industry

M. Gundlach, KfW Bankengruppe, Frankfurt, Germany; F. Lehrbass,

Deutsche Genossenschafts-Hypothekenbank AG, Hamburg, Germany (Eds.)

This book gives an account of the status quo as well as of new and recent developments of the credit risk model CreditRisk + , which is widely used in the banking industry. It gives an introduction to the model itself and to its ability to describe, manage and price credit risk. The book is intended for an audience of practitioners in bank- ing and finance, as well as for graduate students and researchers in the field of financial mathematics and banking. It contains carefully refereed contributions from experts in the field, selected for mutual consistency and edited for homogeneity of style, notation, etc. The discussion ranges from computational methods and extensions for special forms of credit business to statistical calibrations and practi- cal implementations. This unique and timely book constitutes an indispensable tool for both practitioners and academics working in the evaluation of credit risk. CreditRisk + is an important and widely implemented default-mode model of portfolio credit risk, based on a methodology borrowed from actuarial mathematics.

2004. XII, 369 p. (Springer Finance) Hardcover

ISBN 3-540-20738-4 € 79,95 | £61.50

Springer Finance

Applied Quantitative Finance

Theory and Computational Tools

W. Härdle, T. Kleinow, Humboldt Universität zu Berlin, Germany; G. Stahl, Federal Banking Supervisory Office, Bonn, Germany

Applied Quantitative Finance presents solutions, theoretical devel- opments and method proliferation for many practical problems in quantitative finance. The combination of practice and theory supported by computational tools is reflected in the selection of topics as well as in a finely tuned balance of scientific contributions on the practical implementation and theoretical concepts. The e-book design of the text links theory and computational tools in an innovative way. All “quantlets” for the calculation of given examples in the text are executable on an XploRe Quantlet Server (XQS) and can be modified by the reader via the internet. The elec- tronic edition can be downloaded from the web site www.i-xplore.de using the licence and registration number at the back cover.

2002. XXIV, 402 p. Softcover

ISBN 3-540-43460-7 € 62,95 | £48.50

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3-540-43460-7  € 62,95 | £48.50 15 springer.com Binomial Models in Finance J. van der Hoek

Binomial Models in Finance

J. van der Hoek, University of Adelaide, SA, Australia; R. J. Elliott, Univer- sity of Calgary, AB, Canada

This book deals with many topics in modern financial mathematics in a way that does not use advanced mathematical tools and shows how these models can be numerically implemented in a practical way. The book is aimed at undergraduate students, MBA students, and executives who wish to understand and apply financial models in the spreadsheet computing environment. The basic building block is the one-step binomial model where a known price today can take one of two possible values at the next time. In this simple situation, risk neutral pricing can be defined and the model can be applied to price forward contracts, exchange rate contracts, and interest rate derivatives. The simple one-period framework can then be extended to multi-period models. The authors show how binomial tree models can be constructed for several applications to bring about valuations consistent with market prices. The book closes with a novel discussion of real options.

2006. XIII, 303 p. (Springer Finance) Hardcover

ISBN 0-387-25898-1 € 69,95 | £54.00

NEW
NEW

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Springer Finance

NEW
NEW
NEW Semiparametric Modeling of Implied Volatility

Semiparametric Modeling of Implied Volatility

M. R. Fengler, Sal. Oppenheim jr. & Cie., Frankfurt, Germany

 

The implied volatility surface is a key financial variable for the pricing and the risk management of plain vanilla and exotic options portfolios alike. Consequently, statistical models of the implied volatility surface are of immediate importance in practice: they may appear as estimates of the current surface or as fully specified dynamic models describing its propagation through space and time. This book fills a gap in the financial literature by bringing together both recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces: the first part of the book is devoted to smile-consistent pricing appoaches. The theory of implied and local volatility is presented concisely, and vital smile-consistent modeling approaches such as implied trees, mixture diffusion, or stochastic implied volatility models are discussed in detail. The second part of the book familiarizes the reader with estimation techniques that are natural candidates to meet the challenges in implied volatility modeling, such as the rich functional structure of observed implied volatility surfaces and the necessity for dimen- sion reduction: non- and semiparametric smoothing techniques. The book introduces Nadaraya-Watson, local polynomial and least squares kernel smoothing, and dimension reduction methods such as common principle components, functional principle components models and dynamic semiparametric factor models. Throughout, most methods are illustrated with empirical investigations, simula- tions and pictures.

 

2005. XV, 224 p. 61 illus. (Springer Finance) Softcover

ISBN 3-540-26234-2 € 44,95 | £34.50

NEW
NEW
 

Financial Modeling Under Non-Gaussian Distributions

  Financial Modeling Under Non-Gaussian Distributions E. Jondeau, M. Rockinger , University of Lausanne,

E. Jondeau, M. Rockinger, University of Lausanne, Switzerland; S.-H. Poon, University of Manchester, UK

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. One of the main aims is to bridge the gap between the theoretical develop- ments and the practical implementations of what many users and researchers perceive as “sophisticated” models or black boxes. The book is written for non-mathematicians who want to model finan- cial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series, such as exchange and interest rates. The authors have taken care to make the material accessible to anyone with a basic

2nd

EDITION

Springer Finance

17

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knowledge of statistics, calculus and probability, while at the same time preserving the mathematical rigor and complexity of the original models. This book will be an essential reference for practitioners in the finance industry, especially those responsible for managing portfo- lios and monitoring financial risk, but it will also be useful for math- ematicians who want to know more about how their mathematical tools are applied in finance, and as a text for advanced courses in empirical finance; financial econometrics and financial derivatives.

2006. Approx. 575 p. 129 illus. (Springer Finance) Hardcover

ISBN 1-84628-419-8 € 69,95 | £50.00

Methods of Mathematical Finance

I. Karatzas, Columbia University, New York, NY, USA; S. E. Shreve, Carnegie- Mellon University, Pittsburgh, PA, USA

1st ed. 1998. Corr. 3rd printing 2001. XV, 415 p. (Stochastic Modelling and Applied Probability, Volume 39) Hardcover

ISBN 0-387-94839-2 € 62,95 | £48.50

Asset Pricing

Modeling and Estimation

B. Kellerhals, Deutscher Investment Trust, Frankfurt am Main

This book provides a canonical framework that shows how to bridge the gap between the continuous-time pricing practice in financial engineering and the capital market data inevitably only available at discrete-time intervals. Starting with a comprehensive treatment of the particular stochastic modeling and econometric estimation framework, the main parts of the book cover applications to risky assets traded on the markets for funds, fixed-income products and electricity derivatives. The second edition newly incorporates the financial modeling chapter which elaborates on the vital PDE- and EMM-approaches. The reorganized and improved text further integrates the latest research contributions in the three covered application fields.

contributions in the three covered application fields. 2nd ed. 2004. XIV, 243 p. 10 illus., 30

2nd ed. 2004. XIV, 243 p. 10 illus., 30 tabs. (Springer Finance) Hardcover

ISBN 3-540-20853-4 € 74,95 | £57.50

2nd

EDITION

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2nd EDITION springer.com 18 Springer Finance Irrational Exuberance Reconsidered The Cross Section of Stock Returns M.

Springer Finance

Irrational Exuberance Reconsidered

The Cross Section of Stock Returns

M. Külpmann, CFA, Berlin, Germany

Does the stock market overreact? Recent capital market turbulences have cast doubt whether the behaviour of stock markets is in line with rational investor behaviour. To which extent stock returns are predictable is the question at the heart of the controversy between the paradigms of rational asset pricing and behavioural finance. This new and revised edition discusses the empirical evidence from both perspectives. Theory and empirical analysis are blended with feedback from security analysts to offer a road towards a deeper understanding of the underlying forces to drive performance in the stock market.

2nd ed. 2004. XII, 230 p. (Springer Finance) Hardcover

ISBN 3-540-14007-7 € 69,95 | £54.00

NEW
NEW

Stochastic Calculus of Variations in Mathematical Finance

P. Malliavin, Académie des Sciences, Paris, France; A. Thalmaier, Université de Poitiers, France

Malliavin calculus provides an infinite-dimensional differential calculus in the context of continuous paths stochastic processes. The calculus includes formulae of integration by parts and Sobolev spaces of differentiable functions defined on a probability space. This new book, demonstrating the relevance of Malliavin calculus for Mathematical Finance, starts with an exposition from scratch of this theory. Greeks (price sensitivities) are reinterpreted in terms of Malliavin calculus. Integration by parts formulae provide stable Monte Carlo schemes for numerical valuation of digital options. Finite-dimensional projections of infinite-dimensional Sobolev spaces lead to Monte Carlo computations of conditional expecta- tions useful for computing American options. The discretization error of the Euler scheme for a stochastic differential equation is expressed as a generalized Watanabe distribution on the Wiener space. Insider information is expressed as an infinite-dimensional drift. The last chapter gives an introduction to the same objects in the context of jump processes where incomplete markets appear.

2006. XI, 142 p. (Springer Finance) Hardcover

ISBN 3-540-43431-3 € 44,95 | £34.50

Springer Finance

Mathematical Models of Financial Derivatives

Y.-K. Kwok, Hong Kong University of Science & Technology, China

Mathematical Models of Financial Derivatives is a textbook on the theory behind modeling derivatives and their risk manage- ment, focussing on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analyzed, emphasizing on aspects of pricing, hedging and practical usage. The readers are guided through the text on new advances in analytic techniques and numerical methods for solving various types of derivative pricing models. In this second edition, more emphasis has been placed on the discussion of Ito calculus and Girsanov’s Theorem; and in particular, the concepts of risk neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Most recent research results and concepts are made accessible to the read- ers through extensive, well thought out exercises at the end of each chapter.

well thought out exercises at the end of each chapter. 2nd ed. 2006. Approx. 500 p.

2nd ed. 2006. Approx. 500 p. (Springer Finance) Hardcover

ISBN 3-540-42288-9 approx. € 65,90 | £50.50

19 springer.com NEW 2nd EDITION
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EDITION

Extreme Financial Risks

From Dependence to Risk Management

Y. Malevergne, CNRS and University of Nice-Sophia Antipolis, France; D. Sornette, CNRS and University of Nice-Sophia Antipolis and UCLA, USA

Portfolio analysis and optimization, together with the associated risk assessment and management, require knowledge of the likely distributions of returns at different time scales and insights into the nature and properties of dependences between the different assets.

This book offers an original and thorough treatment of these two domains, focusing mainly on the concepts and tools that remain valid for large and extreme price moves. Strong emphasis is placed on the theory of copulas and their empirical testing and calibration, because they offer intrinsic and complete measures of dependences.

Extreme Financial Risks will be useful to: students looking for a general and in-depth introduction to the field; financial engineers, economists, econometricians, actuarial professionals; researchers and mathematicians looking for a synoptic view comparing the pros and cons of different modelling strategies; and quantitative practitioners for the insights offered on the subtleties and the many dimensional components of both risk and dependence.

2006. XVI, 312 p. Softcover

ISBN 3-540-27264-X € 49,95 | £38.50

NEW
NEW

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Springer Finance

Risk and Asset Allocation A. Meucci , Lehman Brothers, Inc., New York, NY, USA 

Risk and Asset Allocation

A. Meucci, Lehman Brothers, Inc., New York, NY, USA

Meucci’s Risk and Asset Allocation is one of those rare books that

take a completely fresh look at a well-studied problem, optimal finan- cial portfolio allocation based on statistically estimated models of risk and expected return. Designed for graduate students or quantitatively oriented asset managers, Meucci provides a sophisticated and inte- grated treatment, from investment theory, to optimization methods, to statistical analysis of multi-variate return data, through computa- tional implementation of the results. This is rigorous and relevant!

Darrel Duffie, Professor of Graduate Business School, Stanford University

A wonderful book! Mathematically rigorous and yet practical,

heavily illustrated with graphs and worked examples, Attilio Meucci has written a comprehensive treatment of asset allocation starting from statistical concepts, covering investment primitives, and leading to portfolio optimization in a Bayesian context with parameter uncer-

tainty. Bob Litterman, Head of Quantitative Resources, Goldman Sachs Asset Management

At symmys.com the reader will find freely downloadable comple- mentary materials: the Exercise Book; a set of thoroughly docu- mented MATLAB® applications; and the Technical Appendices with all the proofs. More materials and complete reviews can also be found at symmys.com.

2005. XXVI, 532 p. 141 illus. (Springer Finance) Hardcover

ISBN 3-540-22213-8 € 69,95 | £54.00

Fractals and Scaling In Finance

Discontinuity, Concentration, Risk

B. B. Mandelbrot, Yale University, New Haven, CT, USA

1997. X, 551 p. 50 illus. Hardcover

ISBN 0-387-98363-5 € 54,95 | £42.50

Stochastic Processes

From Physics to Finance

W. Paul, J. Baschnagel, University of Mainz, Germany

1999. XIII, 231 pp. 36 figs. Hardcover

ISBN 3-540-66560-9 € 84,95 | £65.50

Springer Finance

Non-Life Insurance Mathematics

An Introduction with Stochastic Processes

T. Mikosch, University of Copenhagen, Denmark

This book offers a mathematical introduction to non-life insurance and, at the same time, to a multitude of applied stochastic processes. It gives detailed discussions of the fundamental models for claim sizes, claim arrivals, the total claim amount, and their probabi- listic properties. Throughout the book the language of stochastic processes is used for describing the dynamics of an insurance port- folio in claim size space and time. In addition to the standard actu- arial notions, the reader learns about the basic models of modern non-life insurance mathematics: the Poisson, compound Poisson and renewal processes in collective risk theory and heterogeneity and Bühlmann models in experience rating. The reader gets to know how the underlying probabilistic structures allow one to determine premiums in a portfolio or in an individual policy. Special emphasis is given to the phenomena which are caused by large claims in these models. What makes this book special are more than 100 figures and tables illustrating and visualizing the theory. Every section ends with extensive exercises. They are an integral part of this course since they support the access to the theory.

The book can serve either as a text for an undergraduate/graduate course on non-life insurance mathematics or applied stochastic processes. Its content is in agreement with the European “Groupe Consultatif ” standards. An extensive bibliography, annotated by various comments sections with references to more advanced relevant literature, make the book broadly and easiliy accessible.

literature, make the book broadly and easiliy accessible. 2004. XI, 235 p. (Universitext) Softcover ISBN 3-540-40650-6

2004. XI, 235 p. (Universitext) Softcover

ISBN 3-540-40650-6 € 49,95 | £38.50

21

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3-540-40650-6  € 49,95 | £38.50 21 springer.com Non-Life Insurance Mathematics E. Straub , Zürich,

Non-Life Insurance Mathematics

E. Straub, Zürich, Switzerland

1st ed. 1988. Corr. 2nd printing 1997. VIII, 136 pp. Hardcover

ISBN 3-540-18787-1 € 109,95 | £84.50

Life Insurance Mathematics

H. U. Gerber, University of Lausanne, Switzerland

3rd ed. 1997. XVII, 221 p. Hardcover

ISBN 3-540-62242-X € 44,95 | £34.50

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22

Springer Finance

2nd

EDITION

2nd EDITION Martingale Methods in Financial Modelling M. Musiela , BNP Paribas, London, UK; M. Rutkowski

Martingale Methods in Financial Modelling

M. Musiela, BNP Paribas, London, UK; M. Rutkowski, University of New South Wales, Sydney, Australia

In the 2nd edition some sections of Part I are omitted for better readability, and a brand new chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with constant volatility.

The theme of stochastic volatility also reappears systematically in the second part of the book, which has been revised fundamentally, presenting much more detailed analyses of the various interest-rate models available: the authors’ perspective throughout is that the choice of a model should be based on the reality of how a particu- lar sector of the financial market functions, never neglecting to examine liquid primary and derivative assets and identifying the sources of trading risk associated. This long-awaited new edition of an outstandingly successful, well-established book, concentrating on the most pertinent and widely accepted modelling approaches, provides the reader with a text focused on practical rather than theoretical aspects of financial modelling.

2nd ed. 2005. XVI, 636 p. (Stochastic Modelling and Applied Probability, Volume 36) Hardcover

ISBN 3-540-20966-2 € 74,95 | £57.50

36) Hardcover ISBN 3-540-20966-2  € 74,95 | £57.50 Efficient Methods for Valuing Interest Rate Derivatives

Efficient Methods for Valuing Interest Rate Derivatives

A. Pelsser, Erasmus University, Rotterdam, The Netherlands

Efficient Methods for Valuing Interest Rate Derivatives provides an overview of the models that can be used for valuing and manag- ing interest rate derivatives. Split into two parts, the first discusses and compares the traditional models, such as spot- and forward-rate models, while the second concentrates on the more recently devel- oped Market models. Unlike most of his competitors, the author’s focus is not only on the mathematics: Antoon Pelsser draws on his experience in industry to explore the practical issues, such as the implementation of models, and model selection.

2000. XII, 184 p., Uncorr. 3rd printing (Springer Finance) Hardcover

ISBN 1-85233-304-9 € 72,95 | £56.00

Springer Finance

A Benchmark Approach Quantitative Finance

E. Platen, D. Heath, University of Technology Sydney, NSW, Australia

The benchmark approach provides a general framework for financial market modeling, which extends beyond the standard risk neutral pricing theory. It permits a unified treatment of portfolio optimiza- tion, derivative pricing, integrated risk management and insurance risk modeling. The existence of an equivalent risk-neutral pricing measure is not required. Instead, it leads to pricing formulae with respect to the real world probability measure. This yields important modeling freedom which turns out to be necessary for the deriva- tion of realistic, parsimonious market models. The first part of the book describes the necessary tools from probability theory, statistics, stochastic calculus and the theory of stochastic differential equations with jumps. The second part is devoted to financial modeling under the benchmark approach. Various quantitative methods for the fair pricing and hedging of derivatives are explained. The general frame- work is used to provide an understanding of the nature of stochastic volatility. The book is intended for a wide audience that includes quantitative analysts, postgraduate students and practitioners in finance, economics and insurance. It aims to be a self-contained, accessible but mathematically rigorous introduction to quantitative finance for readers that have a reasonable mathematical or quantita- tive background. Finally, the book should stimulate interest in the benchmark approach by describing some of its power and wide applicability.

2006. Approx. 650 p. (Springer Finance) Hardcover

ISBN 3-540-26212-1 € 69,95 | £54.00

23 springer.com NEW
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NEW

Weak Convergence of Financial Markets

J. Prigent, THEMA, University of Cergy, France

A comprehensive overview of weak convergence of stochastic processes and its application to the study of financial markets. Split into three parts, the first recalls the mathematics of stochastic processes and stochastic calculus with special emphasis on contigu- ity properties and weak convergence of stochastic integrals. The second part is devoted to the analysis of financial theory from the convergence point of view. The main problems such as portfolio optimization, option pricing and hedging are examined. The third part deals with lattice- and tree-based computational procedures for option pricing both on stocks and stochastic bonds. More general discrete approximations are also introduced and detailed.

2003. XIV, 422 p. 9 illus. (Springer Finance) Hardcover

ISBN 3-540-42333-8 € 99,95 | £77.00

and detailed. 2003. XIV, 422 p. 9 illus. (Springer Finance) Hardcover ISBN 3-540-42333-8  € 99,95

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24

Springer Finance

 
 

Development Finance

 

P. Rao, Global Development Institute, New Jersey, USA

Improved understanding of the key role of financial aspects in the growth and development of economic systems is an impor- tant aspect of economic analysis. This textbook on development finance provides a comprehensive coverage of this area of econom- ics. The book integrates relevant theoretical approaches and their policy applications. A unique perspective combines transaction cost economics and neoclassical economics. The author also treats important policy issues of national and international relevance.

2003. XVI, 209 p. 2 illus. Hardcover

2003.

XVI, 209 p. 2 illus. Hardcover

ISBN 3-540-40153-9 € 69,95 | £54.00

 
 

Introduction to the Mathematics of Finance

From Risk Management to Options Pricing

 

Best of 2005 Book Awards by riskbook.com

S. Roman, California State University, Fullerton, CA, USA

This book is specifically written for advanced undergraduate or beginning graduate students in mathematics, finance or econom- ics. With the exception of an optional chapter on the Capital Asset Pricing Model, the book concentrates on discrete derivative pricing models, culminating in a careful and complete derivation of the Black-Scholes option pricing formulas as a limiting case of the Cox-Ross-Rubinstein discrete model. The final chapter is devoted to American options. The mathematics is not watered down, but is appropriate for the intended audience. No measure theory is used, and only a small amount of linear algebra is required. All necessary probability theory is developed throughout the book on a “need-to-know” basis. No background in finance is required, since the book also contains a chapter on options.

required, since the book also contains a chapter on options. 2004. XV, 354 p. 55 illus.

2004. XV, 354 p. 55 illus. (Undergraduate Texts in Mathematics)

Hardcover:

ISBN 0-387-21375-9 € 79,95 | £61.50

Softcover:

ISBN 0-387-21364-3 € 49,95 | £38.50

2nd

EDITION

Springer Finance

Statistics and Finance

An Introduction

D. Ruppert, Cornell University, Ithaca, NY, USA

From the reviews

The book is well-written and clear

the

clear

writing with illustrative examples and pictures strongly recommend the book as a basis for finance-motivated statistics classes at the

undergraduate level. SIAM Review, Vol. 47, No. 2

the undergraduate level.  SIAM Review , Vol. 47, No. 2 2004. XXI, 473 p. (Springer

2004. XXI, 473 p. (Springer Texts in Statistics) Hardcover

ISBN 0-387-20270-6 € 69,95 | £54.00

25

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0-387-20270-6  € 69,95 | £54.00 25 springer.com Advances in Finance and Stochastics Essays in Honour

Advances in Finance and Stochastics

Essays in Honour of Dieter Sondermann

K. Sandmann, Johannes Gutenberg-Universität Mainz, Germany;

P. J. Schönbucher, ETH Zürich, Switzerland (Eds.)

With contributions by: F. Delbaen; H. Föllmer/A. Schied; P. Embrechts/ S.Y. Novak; J. Werner; J.-C. Duan/S.R. Pliska; D.B. Madan/F. Milne/R.J. Elliott:

Y.M. Kabanov/C. Stricker: R. Frey/P. Patie; L.-C.-G. Rogers/O. Zane; R. Bhar/

C.

Chiarella/W. Runggaldier; E. Schlögl; J. A. Nielsen/K. Sandmann;

M.

Schweizer; L.A. Shepp/A.N. Shiryaev/A. Sulem; K. Schürger; G. Peskir/

A.N. Shiryaev

2002. XIX, 312 p. 32 illus. Hardcover

ISBN 3-540-43464-X € 54,95 | £42.50

Credit Risk Pricing Models

B. Schmid, riskLab germany GmbH, München, Germany

Credit Risk Pricing Models gives a deep insight into the latest basic and advanced credit risk modelling techniques covering not only the standard structural, reduced form and hybrid approaches but also showing how these methods can be applied to practice. The text covers a broad range of financial instruments, including all kinds of defaultable fixed and floating rate debt, credit derivatives and collateralised debt obligations.This volume will be a valuable source for the financial community involved in pricing credit linked financial instruments. In addition, the book can be used by students and academics for a comprehensive overview of the most important credit risk modelling issues.

overview of the most important credit risk modelling issues. 2nd ed. 2004. XI, 383 p. 101

2nd ed. 2004. XI, 383 p. 101 illus., 65 tabs. (Springer Finance) Hardcover

ISBN 3-540-40466-X € 79,95 | £61.50

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Springer Finance

Tools for Computational Finance

R. U. Seydel, Universität zu Köln, Germany

This book is very easy to read and one can gain a quick snapshot of computational issues arising in financial mathematics. Researchers or students of the mathematical sciences with an interest in finance will find this book a very helpful and gentle guide to the world of financial

engineering.SIAM review (46, 2004)

The third edition is thoroughly revised and significantly extended. The largest addition is a new section on analytic methods with main focus on interpolation approach and quadratic approximation. New sections and subsections are among others devoted to risk-neutral- ity, early-exercise curves, multidimensional Black-Scholes models, the integral representation of options and the derivation of the Black-Scholes equation.

New figures, more exercises, more background material make this “guide to the world of financial engineering” a real must-to-have for everyone working in FE.

a real must-to-have for everyone working in FE. 3rd ed. 2006. Approx. 300 p. (Universitext) Softcover

3rd ed. 2006. Approx. 300 p. (Universitext) Softcover

ISBN 3-540-27923-7 € 42,95 | £33.00

Stochastic Calculus for Finance I The Binomial Asset Pricing Model S. E. Shreve , Carnegie

Stochastic Calculus for Finance I

The Binomial Asset Pricing Model

S. E. Shreve, Carnegie Mellon University, Pittsburgh, PA, USA

2004. XV, 187 p. 33 illus. (Springer Finance) Hardcover

ISBN 0-387-40100-8 € 39,95 | £30.50

Softcover:

ISBN 0-387-24968-0 € 26,95 | £20.50

Stochastic Calculus for Finance II

Continuous-Time Models

S. E. Shreve, Carnegie Mellon University, Pittsburgh, PA, USA

From the reviews In summary, this is a well-written text that treats the key classical models of finance through an applied probability approach. It is accessible to a broad audience and has been developed

after years of teaching the subject

. SIAM, 2005

2004. XIX, 550 p. 28 illus. (Springer Finance) Hardcover

ISBN 0-387-40101-6 € 54,95 | £42.50

Springer Finance

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Stochastic Calculus and Financial Applications

J. M. Steele, University of Pennsylvania, Philadelphia, PA, USA

From the reviews …the results are presented carefully and thor- oughly, and I expect that readers will find that this combination of a careful development of stochastic calculus with many details and examples is very useful and will enable them to apply the whole theory

confidently. MATHEMATICAL REVIEWS

1st ed. 2001. Corr. 3rd printing 2003. IX, 300 p. 3 figs. (Stochastic Modelling and Applied Probability, Volume 45) Hardcover

ISBN 0-387-95016-8 € 74,95 | £52.50

Exponential Functionals of Brownian Motion and Related Processes

M. Yor, Université Paris VI, France

This volume collects papers about the laws of geometric Brown- ian motions and their time-integrals, written by the author and coauthors between 1988 and 1998. These functionals play an important role in Mathematical Finance, as well as in (probabilistic) studies related to hyperbolic geometry, and also to random media. Throughout the volume, connections with more recent studies involving exponential functionals of Lévy processes are indicated. Some papers originally published in French are made available in English for the first time.

2001. IX, 203 pp. (Springer Finance) Softcover

ISBN 3-540-65943-9 € 49,95 | £38.50

Interest-Rate Management

R. Zagst, RiskLab GmbH, Munich, Germany

This book combines a rigorous overview of the mathematics of financial markets with an insight into the practical application of these models to the risk and portfolio management of interest-rate derivatives. It can also serve as a valuable textbook for graduate and PhD students in mathematics who want to get some knowledge about financial markets. The first part of the book is an exposition of advanced stochastic calculus. It defines the theoretical framework for the pricing and hedging of contingent claims with a special focus on interest-rate markets. The second part covers a selection of short and long-term oriented risk measures as well as their application to the risk management of interest-rate portfolios. Interesting and comprehensive case studies are provided to illustrate the theoretical concepts.

2002. XV, 341 pp. (Springer Finance) Hardcover

ISBN 3-540-67594-9 € 59,95 | £46.00

the theoretical concepts. 2002. XV, 341 pp. (Springer Finance) Hardcover ISBN 3-540-67594-9  € 59,95 |

2nd

EDITION

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2nd EDITION springer.com 28 Springer Finance A Game Theory Analysis of Options Corporate Finance and Financial

Springer Finance

A Game Theory Analysis of Options

Corporate Finance and Financial Intermediation in Continuous Time

A. Ziegler, University of Lausanne, Switzerland

This book shows how to combine game theory and option pricing in order to analyze dynamic multiperson decision problems in continuous time and under uncertainty. The basic intuition of the method is to separate the problem of the valuation of payoffs from the analysis of strategic interactions. Whereas the former is to be handled using option pricing, the latter can be addressed by game theory. The text shows how both instruments can be combined and how game theory can be applied to complex problems of corporate finance and financial intermediation. Besides providing theoretical foundations and serving as a guide to stochastic game theory model- ling in continuous time, the text contains numerous applications to the theory of corporate finance and financial intermediation. By combining arbitrage-free valuation techniques with strategic analy- sis, the game theory analysis of options actually provides the link between markets and organizations.

2nd ed. 2004. XVI, 174 p. 42 illus. (Springer Finance) Hardcover

ISBN 3-540-20668-X € 69,95 | £54.00

Hardcover ISBN 3-540-20668-X  € 69,95 | £54.00 Derivative Securities and Difference Methods Y. Zhu ,

Derivative Securities and Difference Methods

Y.

Zhu, University of North Carolina at Charlotte, Charlotte, NC, USA;

X.

Wu, Hong Kong Baptist University, Kowloon, Hong Kong, China; I. Chern,

National Taiwan University, Taipei, Taiwan

This book is devoted to determining the prices of financial deriva- tives using a partial differential equation approach. In the first part the authors describe the formulation of the problems (including related free-boundary problems) and derive the closed form solu- tions if they have been found. The second part discusses how to obtain their numerical solutions efficiently for both European-style and American-style derivatives and for both stock options and interest rate derivatives. The numerical methods discussed are finite- difference methods. The book also discusses how to determine the coefficients in the partial differential equations. The aim of the book is to provide readers who have some code writing experience for engineering computations with the skills to develop efficient derivative-pricing codes. The book includes exercises throughout and will appeal to students and researchers in quantitative finance as well as practitioners in the financial industry and code developers.

2004. XVIII, 513 p. 92 illus. (Springer Finance) Hardcover

ISBN 0-387-20842-9 € 79,95 | £61.50

2nd

EDITION

Springer Finance

Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance

A. Ziegler, University of Lausanne, Switzerland

This book considers the impact of incomplete information and heterogeneous beliefs on investor’s optimal portfolio and consump- tion behavior and equilibrium asset prices. After a brief review of the existing incomplete information litera- ture, the effect of incomplete information on investors’ exptected utility, risky asset prices, and interest rates is described. It is demonstrated that increasing the quality of investors’ information need not increase their expected utility and the prices of risky assets. The impact of heterogeneous beliefs on investors’ portfolio and consumption behavior and equilibrium asset prices is shown to be non-trivial. It is also demonstrated that financial markets in general do not aggregate information efficiently, a fact that can explain the equity premium puzzle. Heterogeneous beliefs can explain a number of observed phenom- ena, such as the fact that equilibrium state-price densities are not log-normal, the “smile” in option implied volatility, and the patterns of implied risk aversion reported recently in the literature.

2003. XIII, 194 p. 51 illus. (Springer Finance) Hardcover

ISBN 3-540-00344-4 € 74,95 | £57.50

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3-540-00344-4  € 74,95 | £57.50 29 springer.com Modeling Financial Time Series with S-PLUS® E. Zivot

Modeling Financial Time Series with S-PLUS®

E. Zivot, University of Washington, Seattle, WA, USA; J. Wang, Ronin Capital LLC, Chicago, IL, USA

This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This second edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments.

2nd ed. 2006. XXII, 998 p. 270 illus. Softcover

ISBN 0-387-27965-2 € 59,95 | £46.00

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NEW

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Lectures on Probability Theory and Statistics

Ecole d’Eté de Probabilités de Saint-Flour XXX - 2000

S.

Albeverio, University of Bonn, Germany; W. Schachermayer, Vienna

University of Technology, Austria; M. Talagrand, Université Paris VI, France

P.

Bernard, Université Blaise-Pascal, Clermont-Ferrant, Aubière, France (Ed.)

From the contents S. Albeverio: Theory of Dirichlet forms and applica- tions W. Schachermayer: Introduction to the Mathematics of Financial Markets M. Talagrand: Mean field models for spin glasses: a first course.

 

2003.

VIII, 296 p. (Lecture Notes in Mathematics, Volume 1816) Softcover

 

ISBN 3-540-40335-3 € 43,95 | £34.00

 

Forthcoming

Stochastic Simulation

 

Algorithms and Analysis

S. Asmussen, P. W. Glynn

The book covers a broad aspect of topics and applications in simula- tion at a higher mathematical level than other recent texts in the area. Its readership is intended for graduate students and research- ers from a broad variety of areas, in particular applied probability, statistics, mathematical finance, operations research, industrial engineering, electrical engineering and other application areas. The book contains a large amount of exercises and illustrations.

2007. Approx. 300 p. 44 illus. (Stochastic Modelling and Applied Prob-

ability,) Hardcover

ISBN 0-387-30679-X approx. € 46,95 | £36.00

Séminaire de Probabilités XXXVI

J. Azéma, Université Pierre et Marie Curie, Paris, France; M. Émery, Univer-

sité Louis Pasteur, Strasbourg, France; M. Ledoux, Université Paul Sabatier, Toulouse, France; M. Yor, Université Pierre et Marie Curie, Paris, France (Eds.)

2003. VIII, 499 p. (Lecture Notes in Mathematics / Séminaire de Probabilités,

Volume 1801) Softcover

ISBN 3-540-00072-0 € 69,95 | £54.00

2nd

EDITION

4th

EDITION

Related Titles from Mathematics and Statistics

Measure, Integral and Probability

M. Capinski, Nowy Sacz, Poland; P. E. Kopp, University of Hull, UK

Measure, Integral and Probability is a gentle introduction that makes measure and integration theory accessible to the average third-year undergraduate student. The ideas are developed at an easy pace in a form that is suitable for self-study, with an emphasis on clear explanations and concrete examples rather than abstract theory.

For this second edition, the text has been thoroughly revised and expanded. New features include: a substantial new chapter, featuring a constructive proof of the Radon-Nikodym theorem, an analysis of the structure of Lebesgue-Stieltjes measures, the Hahn-Jordan decomposition, and a brief introduction to martingales; key aspects of financial modelling, including the Black-Scholes formula, discussed briefly from a measure-theoretical perspective to help the reader understand the underlying mathematical framework.

the reader understand the underlying mathematical framework. 2nd ed. 2004. XV, 311 p. 23 illus. (Springer

2nd ed. 2004. XV, 311 p. 23 illus. (Springer Undergraduate Mathematics Series) Softcover

ISBN 1-85233-781-8 € 39,95 | £18.95

31

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1-85233-781-8  € 39,95 | £18.95 31 springer.com Statistical Analysis of Financial Data in S-Plus R.

Statistical Analysis of Financial Data in S-Plus

R. A. Carmona, Princeton University, NJ, USA

2004. XVI, 451 p.144 illus. (Springer Texts in Statistics) Hardcover

ISBN 0-387-20286-2 € 69,95 | £54.00

Elementary Probability Theory

With Stochastic Processes and an Introduction to Mathematical Finance

K. L. Chung, Stanford University, CA, USA; F. AitSahlia, University of Florida,

Gainesville, FL, USA

From the reviews This edition is the third revision of a text on mathematical probability first published in 1974. The text is aimed at undergraduate mathematics students and is accessible to a general audience. The prose is accurate, entertaining, and dense with historical tidbits. Two concluding chapters on mathematical finance have been added to the eight chapters in the third edition by the second author.

The American Statistician, May 2004

4th ed. 2003. XIII, 402 p. 114 illus., 57 in color. (Undergraduate Texts in Mathematics) Hardcover

ISBN 0-387-95578-X € 79,95 | £61.50

springer.com 32 NEW 2nd EDITION
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Related Titles from Mathematics and Statistics

Controlled Markov Processes and Viscosity Solutions

W. H. Fleming, Brown University, Providence, RI, USA; H. Soner, Koc Univer- sity, Istanbul, Turkey

This book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions. Stochastic control problems are treated using the dynamic programming approach. The authors approach stochastic control problems by the method of dynamic programming. The fundamental equation of dynamic programming is a nonlinear evolution equation for the value function. For controlled Markov diffusion processes, this becomes a nonlinear partial differential equation of second order, called a Hamilton-Jacobi-Bellman (HJB) equation. Typically, the value function is not smooth enough to satisfy the HJB equation in a classical sense. Viscosity solutions provide framework in which to study HJB equations, and to prove continuous dependence of solutions on problem data. The theory is illustrated by applications from engineering, management science, and financial economics. In this second edition, new material on applications to mathemati- cal finance has been added. Concise introductions to risk-sensitive control theory, nonlinear H-infinity control and differential games are also included.

2nd ed. 2006. XVII, 429 p. (Stochastic Modelling and Applied Probability, Volume 25) Hardcover

ISBN 0-387-26045-5 € 66,95 | £51.50

Stochastic Methods in Finance

Lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003

M. Frittelli, University of Florence, Italy; W. Runggaldier, University of Padova, Italy (Eds.)

From the contents Preface Kerry Back: Incomplete and Asymmetric Information in Asset Pricing Theory Tomasz R. Bielecki, Monique Jean- blanc, Marek Rutkowski: Modeling and Valuation of Credit Risk Christian Hipp: Stochastic Control with Application in Insurance Shige Peng:

Nonlinear Expectations, Nonlinear Evaluations and Risk Measures Walter Schachermayer: Utility Maximisation in Incomplete Markets

2004. XIII, 307 p. (Lecture Notes in Mathematics / Fondazione C.I.M.E., Firenze, Volume 1856) Softcover

ISBN 3-540-22953-1 € 49,95 | £38.50

2nd

EDITION

Related Titles from Mathematics and Statistics

33

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Nonlinear Time Series

Nonparametric and Parametric Methods

J. Fan, Princeton University, Princeton, NJ, USA; Q. Yao, London School of Economics, London, UK

1st ed. 2003. 2nd printing 2005. 2005. XIX, 552 p. (Springer Series in Statistics) Softcover

ISBN 0-387-26142-7 € 42,95 | £33.00

Stochastic Processes

Lectures given at Aarhus University

K. Itô, Kyoto, Japan; O. E. Barndorff-Nielsen, University of Aarhus,

Denmark; K. Sato, Tenpaku-ku, Japan (Eds.)

From the reviews The book can be recommended as a fine introduc- tion to such important branches of stochastic process theory as the theories of processes with independent increments and of Markov processes. It will be a valuable acquisition for any mathematical library. The text of the book has been carefully prepared by the editors

… . M.G. Shur, Mathematical Reviews, 2005e

2004. XII, 234 p. Hardcover

ISBN 3-540-20482-2 € 59,95 | £46.00

p. Hardcover ISBN 3-540-20482-2  € 59,95 | £46.00 Probability Essentials J. Jacod , Université Paris

Probability Essentials

J. Jacod, Université Paris VI, Paris, France; P. Protter, Cornell University, Ithaca, NY, USA

From the reviews The authors provide the shortest path through the twenty-eight chapter headings. The topics are treated in a mathemati-

cally and pedagogically digestible way. The writing is concise and crisp:

Numerous exercises

add to the value of the text as a teaching tool. In conclusion, this is an excellent text for the intended audience. Short Book Reviews, Vol. 21,

No. 2, 2001

the average chapter length is about eight

2nd ed. 2003. Corr. 2nd printing 2004. X, 254 p. (Universitext) Softcover

ISBN 3-540-43871-8 € 34,95 | £27.00

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From Stochastic Calculus to Mathematical Finance

The Shiryaev Festschrift

Y. Kabanov, Université de Franche-Comté, Besançon, France; R. Liptser,

Tel Aviv University, Israel; J. Stoyanov, University of Newcastle, UK (Eds.)

Dedicated to the eminent Russian mathematician Albert Shiryaev on the occasion of his 70th birthday, the Festschrift is a collection of papers, including several surveys, written by his former students, co-authors and colleagues. These reflect the wide range of scientific interests of the teacher and his Moscow school. The topics range from the disorder problems to stochastic calculus and their applica- tions to mathematical economics and finance. A full biobibliography of Shiryaev’s works is included. The book represents the modern state of art of many aspects of a quickly maturing theory and will be an essential source and read- ing for researchers in this area. The diversity of the topics and the comprehensive style of the papers make the book amenable and attractive for PhD students and young researchers.

2006. XXXVIII, 634 p. 15 illus. Hardcover

ISBN 3-540-30782-6 € 79,95 | £61.50

Brownian Motion and Stochastic Calculus

I. Karatzas, Columbia University, New York, NY, USA; S. E. Shreve, Carnegie Mellon University, Pittsburgh, PA, USA

2nd ed. 1991. Corr. 8th printing 2005. XXIII, 470 p. 10 illus. (Graduate Texts in Mathematics, Volume 113) Softcover

ISBN 0-387-97655-8 € 46,95 | £36.00

Numerical Solution of Stochastic Differential Equations

P.

E. Kloeden, Johann-Wolfgang-Goethe-Universität, Frankfurt, Germany;

E.

Platen, University of Technology Sydney, NSW, Australia

1st ed. 1992. Corr. 3rd printing 1999. XXXVI, 636 pp. 85 figs. (Stochastic Modelling and Applied Probability, Volume 23) Hardcover

ISBN 3-540-54062-8 € 79,95 | £61.50

Related Titles from Mathematics and Statistics

35

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Introduction to Stochastic Integration

H. Kuo, Louisiana State University, Baton Rouge, LA, USA

The theory of stochastic integration, also called the Itô calculus, has a large spectrum of applications in virtually every scientific area involving random functions, but it can be a very difficult subject for people without much mathematical background. The Itô calculus was originally motivated by the construction of Markov diffusion processes from infinitesimal generators. Previously, the construction of such processes required several steps, whereas Itô constructed these diffusion processes directly in a single step as the solutions of stochastic integral equations associated with the infinitesimal generators. Moreover, the properties of these diffusion processes can be derived from the stochastic integral equations and the Itô formula. This introductory textbook on stochastic integration provides a concise introduction to the Itô calculus, and covers the following topics: Constructions of Brownian motion Stochastic integrals for Brownian motion and martingales The Itô formula Multiple Wiener-Itô integrals Stochastic differential equations Applications to finance, filtering theory, and electric circuits.

 Stochastic differential equations  Applications to finance, filtering theory, and electric circuits.
NEW
NEW
 
2006. XIII, 279 p. (Universitext) Softcover

2006.

XIII, 279 p. (Universitext) Softcover

ISBN 0-387-28720-5 € 42,95 | £33.00

 

Introductory Lectures on Fluctuations of Lévy Processes with Applications

NEW
NEW

A. Kyprianou, Heriot-Watt University, Edinburgh, UK

 

This text book forms the basis of a graduate course on the theory and applications of Lévy processes, from the perspective of their path fluctuations. Central to the presentation are decompositions of the paths of Lévy processes in terms of their local maxima and an understanding of their short- and long-term behaviour.

The book aims to be mathematically rigourous while still providing an intuitive feel for underlying principles. The results and applica- tions often focus on the case of Lévy processes with jumps in only one direction, for which recent theoretical advances have yielded a higher degree of mathematical transparency and explicitness. Each chapter has a comprehensive set of exercises with complete solu- tions.

a comprehensive set of exercises with complete solu- tions. 2006. XIV, 377 p. (Universitext) Softcover ISBN
a comprehensive set of exercises with complete solu- tions. 2006. XIV, 377 p. (Universitext) Softcover ISBN

2006. XIV, 377 p. (Universitext) Softcover

ISBN 3-540-31342-7 € 39,95 | £30.50

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Related Titles from Mathematics and Statistics

Statistics of Random Processes I. General Theory R. S. Liptser, University of Tel Aviv, Israel;
Statistics of Random Processes
I. General Theory
R. S. Liptser, University of Tel Aviv, Israel; A. N. Shiryaev, Steklov Math-
ematical Institute, Moscow, Russia
2nd rev. and exp. ed. 2001. XV, 427 pp. (Stochastic Modelling and Applied
Probability, Volume 5) Hardcover
ISBN 3-540-63929-2  € 79,95 | £61.50
Statistics of Random Processes
II. Applications
From the reviews  Written by two renowned experts in the field,
the books […] contain a thorough and insightful treatment of the
fundamental underpinnings of various aspects of stochastic processes
as well as a wide range of applications. Providing clear exposition,
deep mathematical results, and superb technical representation, they
are masterpieces of the subject of stochastic analysis and nonlinear
filtering.  Siam Review
2nd rev. and exp. ed. 2001. XV, 402 pp. (Stochastic Modelling and Applied
Probability, Volume 6) Hardcover
ISBN 3-540-63928-4  € 79,95 | £61.50
NEW
NEW

Aspects of Brownian Motion

R. Mansuy, M. Yor, Université Paris VI, Paris, France

Stochastic calculus and excursion theory are very efficient tools to obtain either exact or asymptotic results about Brownian motion and related processes. The emphasis of this book is on special classes of Brownian functionals like: Gaussian subspaces of the Gaussian space of Brownian motion; Brownian quadratic funtionals; Brown- ian local times, Exponential functionals of Brownian motion with drift; Winding number of one or several Brownian motions around one or several points or a straight line, or curves; Time spent by Brownian motion below a multiple of its one-sided supremum.

Besides its obvious audience of students and lecturers the book also addresses the interests of researchers from core probability theory out to applied fields such as polymer physics and mathematical finance.

fields such as polymer physics and mathematical finance. 2006. Approx. 300 p. (Universitext) Softcover ISBN

2006. Approx. 300 p. (Universitext) Softcover

ISBN 3-540-22347-9 € 39,95 | £30.50

corr. 3rd printing

2005

Related Titles from Mathematics and Statistics

Forward-Backward Stochastic Differential Equations and Their Applications

J. Ma, Purdue University, West Lafayette, IN, USA; J. Yong, Fudan University,

Shanghai, People’s Republic of China

37

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1st ed. 1999. Corr. 3nd printing 2005. XIII, 270 pp. (Lecture Notes in Math- ematics, Volume 1702) Softcover

ISBN 3-540-65960-9 € 40,95 | £31.50

Theory of Random Sets

I. Molchanov, University of Berne, Switzerland

2005. XVI, 488 p. 33 illus. (Probability and its Applications) Hardcover

ISBN 1-85233-892-X € 89,95 | £50.00

Monte Carlo and Quasi-Monte Carlo Methods 2004

H. Niederreiter, National University of Singapore, Singapore; D. Talay, INRIA, Sophia Antipolis, France (Eds.)

2006. IX, 514 p. 73 illus. Softcover

ISBN 3-540-25541-9 € 99,95 | £77.00

Applied Stochastic Control of Jump Diffusions

B. Øksendal, University of Oslo, Norway; A. Sulem, INRIA Rocquencourt,

Le Chesnay, France

The main purpose of the book is to give a rigorous, yet mostly nontechnical, introduction to the most important and useful solu- tion methods of various types of stochastic control problems for jump diffusions and its applications. The types of control problems covered include classical stochastic control, optimal stopping, impulse control and singular control. Both the dynamic program- ming method and the maximum principle method are discussed, as well as the relation between them. Corresponding verification theorems involving the Hamilton-Jacobi Bellman equation and/or (quasi-)variational inequalities are formulated. There are also chap- ters on the viscosity solution formulation and numerical methods. The text emphasises applications, mostly to finance. All the main results are illustrated by examples and exercises appear at the end of each chapter with complete solutions. This will help the reader understand the theory and see how to apply it.

2005. X, 208 p. (Universitext) Softcover

ISBN 3-540-14023-9 € 39,95 | £30.50

the theory and see how to apply it. 2005. X, 208 p. (Universitext) Softcover ISBN 3-540-14023-9

corr. 3rd printing

2005

springer.com

38

3 r d p r i n t i n g 2005 springer.com 38 Related Titles

Related Titles from Mathematics and Statistics

Stochastic Integration and Differential Equations

Second Edition, Version 2.1

P. E. Protter, Cornell University, Ithaca, NY, USA

From the reviews of the second edition A fast and nice introduction

to semimartingales and stochastic integration … . The second edition of the book has a number of changes and new topics … . The book is highly recommendable for graduate students and experts alike. It is a pleasure to read, with many examples, and all arguments are

presented clearly and with

METHODEN, 2004

Prof. Dr. M. Vanmaele, KWANT

2nd ed. 2003. Corr. 3rd printing 2005. XIII, 419 p. (Stochastic Modelling and Applied Probability, Volume 21) Hardcover

ISBN 3-540-00313-4 € 64,95 | £50.00

Stochastic Networks and Queues

P. Robert, INRIA, Le Chesnay, France

Queues and stochastic networks are analyzed in this book with purely probabilistic methods. The purpose of these lectures is to show that general results from Markov processes, martingales or ergodic theory can be used directly to study the corresponding stochastic processes. Recent developments have shown that, instead of having ad-hoc methods, a better understanding of fundamental results on stochastic processes is crucial to study the complex behav- ior of stochastic networks.

2003. XIX, 398 p. (Stochastic Modelling and Applied Probability, Volume 52) Hardcover

ISBN 3-540-00657-5 € 69,95 | £54.00

NEW
NEW

Stochastic Finance

A. Shiryaev, Academy of Science of Russia, Moscow, Russia; M. Grossinho,

Technical University of Lisbon, Portugal; P. Oliveira, Universidade de Coimbra, Portugal; M. Esquível, Universidade Nova de Lisboa, Caparica, Portugal (Eds.)

Since the pioneering work of Black, Scholes, and Merton in the field of financial mathematics, research has led to the rapid development of a substantial body of knowledge, with plenty of applications to the common functioning of the world’s financial institutions. Mathematics, as the language of science, has always played a role in the development of knowledge and technology. Presently, the high-tech character of modern business has increased the need

Related Titles from Mathematics and Statistics

39

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for advanced methods, which rely to a large extent on mathemati- cal techniques. It has become essential for the financial analyst to possess a high degree of proficiency in these mathematical techniques.

2006. XIV, 364 p. Hardcover

ISBN 0-387-28262-9 € 82,95 | £64.00

Modern Portfolio Optimization with NuOPT™, S-PLUS®, and S+Bayes™

B. Scherer, Deutsche Asset Management, Frankfurt, Germany; R. D. Martin,

University of Washington, Seattle, WA, USA

The authors take a huge step in the long struggle to establish applied post-modern portfolio theory. The optimization and statistical techniques generalize the normal linear model to include robustness, non-normality, and semi-conjugate Bayesian analysis via MCMC. The techniques are very clearly demonstrated by the extensive use and tight integration of S-Plus software. Their book should be an enormous help to students and practitioners trying to move beyond traditional

modern portfolio theory. Peter Knez, CIO, Global Head of Fixed Income, Barclays Global Investors

2005. XXII, 410 p. 161 illus. Hardcover

ISBN 0-387-21016-4 € 62,95 | £48.50

Hardcover ISBN 0-387-21016-4  € 62,95 | £48.50 Predictions in Time Series Using Regression Models F.

Predictions in Time Series Using Regression Models

F. Stulajter, Comenius University, Bratislava, Slovak Republic

2002. IX, 231 p. 9 illus. Hardcover

ISBN 0-387-95350-7 € 59,95 | £46.00

Stochastic Modeling and Optimization

With Applications in Queues, Finance, and Supply Chains

D. D. Yao, Columbia University, New York, NY, USA; H. Zhang, Chinese

Academy of Sciences, Beijing, China; X. Y. Zhou, The Chinese University of Hong Kong, Shatin, Hong Kong (Eds.)

This book covers the broad range of research in stochastic models and optimization. Applications covered include networks, financial engineering, production planning and supply chain management. Each contribution is aimed at graduate students working in opera- tions research, probability, and statistics.

2003. XI, 468 p. 30 illus. Hardcover

ISBN 0-387-95582-8 € 64,95 | £50.00

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40

Financial Economics/Financial Management

Financial Economics/ Financial Management

NEW
NEW
NEW Numerical Methods in Finance  

Numerical Methods in Finance

 

M.

Breton, H. Ben-Ameur, GERAD and HEC Montréal, QC, Canada (Eds.)

 

Numerical Methods in Finance presents some exciting develop- ments arising from the combination of mathematics, numerical analysis, and finance. It covers a wide range of topics, from portfolio management and asset pricing, to performance, risk, debt and real option evaluation. It also presents applications of a variety of cutting edge approaches and techniques, including robust control, min- max optimisation, Bessel processes, stochastic viability, variational inequalities, and Monte-Carlo test techniques.

 

2005.

XV, 258 p. Hardcover

ISBN 0-387-25117-0 € 62,95 | £48.50

 
NEW
NEW
 

Recent Developments on Money and Finance

Exploring Links between Market Frictions, Financial Systems and Monetary Allocations

 

G.

Camera, Purdue University, West Lafayette, IN, USA (Ed.)

2006.

VI, 273 p. 28 illus. (Studies in Economic Theory, Volume 24) Hardcover

ISBN 3-540-27803-6 € 84,95 | £65.50

 

Banking for Family Business

 

A New Challenge for Wealth Management

S. Caselli, S. Gatti, Bocconi University, Milan, Italy (Eds.)

This text covers a wide spectrum of topics, including the ways family bankers really work, the relations between private banking and corporate banking, and the trends of the market in Europe and USA.

2005.

XIX, 220 p. 46 illus. Hardcover

ISBN 3-540-22798-9 € 69,95 | £54.00

 
NEW
NEW
 

When There Was No Money

 

Building ACLEDA Bank in Cambodia’s Evolving Financial Sector

H.

A. Clark, Albuquerque, NM, USA

 

2006. XX, 257 p. Hardcover

ISBN 3-540-28876-7 € 49,95 | £38.50

Financial Economics/Financial Management

41

springer.com

Structured Finance

Techniques, Products and Market

S. Caselli, S. Gatti, Bocconi University, Milan, Italy (Eds.)

This clearly structured book provides the reader with an analysis of the characteristics of structured finance deals, asset-backed securitization, project finance, structured leasing and leveraged acquisitions. As the first comprehensive book on all structured finance products, it also gives updated data on the current state of the international financial markets for these operations.

2005. VII, 206 p. 52 illus. Hardcover

ISBN 3-540-25311-4 € 69,95 | £54.00

Financial Market Imperfections and Corporate Decisions

NEW
NEW

Lessons from the Transition Process in Hungary

E.

Colombo, L. Stanca, University of Milan Bicocca, Italy

 
 

2006.

X, 174 p. 50 illus. (Contributions to Economics) Softcover

ISBN 3-7908-1581-0 € 49,95 | £38.50

 

Strategy and Organization of Corporate Banking

 

G.

De Laurentis, Bocconi University, Milan, Italy (Ed.)

 

2005.

IX, 189 p. 12 illus. Hardcover

ISBN 3-540-22797-0 € 59,95 | £46.00

 

Optimal Control and Dynamic Games

NEW
NEW

Applications in Finance, Management Science and Economics

C.

Deissenberg, Université de la Méditerranée, Les Milles, France;

 

R.

F. Hartl, University of Vienna, Austria (Eds.)

2005. XXIV, 344 p. (Advances in Computational Management Science,

Volume 7) Hardcover

ISBN 0-387-25804-3 € 129,00 | £99.00

Sovereign Risk and Financial Crises

M. Frenkel, WHU Koblenz, Germany; A. Karmann, Dresden University of Technology, Dresden, Germany; B. Scholtens, University of Groningen, The Netherlands (Eds.)

2004. XII, 258 p. 30 illus. Hardcover

ISBN 3-540-22248-0 € 74,95 | £57.50

2nd

EDITION

springer.com

42

2nd EDITION springer.com 42 Financial Economics/Financial Management Risk Management Challenge and Opportunity M.

Financial Economics/Financial Management

Risk Management

Challenge and Opportunity

M. Frenkel, WHU, Vallendar, Germany; U. Hommel, European Business

School, Oestrich-Winkel, Germany; M. Rudolf, WHU, Vallendar, Germany (Eds.)

The book broadly deals with all aspects of risk management which have undergone significant innovation in recent years. It has been written for academics as well as practitioners, in particular finance specialists. It is the only volume to this date which brings together such a wide array of experts and offers such a complete coverage of recent developments. The emphasis of this volume is placed on highlighting the linkage between the academic literature and practical issues related to the organization of the risk management function.

2nd revised and enlarged ed. 2005. XXVII, 838 p. 100 illus. Hardcover

ISBN 3-540-22682-6 € 99,95 | £77.00

International Finance and Open-Economy Macroeconomics

G. Gandolfo, University of Rome La Sapienza, Rome, Italy

1st ed. 2001. 2nd printing 2002. XXII, 613 pp. 48 figs., 3 tabs. Hardcover

ISBN 3-540-41730-3 € 109,95 | £84.50

Study Edition

1st ed. 2001. 2nd printing 2002. XXIII, 613 p. 51 illus. Softcover

ISBN 3-540-43459-3 € 44,95 | £34.50

NEW
NEW

A Structural Framework for the Pricing of Corporate Securities

Economic and Empirical Issues

M. Genser, University of St. Gallen, Switzerland

2006. XIX, 186 p. (Lecture Notes in Economics and Mathematical Systems,

Volume 566) Softcover

ISBN 3-540-28683-7 € 54,95 | £42.50

Credit Risk, Capital Structure and the Pricing of Equity Options

M. Hanke, Wirtschaftsuniversität Wien, Vienna, Austria

2003. XVI, 208 p. 50 illus. Softcover

ISBN 3-211-00520-X € 64,95 | £50.00

Financial Economics/Financial Management

43

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Dynamic Games: Theory and Applications

NEW
NEW

A.

Haurie, Université de Genève, Switzerland; G. Zaccour, HEC Montréal ,

Canada (Eds.)

 

Dynamic Games: Theory and Applications collects thirteen articles written by established researchers. It is an excellent reference for researchers and graduate students covering a wide range of emerg- ing and revisited problems in both cooperative and non-cooperative games in different areas of applications, especially in economics and management science.

 

2005.

XVI, 271 p. Hardcover

ISBN 0-387-24601-0 € 62,95 | £48.50

 

Exchange Traded Funds

 
NEW
NEW

Structure, Regulation and Application of a New Fund Class

E.

Hehn, Walchwil, Switzerland (Ed.)

 

The main objective of this book is to present a comprehensive in-depth survey of the past development in the area of Exchange Traded Funds (ETFs) as well as to put forth the most recent advancements in the field of that investment class. An important aspect is to bridge the gap between the traditional fund industry and innovation practices.

 

2005.

VIII, 257 p. 44 illus. Hardcover

ISBN 3-540-24124-8 € 44,95 | £34.50

 

Market-Conform Valuation of Options

NEW
NEW

T.

Herwig, University of Frankfurt, Germany

 

2006.

VIII, 104 p. 10 illus. (Lecture Notes in Economics and Mathematical

 

Systems, Volume 571) Softcover

 

ISBN 3-540-30837-7 € 44,95 | £34.50

Pensionomics

 
NEW
NEW

On the Role of PAYGO in Pension Portfolios

M.

F. Jäkel, WHU, Otto Beisheim School of Management, Vallendar,

 

Germany

2006. XII, 316 p. (Lecture Notes in Economics and Mathematical Systems,

Volume 572) Softcover

ISBN 3-540-32597-2 € 64,95 | £50.00

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44

Financial Economics/Financial Management

Modern Actuarial Risk Theory

R.

Kaas, University of Amsterdam, The Netherlands; M. Goovaerts,

J.

Dhaene, Catholic University of Leuven, Belgium and University of

Amsterdam, The Netherlands; M. Denuit, Catholic University of Louvain-la-

Neuve, Belgium

2004. XVIII, 306 p. Softcover

ISBN 1-4020-2952-7 € 48,00 | £34.00

NEW
NEW
 

Stochastic Linear Programming

 

Models, Theory, and Computation

P.

Kall, J. Mayer, University of Zurich, Switzerland

 

2005.

XII, 398 p. (International Series in Operations Research & Manage-

ment Science, Volume 80) Hardcover

 

ISBN 0-387-23385-7 € 69,95 | £54.00

NEW
NEW
NEW Encyclopedia of Finance  

Encyclopedia of Finance

 

C.

F. Lee, Rutgers University, Piscataway, NJ, USA; A. C. Lee, San Francisco

State University, CA, USA (Eds.)

 
 

The Encyclopedia of Finance is a major new reference work cover- ing all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applica- tions in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It will also have international approach to ensure its maximum appeal.

 

2006.

X, 1100 p. Hardcover

ISBN 0-387-26284-9 € 249,00 | £191.50

 
NEW
NEW
 

Term Structure Modeling and Estimation in a State Space Framework

W.

Lemke, Deutsche Bundesbank, Frankfurt am Main

2006. IX, 223 p. (Lecture Notes in Economics and Mathematical Systems,

Volume 565) Softcover

ISBN 3-540-28342-0 € 54,95 | £42.50

Financial Economics/Financial Management

45

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Stochastic Dominance

 
NEW
NEW

Investment Decision Making under Uncertainty

2nd

EDITION

H.

Levy, Hebrew University of Jerusalem, Israel (Ed.)

2nd ed. 2006. Approx. 400 p. (Studies in Risk and Uncertainty, Volume 12) Hardcover

 

ISBN 0-387-29302-7 € 99,95 | £77.00

 

Portfolio Management with Heuristic Optimization

 
NEW
NEW

D.

Maringer, University of Erfurt, Germany

 

2005.

XIV, 222 p. (Advances in Computational Management Science,

 

Volume 8) Hardcover

 

ISBN 0-387-25852-3 € 99,95 | £77.00

Artificial Economics

 
NEW
NEW

Agent-Based Methods in Finance, Game Theory and Their Applications

 

P.

Mathieu, B. Beaufils, LIFL, USTL, Villeneuve d’Ascq, France; O. Brandouy,

 

CLAREE, USTL, Lille, France (Eds.)

 
 

2006.

XIII, 237 p. (Lecture Notes in Economics and Mathematical Systems,

 

Volume 564) Softcover

 

ISBN 3-540-28578-4 € 54,95 | £42.50

Microfinance Investment Funds

 
NEW
NEW

Leveraging Private Capital for Economic Growth and Poverty Reduction

 

I. Matthäus-Maier, KfW, Frankfurt, Germany; J. D. Pischke, Reston, VA, USA (Eds.)

The surge in new investment funds - nearly 60 funds at last count - is an exciting sign that microfinance is attracting mainstream financial markets. Foreign investors bridge a crucial gap for MFIs and greenfield banks not yet able to attract deposits, debt or equity from local sources. Recognizing the ultimate goal of building those local financial markets that serve the poor, some foreign investors and funds are facilitating local intermediation with incentives like guarantees for local banks to lend to MFIs in local currency. Such contributions to local market building, combined with strengthening governance, increasing trans- parency and rigor make the new funds potentially very positive forces

rigor make the new funds potentially very positive forces in microfinance.  Elisabeth Littlefield , Director

in microfinance. Elisabeth Littlefield, Director and CEO, CGAP

2006. XIV, 291 p. 12 illus. Hardcover

ISBN 3-540-28070-7 € 69,95 | £54.00

springer.com

46

Financial Economics/Financial Management

Strategic Trading in Illiquid Markets

B. Mönch, Goethe-Universität Frankfurt, Germany

2005. XIII, 116 p. (Lecture Notes in Economics and Mathematical Systems,

Volume 553) Softcover

ISBN 3-540-25039-5 € 44,95 | £34.50

Real Options Valuation

The Importance of Interest Rate Modelling in Theory and Practice

M. Schulmerich, München, Germany

2005. XVI, 357 p. (Lecture Notes in Economics and Mathematical Systems,

Volume 559) Softcover

ISBN 3-540-26191-5 € 69,95 | £54.00

NEW
NEW

Coping With Institutional Order Flow

R.

A. Schwartz, Zicklin School of Business, Baruch College, CUNY, NY, USA;

J.

A. Byrne, Traders Magazine, Rockaway, NJ, USA; A. Colaninno, Zicklin

 

School of Business, Baruch College, CUNY, NY, USA (Eds.)

The sequence of securities markets conferences at Baruch College‘s Zicklin School of Business in New York City are recorded in this popular series. The conferences are hosted by the college for indus- try professionals, regulators and academicians.

 

2005.

XV, 200 p. (Zicklin School of Business Financial Markets Conference

 

Series Baruch College, Proceeding) Hardcover

 

ISBN 1-4020-7511-1 € 76,95 | £59.00

NEW
NEW

Electronic vs. Floor Based Trading

R.

A. Schwartz, Zicklin School of Business, Baruch College, CUNY, NY, USA;

J.

A. Byrne, Traders Magazine, Rockaway, NJ, USA; A. Colaninno, Zicklin

School of Business, Baruch College, CUNY, NY, USA (Eds.)

2006. XVI, 176 p. (Zicklin School of Business Financial Markets Conference

Series Baruch College, Proceeding) Hardcover

ISBN 0-387-29909-2 € 82,95 | £64.00

Optimal Control Theory

Applications to Management Science and Economics

S. P. Sethi, University of Texas at Dallas, TX, USA; G. L. Thompson, Carnegie

Mellon University, Pittsburgh, PA, USA

2nd ed. 2000. 2nd printing 2006. XVII, 504 p. Softcover

ISBN 0-387-28092-8 € 66,95 | £51.50

Financial Economics/Financial Management

The Theory and Practice of Revenue Management

K. T. Talluri, Universitat Pompeu Fabra, Barcelona, Spain; G. J. Ryzin, Columbia University, New York, NY, USA

2005. XXXII, 714 p. (International Series in Operations Research & Manage-

ment Science, Volume 68) Softcover

ISBN 0-387-24376-3 € 69,95 | £54.00

47 springer.com NEW
47
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NEW

The Economics of Foreign Exchange and Global Finance

P. Wang, University of Hull, UK

This book covers all major subjects in international monetary theo- ries, foreign exchange markets, international financial management and investment analysis.

2005. XII, 351 p. 71 illus. Hardcover

ISBN 3-540-21237-X € 59,95 | £46.00

Journals

ISBN 3-540-21237-X  € 59,95 | £46.00 Journals Finance and Stochastics Editor: M. Schweizer 4

Finance and Stochastics

Finance and Stochastics
Finance and Stochastics

Editor: M. Schweizer

4

issues/year

 

ISSN 0949-2984 (print version) ISSN 1432-1122 (electronic version)

Annals of Finance

 
Annals of Finance  

Editor: C.D. Aliprantis

4 issues/year

ISSN 1614-2446 (print version) ISSN 1614-2454 (electronic version)

(print version) ISSN 1614-2454 (electronic version) Decisions in Economics and Finance Managing Director: M. Li

Decisions in Economics and Finance

Managing Director: M. Li Calzi

2 issues/year

ISSN 1593-8883 (print version) ISSN 1129-6569 (electronic version)

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48

Journals

Asia-Pacific Financial Markets

Editor-in-Chief: J. Akahori

4 issues/year

ISSN 1387-2834 (print version) • ISSN 1573-6946 (electronic version)

(print version) • ISSN 1573-6946 (electronic version) Financial Markets and Portfolio Management Managing editor:

Financial Markets and Portfolio Management

Managing editor: M. Ammann

4 issues/year

ISSN 1555-4961 (print version) • ISSN 1555-497X (electronic version)

Journal of Financial Services Research

Managing Director: H. Unal

6 issues/year

ISSN 0920-8550 (print version) • ISSN 1573-0735 (electronic version)

Review of Derivatives Research

3 issues/year

ISSN 1380-6645 (print version) • ISSN 1573-7144 (electronic version)

Review of Finance

Editors-in-Chief: M. Pagano; J. Zechner

4 issues/year

ISSN 1572-3097 (print version) • ISSN 1573-692X (electronic version)

Review of Quantitative Finance and Accounting

Editor: Cheng-few Lee

8 issues/year

ISSN 0924-865X (print version) • ISSN 1573-7179 (electronic version)

The Journal of Real Estate Finance and Economics

Editor: S. Grenadier

8 issues/year

ISSN 0895-5638 (print version) • ISSN 1573-045X (electronic version)

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