ABCD

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Quantitative Finance

2006

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Contents

Springer Finance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 Related Titles from Mathematics and Statistics . . . . . . . . . . . . . 30 Financial Economics/Financial Management . . . . . . . . . . . . . . . 40 Journals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47

A Albeverio, Schachermayer, Talagrand 30 Ammann 1 Asmussen, Glynn 30 Azma, mery, Ledoux, Yor (Eds.) 30 B Back 1 Barucci 2 Benth 2 Bernard 30 Bhar, Hamori 3 Biais, Bjrk, Cvitanic, El Karoui, Jouini, Rochet 3 Bielecki, Rutkowski 4 Bingham, Kiesel 4 Bouleau 5 Brabazon 5 Breton, Ben-Ameur 40 Brigo, Mercurio 6 Bu 7 Bhlmann 6 Bhlmann, Gisler 7 C Camera (Ed.) 40 Capinski, Kopp 31 Capinski, Zastawniak 8 Carmona 31 Carmona, Cinlar, Ekeland, Jouini, Scheinkman, Touzi (Eds.) 9, 10 Carmona, Tehranchi 8 Caselli, Gatti (Eds.) 40, 41 Chung, AitSahlia 31 Cizek, Hrdle, Weron (Eds.) 9 Clark 40 Colombo, Stanca 41 D Dana, Jeanblanc 10 De Laurentis (Ed.) 41

Deboeck, Kohonen (Eds.) 11 Deissenberg, Hartl (Eds.) 41 Delbaen, Schachermayer 11 E Elliott, Kopp 12 Embrechts, Klppelberg, Mikosch 11 F Fan, Yao 33 Fengler 16 Filipovic 13 Fleming, Soner 32 Franke, Hrdle, Hafner 13 Frenkel, Hommel, Rudolf (Eds.) 42 Frenkel, Karmann, Scholtens (Eds.) 41 Frittelli, Biagini, Scandolo 12 Frittelli, Runggaldier (Eds.) 32 Fusai, Roncoroni 13 G Gandolfo 42 Geman, Madan, Pliska, Vorst (Eds.) 14 Genser 42 Gerber 21 Glasserman 14 Gundlach, Lehrbass 14 H Hanke 42 Hrdle, Kleinow, Stahl 15 Haurie, Zaccour 43 Hehn (Ed.) 43 Herwig 43 I It, Barndor-Nielsen, Sato (Eds.) 33 J Jacod, Protter 33 Jkel 43 Jondeau, Rockinger, Poon 16

K Kaas, Goovaerts, Dhaene, Denuit 44 Kabanov, Liptser, Stoyanov 34 Karatzas, Shreve 17 Karatzas, Shreve 34 Kellerhals 17 Kloeden, Platen 34 Klpmann 18 Kuo 35 Kwok 19 Kyprianou 35 L Lee, Lee (Eds.) 44 Lemke 44 Levy (Ed.) 45 Liptser, Shiryaev 36 M Ma, Yong 37 Mahringer 45 Malevergne, Sornette 19 Malliavin, Thalmaier 18 Mandelbrot 20 Mansuy, Yor 36 Mathieu, Beauls, Brandouy 45 Matthus-Maier, Pischke (Eds.) 45 Meucci 20 Mikosch 21 Molchanov 37 Mnch 46 Musiela, Rutkowski 22 N Niederreiter, Talay (Eds.) 37 O ksendal, Sulem 37 P Paul, Baschnagel 20 Pelsser 22

Platen, Heath 23 Prigent 23 Protter 38 R Rao 24 Robert 38 Roman 24 Ruppert 25 S Sandmann, Schnbucher (Eds.) 25 Scherer, Martin 39 Schmid 25 Schulmerich 46 Schwartz, Byrne, Colaninno (Eds.) 46 Sethi, Thompson 46 Seydel 26 Shiryaev, Grossinho, Oliveira, Esquvel (Eds.) 38 Shreve 26 Steele 27 Straub 21 Stuljater 39 T Talluri, Ryzin 47 V Van der Hoek, Elliott 15 W Wang 47 Y Yao, Zhang, Zhou 39 Yor 27 Z Zagst 27 Zhu, Wu, Chern 28 Ziegler 28, 29 Zivot, Wang 29

Textbook For more information on textbook inspection copies visit Services for Instructors at springer.com Book with CD-ROM Online First Allows access to peer-reviewed journals articles well before print publication

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Springer Finance
Credit Risk Valuation
Methods, Models, and Applications
M. Ammann, University of St. Gallen, Switzerland

This book oers an advanced introduction to the models of credit risk valuation. It concentrates on rm-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 derivative credit risk. Numerical examples illustrate the eects of credit risk on the prices of nancial derivatives.
2nd ed. 2001. Corr. 2nd printing 2002. X, 255, 17 gs., 23 tabs. (Springer Finance) Hardcover ISBN 3-540-67805-0 74,95 | 57.50

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E D IT IO N

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, oors and swaptions, as well as VBA code implementing the formulas. It also contains an introduction to Monte Carlo, binomial models, and nite-dierence methods.
Professor Back has written a superb book on advanced derivatives. The book provides wonderfully clear explanations without sacricing 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

Best of 2005 Book Awards by riskbook.com

2005. XVI, 356 p. (Springer Finance) Hardcover ISBN 3-540-25373-4 54,95 | 42.50

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Springer Finance

Financial Markets Theory

Equilibrium, Eciency and Information
E. Barucci, Universit di Pisa, Italy

Financial Markets Theory presents classical asset pricing theory, a theory composed of milestones such as portfolio selection, risk aversion, fundamental asset pricing theorem, portfolio frontier, CAPM, CCAPM, APT, the Modigliani-Miller Theorem, no arbitrage/risk neutral evaluation and information in nancial 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 nance). It is the only textbook to address the economic foundations of nancial markets theory from a mathematically rigorous standpoint, and to oer a self-contained critical discussion, based on empirical results.
2003. XII, 467 p. 14 illus. (Springer Finance) Hardcover ISBN 1-85233-469-X 69,95 | 45.00

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 accessible 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 nance including both nite-dierence 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 authors 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.
2004. X, 162 p. (Universitext) Softcover ISBN 3-540-40502-X 39,95 | 30.50

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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 nancial technology in the past decade have led to a commensurate increase in sophistication for modelling techniques needed by the researchers for the understanding of nancial 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 nancial econometrics and statistical techniques commonly used in quantitative nance, 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 speculative 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

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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. Bjrk, Stockholm School of Economics, Sweden; J. Cvitanic, Columbia University, New York, NY, USA; N. El Karoui, Universit Paris VI, France; E. Jouini, ENSAE, Malako, 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

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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 nance . . . It provides an excellent treatment of mathematical 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

Risk-Neutral Valuation
Pricing and Hedging of Financial Derivatives
N. H. Bingham, University of Sheeld, UK; R. Kiesel, University of Ulm, Germany

2 nd

E D IT IO N

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 nancial derivatives. Following the success of the rst edition of Risk-Neutral Valuation, the authors have thoroughly revised the entire book, taking into account recent developments in the eld, 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 Lvy nance, there is considerable new material on: Innite divisibility and Lvy processes; Lvy-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.
2nd ed. 2004. XVIII, 437 p. (Springer Finance) Hardcover ISBN 1-85233-458-4 59,59 | 39.50

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Financial Markets and Martingales

Observations on Science and Speculation
N. Bouleau, cole des Ponts, Paris, France

Is it really possible to make money on the nancial markets? This is just one of the questions posed in this practical and thoughtprovoking book, winner in the original french version, of the Best nancial economics book prize 1999 from the Institute de Haute Finance, and the Prix FNAC-Arthur Anderson du meilleur livre dentreprise 2000. Starting with games of chance, from which probability theory was born, Nicolas Bouleau explains how the nancial markets operate, and demonstrates how the application of mathematics has turned nance into a high-tech business, as well as a formidable and ecient tool. The human side of nance is also considered, with a look at the inuence of the trader and the working relationships that are woven into the market rooms. Concise and accessible, with no previous knowledge of nance 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 understanding of this complex area.
2004. XV, 151 p. Softcover ISBN 1-85233-582-3 39,95 | 29.50

Biologically Inspired Algorithms for Financial Modelling

A. Brabazon, M. ONeill, University College Dublin, Ireland

NE W

Predicting the future for nancial gain is a dicult, sometimes protable activity. The focus of this book is the application of biologically inspired algorithms (BIAs) to nancial modelling. In a detailed introduction, the authors explain computer trading on nancial markets and the diculties faced in nancial market modelling. Then Part I provides a thorough guide to the various bioinspired methodologies neural networks, evolutionary computing (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 nance community who want to apply BIAs in nancial modelling, and for computer scientists who want an introduction to this growing application domain.
2005. XV, 269 p., 92 illus. (Natural Computing Series) Hardcover ISBN 3-540-26252-0 64,95 | 50.00

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Springer Finance

Mathematical Methods in Risk Theory

H. Bhlmann From the reviews ..., the book (and its author) had enormous impact

Zentralblatt MATH, 1996

on the development of risk theory. It was the rst self-contained monograph on risk theory providing a rigorous probabilistic foundation. ...[and]... made an important contribution to the successful development of risk theory. This success has made the book a classic.

ng 2nd printi
2005

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

Interest Rate Models - Theory and Practice

NE W
With Smile, Ination and Credit
D. Brigo, F. Mercurio, Banca IMI, Milan, Italy

2 nd

E D IT IO N

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 swaptions 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 swaption-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-volatility 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 ination-linked derivatives. The three nal new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework 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, building on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payo 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

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A Course in Credibility Theory and its Applications

H. Bhlmann, ETH, Zrich, Switzerland; A. Gisler, Winterthur Insurance Company, Winterthur, Switzerland

NE W

The book is aimed at teachers and students as well as practising experts in the nancial area, in particular at actuaries in the eld of property-casualty insurance, life insurance, reinsurance and insurance supervision. Persons working in the wider world of nance will also nd 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 nance.
2005. XVIII, 331 p. (Universitext) Softcover ISBN 3-540-25753-5 44,95 | 34.50

Uncertain Volatility Models Theory and Application

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

This book introduces Uncertain Volatility Models in mathematical nance 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 accompanying CD contains the source code of a C++ implementation of the algorithms presented in the book.
2002. XII, 244 pp. With CD-ROM. (Springer Finance) Softcover ISBN 3-540-42657-4 44,95 | 34.50

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Springer Finance

Mathematics for Finance

An Introduction to Financial Engineering
M. Capiski, National Louis University, Nowy Sacz, Poland; T. Zastawniak, University of York, UK

ng 3rd printi
2005

Designed to form the basis of an undergraduate course in mathematical nance, this book builds on mathematical models of bond and stock prices and covers three major areas of mathematical nance that all have an enormous impact on the way modern nancial markets operate, namely: Black-Scholes arbitrage pricing of options and other derivative securities; Markowitz portfolio optimization 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 multitude 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, nance and economics, and anyone with an interest in nance who needs to understand the underlying theory.
1st ed. 2003. 3rd printing 2005. X, 310 p. 75 illus. (Springer Undergraduate Mathematics Series) Softcover ISBN 1-85233-330-8 32,95 | 19.95

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Interest Rate Models: an Innite Dimensional Stochastic Analysis Perspective

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

Interest Rate Models: an Innite Dimensional Stochastic Analysis Perspective studies the mathematical issues that arise in modeling the interest rate term structure. These issues are approached by casting the interest rate models as stochastic evolution equations in innite 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 innite dimensional stochastic analysis, including SDE in Hilbert spaces and Malliavin calculus. Part III presents some recent results in interest rate theory, including nite 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

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Statistical Tools for Finance and Insurance

P. Cizek, University of Tillburg, The Netherlands; W. Hrdle, Humboldt Universitt zu Berlin, Germany; R. Weron, Wroclaw University of Technology, Poland (Eds.)

Statistical Tools in Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative nance and insurance. Written by practitioners and leading academics in the eld, this book oers a unique combination of topics from which every market analyst and risk manager will benet. 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 oer 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 nance 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

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, Universit Paris IX - Dauphine, Paris, France; J. A. Scheinkman, Princeton University, Princeton, NJ, USA; N. Touzi, CREST, Malako, France (Eds.) Table of contents M.H. Soner, N. Touzi: The Problem of Super-replication 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. Fllmer: 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 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, Universit Paris IX - Dauphine, Paris, France; J. A. Scheinkman, Princeton University, Princeton, NJ, USA; N. Touzi, CREST, Malako, France (Eds.) Table of contents T. Bielecki, M. Jeanblanc, Marek Rutkowski: Hedging of Defaultable Claims. T. Bjrk: 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

Financial Markets in Continuous Time

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

In modern nancial practice, asset prices are modelled by means of stochastic processes, and continuous-time stochastic calculus thus plays a central role in nancial 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 rst brings together a number of results from discrete-time models. The second develops stochastic continuous-time models for the valuation of nancial 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 nancial markets. The last part is more advanced and tackles market incompleteness and the valuation of exotic options in a complete market.
2003. XI, 324 p. (Springer Finance) Hardcover ISBN 3-540-43403-8 59,95 | 46.00

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Visual Explorations in Finance

with Self-Organizing Maps
G. Deboeck, Arlington, VA, USA; T. Kohonen, Helsinki University of Technology, Hut, Finland (Eds.)

Self-organizing maps (SOM) have proven to be of signicant economic value in the areas of nance, economic and marketing applications. As a result, this area is rapidly becoming a nonacademic 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 computational methods in nancial and economic forecasting, and by the originator of SOM, Teuvo Kohonen. The book contains chapters on applications of unsupervised neural networks using Kohonens selforganizing map approach.
1998. XLVI, 312 p. 129 illus. (Springer Finance) Hardcover ISBN 3-540-76266-3 104,95 | 59.50

The Mathematics of Arbitrage

F. Delbaen, ETH Zrich, Switzerland; W. Schachermayer, Technische Universitt Wien, Austria

NE W

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 rst part presents a relatively elementary introduction, restricting itself to the case of nite 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

Modelling Extremal Events for Insurance and Finance

P. Embrechts, ETH Zrich, Switzerland; C. Klppelberg, Technische Universitt Mnchen, Germany; T. Mikosch, University of Copenhagen, Denmark 1st ed. 1997. Corr. 4th printing 2003. XV, 648 p. 100 gs. (Stochastic Modelling and Applied Probability, Volume 33) Hardcover ISBN 3-540-60931-8 69,95 | 54.00

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Mathematics of Financial Markets

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

2 nd

E D IT IO N

This book presents the mathematics that underpins pricing models for derivative securities, such as options, futures and swaps, in modern nancial 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 extensively 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 generalizations, American put options, term structure models and consumption-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, notably: a new chapter on coherent risk measures, with applications to hedging a complete proof of the rst 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.
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, Universit degli Studi di Firenze, Italy; S. Biagini, Universit degli Studi di Perugia, Italy; G. Scandolo, Universit degli Studi di Firenze, Italy

This monograph presents an advanced and unied treatment of four important issues that have dominated the theoretical research in mathematical nance 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 measurement of a static payo and of a cash-ow stream. The powerful tools of convex analysis and duality theory are systematically applied to investigate these topics, under very general assumptions on the nancial markets. This duality approach reveals the prominent role of the investors 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

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Consistency Problems for Heath-Jarrow-Morton Interest Rate Models

D. Filipovic, ETH-Zentrum, Zrich, 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. Hrdle, HumboldtUniversitt 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 elds, it is highly useful for anyone interested in the mathematical and statistical aspects of nance .

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

2004. XXIII, 424 p. (Universitext) Softcover ISBN 3-540-21675-8 59,95 | 46.00

Implementing Models in Quantitative Finance: Methods and Cases

G. Fusai, Universit degli Studi del Piemonte Orientale, Novara, Italy; A. Roncoroni, ESSEC, Cergy Pontoise, France

Forthcoming

This book puts numerical methods in action for the purpose of solving practical problems in quantitative nance. The rst part develops a toolkit in numerical methods for nance (Monte Carlo, PDE, Stochastic Optimization, Copula, Econometrics). The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied nancial management and guides the user towards a computer implementation. The appendices 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 nance held by the authors at Bocconi University.
2006. Approx. 500 p. With CD-ROM. (Springer Finance) Hardcover ISBN 3-540-22348-7 69,95 | 54.00

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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, Universit Paris IX, Paris, France; D. Madan, University of Maryland, 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

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 nancial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing nancial engineers [...] Glyn Holton, Contingency Analysis

2005 INFORMS Outstanding Simulation Publication Award

2003. XIII, 596 p. 99 illus. (Stochastic Modelling and Applied Probability, Volume 53) Hardcover ISBN 0-387-00451-3 52,95 | 40.50

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 banking and nance, as well as for graduate students and researchers in the eld of nancial mathematics and banking. It contains carefully refereed contributions from experts in the eld, 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 practical 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

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Applied Quantitative Finance

Theory and Computational Tools
W. Hrdle, T. Kleinow, Humboldt Universitt zu Berlin, Germany; G. Stahl, Federal Banking Supervisory Oce, Bonn, Germany

Applied Quantitative Finance presents solutions, theoretical developments and method proliferation for many practical problems in quantitative nance. The combination of practice and theory supported by computational tools is reected in the selection of topics as well as in a nely tuned balance of scientic 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 modied by the reader via the internet. The electronic 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

Binomial Models in Finance

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

NE W

This book deals with many topics in modern nancial 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 nancial 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 dened 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

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Semiparametric Modeling of Implied Volatility

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

The implied volatility surface is a key nancial 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 specied dynamic models describing its propagation through space and time. This book lls a gap in the nancial literature by bringing together both recent advances in the theory of implied volatility and rened semiparametric estimation strategies and dimension reduction methods for functional surfaces: the rst 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 diusion, 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 dimension 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, simulations and pictures.
2005. XV, 224 p. 61 illus. (Springer Finance) Softcover ISBN 3-540-26234-2 44,95 | 34.50

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Financial Modeling Under Non-Gaussian Distributions

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 developments 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 nancial 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 nancial time series, such as exchange and interest rates. The authors have taken care to make the material accessible to anyone with a basic

Springer Finance
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 nance industry, especially those responsible for managing portfolios and monitoring nancial risk, but it will also be useful for mathematicians who want to know more about how their mathematical tools are applied in nance, and as a text for advanced courses in empirical nance; nancial econometrics and nancial derivatives.
2006. Approx. 575 p. 129 illus. (Springer Finance) Hardcover ISBN 1-84628-419-8 69,95 | 50.00

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Methods of Mathematical Finance

I. Karatzas, Columbia University, New York, NY, USA; S. E. Shreve, CarnegieMellon 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 nancial 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, xed-income products and electricity derivatives. The second edition newly incorporates the nancial 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 elds.
2nd ed. 2004. XIV, 243 p. 10 illus., 30 tabs. (Springer Finance) Hardcover ISBN 3-540-20853-4 74,95 | 57.50

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Springer Finance

Irrational Exuberance Reconsidered

The Cross Section of Stock Returns
M. Klpmann, CFA, Berlin, Germany

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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 nance. This new and revised edition discusses the empirical evidence from both perspectives. Theory and empirical analysis are blended with feedback from security analysts to oer 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

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Stochastic Calculus of Variations in Mathematical Finance

P. Malliavin, Acadmie des Sciences, Paris, France; A. Thalmaier, Universit de Poitiers, France

Malliavin calculus provides an innite-dimensional dierential calculus in the context of continuous paths stochastic processes. The calculus includes formulae of integration by parts and Sobolev spaces of dierentiable functions dened 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 innite-dimensional Sobolev spaces lead to Monte Carlo computations of conditional expectations useful for computing American options. The discretization error of the Euler scheme for a stochastic dierential equation is expressed as a generalized Watanabe distribution on the Wiener space. Insider information is expressed as an innite-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

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Mathematical Models of Financial Derivatives

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

NE W

Mathematical Models of Financial Derivatives is a textbook on the theory behind modeling derivatives and their risk management, focussing on the valuation principles that are common to most derivative securities. A wide range of nancial derivatives commonly traded in the equity and xed 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 Girsanovs 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 readers through extensive, well thought out exercises at the end of each chapter.
2nd ed. 2006. Approx. 500 p. (Springer Finance) Hardcover ISBN 3-540-42288-9 approx. 65,90 | 50.50

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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

NE W

Portfolio analysis and optimization, together with the associated risk assessment and management, require knowledge of the likely distributions of returns at dierent time scales and insights into the nature and properties of dependences between the dierent assets. This book oers 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 oer intrinsic and complete measures of dependences.
Extreme Financial Risks will be useful to: students looking for a general and in-depth introduction to the eld; nancial engineers, economists, econometricians, actuarial professionals; researchers and mathematicians looking for a synoptic view comparing the pros and cons of dierent modelling strategies; and quantitative practitioners for the insights oered 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

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Springer Finance

Risk and Asset Allocation

A. Meucci, Lehman Brothers, Inc., New York, NY, USA
Meuccis Risk and Asset Allocation is one of those rare books that

take a completely fresh look at a well-studied problem, optimal nancial 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 integrated treatment, from investment theory, to optimization methods, to statistical analysis of multi-variate return data, through computational implementation of the results. This is rigorous and relevant!
Darrel Due, 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 uncertainty. Bob Litterman, Head of Quantitative Resources, Goldman Sachs

Asset Management

At symmys.com the reader will nd freely downloadable complementary materials: the Exercise Book; a set of thoroughly documented 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 gs. Hardcover ISBN 3-540-66560-9 84,95 | 65.50

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Non-Life Insurance Mathematics

An Introduction with Stochastic Processes
T. Mikosch, University of Copenhagen, Denmark

This book oers 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 probabilistic properties. Throughout the book the language of stochastic processes is used for describing the dynamics of an insurance portfolio in claim size space and time. In addition to the standard actuarial 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 Bhlmann 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 gures 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.
2004. XI, 235 p. (Universitext) Softcover ISBN 3-540-40650-6 49,95 | 38.50

Non-Life Insurance Mathematics

E. Straub, Zrich, 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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Springer Finance

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.

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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 particular sector of the nancial 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 nancial modelling.
2nd ed. 2005. XVI, 636 p. (Stochastic Modelling and Applied Probability, Volume 36) Hardcover ISBN 3-540-20966-2 74,95 | 57.50

Ecient Methods for Valuing Interest Rate Derivatives

A. Pelsser, Erasmus University, Rotterdam, The Netherlands

Ecient Methods for Valuing Interest Rate Derivatives provides an overview of the models that can be used for valuing and managing interest rate derivatives. Split into two parts, the rst discusses and compares the traditional models, such as spot- and forward-rate models, while the second concentrates on the more recently developed Market models. Unlike most of his competitors, the authors 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

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A Benchmark Approach Quantitative Finance

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

NE W

The benchmark approach provides a general framework for nancial market modeling, which extends beyond the standard risk neutral pricing theory. It permits a unied treatment of portfolio optimization, 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 derivation of realistic, parsimonious market models. The rst part of the book describes the necessary tools from probability theory, statistics, stochastic calculus and the theory of stochastic dierential equations with jumps. The second part is devoted to nancial modeling under the benchmark approach. Various quantitative methods for the fair pricing and hedging of derivatives are explained. The general framework 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 nance, economics and insurance. It aims to be a self-contained, accessible but mathematically rigorous introduction to quantitative nance for readers that have a reasonable mathematical or quantitative 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

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 nancial markets. Split into three parts, the rst recalls the mathematics of stochastic processes and stochastic calculus with special emphasis on contiguity properties and weak convergence of stochastic integrals. The second part is devoted to the analysis of nancial 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

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

Improved understanding of the key role of nancial aspects in the growth and development of economic systems is an important aspect of economic analysis. This textbook on development nance provides a comprehensive coverage of this area of economics. 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 ISBN 3-540-40153-9 69,95 | 54.00

Introduction to the Mathematics of Finance

From Risk Management to Options Pricing
S. Roman, California State University, Fullerton, CA, USA

Best of 2005 Book Awards by riskbook.com

This book is specically written for advanced undergraduate or beginning graduate students in mathematics, nance or economics. 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 nal 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 nance is required, since the book also contains a chapter on options.
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

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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 nance-motivated statistics classes at the undergraduate level. SIAM Review, Vol. 47, No. 2

2004. XXI, 473 p. (Springer Texts in Statistics) Hardcover ISBN 0-387-20270-6 69,95 | 54.00

Advances in Finance and Stochastics

Essays in Honour of Dieter Sondermann
K. Sandmann, Johannes Gutenberg-Universitt Mainz, Germany; P. J. Schnbucher, ETH Zrich, Switzerland (Eds.) With contributions by: F. Delbaen; H. Fllmer/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. Schlgl; J. A. Nielsen/K. Sandmann; M. Schweizer; L.A. Shepp/A.N. Shiryaev/A. Sulem; K. Schrger; 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, Mnchen, 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 nancial instruments, including all kinds of defaultable xed and oating rate debt, credit derivatives and collateralised debt obligations.This volume will be a valuable source for the nancial community involved in pricing credit linked nancial instruments. In addition, the book can be used by students and academics for a comprehensive overview of the most important credit risk modelling issues.
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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Tools for Computational Finance

R. U. Seydel, Universitt zu Kln, Germany
This book is very easy to read and one can gain a quick snapshot of computational issues arising in nancial mathematics. Researchers or students of the mathematical sciences with an interest in nance will nd this book a very helpful and gentle guide to the world of nancial engineering. SIAM review (46, 2004)

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The third edition is thoroughly revised and signicantly 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-neutrality, early-exercise curves, multidimensional Black-Scholes models, the integral representation of options and the derivation of the Black-Scholes equation. New gures, more exercises, more background material make this guide to the world of nancial engineering a real must-to-have for everyone working in FE.
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 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 nance 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

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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 nd 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 condently. MATHEMATICAL REVIEWS

1st ed. 2001. Corr. 3rd printing 2003. IX, 300 p. 3 gs. (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, Universit Paris VI, France

This volume collects papers about the laws of geometric Brownian 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 Lvy processes are indicated. Some papers originally published in French are made available in English for the rst 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 nancial 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 nancial markets. The rst part of the book is an exposition of advanced stochastic calculus. It denes 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

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A Game Theory Analysis of Options

Corporate Finance and Financial Intermediation in Continuous Time
A. Ziegler, University of Lausanne, Switzerland

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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 payos 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 nance and nancial intermediation. Besides providing theoretical foundations and serving as a guide to stochastic game theory modelling in continuous time, the text contains numerous applications to the theory of corporate nance and nancial intermediation. By combining arbitrage-free valuation techniques with strategic analysis, 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

Derivative Securities and Dierence 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 nancial derivatives using a partial dierential equation approach. In the rst part the authors describe the formulation of the problems (including related free-boundary problems) and derive the closed form solutions if they have been found. The second part discusses how to obtain their numerical solutions eciently for both European-style and American-style derivatives and for both stock options and interest rate derivatives. The numerical methods discussed are nitedierence methods. The book also discusses how to determine the coecients in the partial dierential equations. The aim of the book is to provide readers who have some code writing experience for engineering computations with the skills to develop ecient derivative-pricing codes. The book includes exercises throughout and will appeal to students and researchers in quantitative nance as well as practitioners in the nancial industry and code developers.
2004. XVIII, 513 p. 92 illus. (Springer Finance) Hardcover ISBN 0-387-20842-9 79,95 | 61.50

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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 investors optimal portfolio and consumption behavior and equilibrium asset prices. After a brief review of the existing incomplete information literature, the eect 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 nancial markets in general do not aggregate information eciently, a fact that can explain the equity premium puzzle. Heterogeneous beliefs can explain a number of observed phenomena, 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

Modeling Financial Time Series with S-PLUS

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

NE W

This is the rst book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the nance industry, academic researchers in economics and nance, and advanced MBA and graduate students in economics and nance. 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 nancial models, generalized method of moments, semi-nonparametric conditional density models, and the ecient 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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Related Titles from Mathematics and Statistics

Related Titles from Mathematics and Statistics

Lectures on Probability Theory and Statistics
Ecole dEt de Probabilits de Saint-Flour XXX - 2000
S. Albeverio, University of Bonn, Germany; W. Schachermayer, Vienna University of Technology, Austria; M. Talagrand, Universit Paris VI, France P. Bernard, Universit Blaise-Pascal, Clermont-Ferrant, Aubire, France (Ed.) From the contents S. Albeverio: Theory of Dirichlet forms and applications W. Schachermayer: Introduction to the Mathematics of Financial Markets M. Talagrand: Mean eld models for spin glasses: a rst 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 simulation at a higher mathematical level than other recent texts in the area. Its readership is intended for graduate students and researchers from a broad variety of areas, in particular applied probability, statistics, mathematical nance, 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 Probability,) Hardcover ISBN 0-387-30679-X approx. 46,95 | 36.00

Sminaire de Probabilits XXXVI

J. Azma, Universit Pierre et Marie Curie, Paris, France; M. mery, Universit Louis Pasteur, Strasbourg, France; M. Ledoux, Universit Paul Sabatier, Toulouse, France; M. Yor, Universit Pierre et Marie Curie, Paris, France (Eds.) 2003. VIII, 499 p. (Lecture Notes in Mathematics / Sminaire de Probabilits, Volume 1801) Softcover ISBN 3-540-00072-0 69,95 | 54.00

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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 nancial modelling, including the Black-Scholes formula, discussed briey from a measure-theoretical perspective to help the reader understand the underlying mathematical framework.
2nd ed. 2004. XV, 311 p. 23 illus. (Springer Undergraduate Mathematics Series) Softcover ISBN 1-85233-781-8 39,95 | 18.95

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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

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mathematical probability rst 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 nance 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

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Controlled Markov Processes and Viscosity Solutions

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

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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 diusion processes, this becomes a nonlinear partial dierential 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 nancial economics. In this second edition, new material on applications to mathematical nance has been added. Concise introductions to risk-sensitive control theory, nonlinear H-innity control and dierential 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 Jeanblanc, 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

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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. It, Kyoto, Japan; O. E. Barndor-Nielsen, University of Aarhus, Denmark; K. Sato, Tenpaku-ku, Japan (Eds.)

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

From the reviews The book can be recommended as a ne introduc-

Probability Essentials
J. Jacod, Universit 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 mathematically and pedagogically digestible way. The writing is concise and crisp: the average chapter length is about eight pages. ... 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 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, Universit de Franche-Comt, Besanon, 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 reect the wide range of scientic interests of the teacher and his Moscow school. The topics range from the disorder problems to stochastic calculus and their applications to mathematical economics and nance. A full biobibliography of Shiryaevs 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 reading 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 Dierential Equations

P. E. Kloeden, Johann-Wolfgang-Goethe-Universitt, Frankfurt, Germany; E. Platen, University of Technology Sydney, NSW, Australia 1st ed. 1992. Corr. 3rd printing 1999. XXXVI, 636 pp. 85 gs. (Stochastic Modelling and Applied Probability, Volume 23) Hardcover ISBN 3-540-54062-8 79,95 | 61.50

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Introduction to Stochastic Integration

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

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The theory of stochastic integration, also called the It calculus, has a large spectrum of applications in virtually every scientic area involving random functions, but it can be a very dicult subject for people without much mathematical background. The It calculus was originally motivated by the construction of Markov diusion processes from innitesimal generators. Previously, the construction of such processes required several steps, whereas It constructed these diusion processes directly in a single step as the solutions of stochastic integral equations associated with the innitesimal generators. Moreover, the properties of these diusion processes can be derived from the stochastic integral equations and the It formula. This introductory textbook on stochastic integration provides a concise introduction to the It calculus, and covers the following topics: Constructions of Brownian motion Stochastic integrals for Brownian motion and martingales The It formula Multiple Wiener-It integrals Stochastic dierential equations Applications to nance, ltering theory, and electric circuits.
2006. XIII, 279 p. (Universitext) Softcover ISBN 0-387-28720-5 42,95 | 33.00

Introductory Lectures on Fluctuations of Lvy Processes with Applications

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

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This text book forms the basis of a graduate course on the theory and applications of Lvy processes, from the perspective of their path uctuations. Central to the presentation are decompositions of the paths of Lvy 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 applications often focus on the case of Lvy 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 solutions.
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; A. N. Shiryaev, Steklov Mathematical 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 eld,

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 ltering. 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

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Aspects of Brownian Motion

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

Stochastic calculus and excursion theory are very ecient 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; Brownian 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 elds such as polymer physics and mathematical nance.
2006. Approx. 300 p. (Universitext) Softcover ISBN 3-540-22347-9 39,95 | 30.50

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Forward-Backward Stochastic Dierential Equations and Their Applications

J. Ma, Purdue University, West Lafayette, IN, USA; J. Yong, Fudan University, Shanghai, Peoples Republic of China 1st ed. 1999. Corr. 3nd printing 2005. XIII, 270 pp. (Lecture Notes in Mathematics, Volume 1702) Softcover ISBN 3-540-65960-9 40,95 | 31.50

corr. 3rd
2005

printing

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 Diusions

B. ksendal, 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 solution methods of various types of stochastic control problems for jump diusions and its applications. The types of control problems covered include classical stochastic control, optimal stopping, impulse control and singular control. Both the dynamic programming method and the maximum principle method are discussed, as well as the relation between them. Corresponding verication theorems involving the Hamilton-Jacobi Bellman equation and/or (quasi-)variational inequalities are formulated. There are also chapters on the viscosity solution formulation and numerical methods. The text emphasises applications, mostly to nance. 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

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Related Titles from Mathematics and Statistics

Stochastic Integration and Dierential 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

corr. 3rd
2005

printing

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 care. ... Prof. Dr. M. Vanmaele, KWANT

METHODEN, 2004 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 behavior of stochastic networks.
2003. XIX, 398 p. (Stochastic Modelling and Applied Probability, Volume 52) Hardcover ISBN 3-540-00657-5 69,95 | 54.00

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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. Esquvel, Universidade Nova de Lisboa, Caparica, Portugal (Eds.)

Since the pioneering work of Black, Scholes, and Merton in the eld of nancial mathematics, research has led to the rapid development of a substantial body of knowledge, with plenty of applications to the common functioning of the worlds nancial 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

for advanced methods, which rely to a large extent on mathematical techniques. It has become essential for the nancial analyst to possess a high degree of prociency in these mathematical techniques.
2006. XIV, 364 p. Hardcover ISBN 0-387-28262-9 82,95 | 64.00

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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

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, nancial engineering, production planning and supply chain management. Each contribution is aimed at graduate students working in operations research, probability, and statistics.
2003. XI, 468 p. 30 illus. Hardcover ISBN 0-387-95582-8 64,95 | 50.00

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Financial Economics/Financial Management

Financial Economics/ Financial Management

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Numerical Methods in Finance

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

Numerical Methods in Finance presents some exciting developments arising from the combination of mathematics, numerical analysis, and nance. 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, minmax 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

Recent Developments on Money and Finance

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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

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When There Was No Money

Building ACLEDA Bank in Cambodias Evolving Financial Sector
H. A. Clark, Albuquerque, NM, USA 2006. XX, 257 p. Hardcover ISBN 3-540-28876-7 49,95 | 38.50

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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 nance deals, asset-backed securitization, project nance, structured leasing and leveraged acquisitions. As the rst comprehensive book on all structured nance products, it also gives updated data on the current state of the international nancial 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

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

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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

Applications in Finance, Management Science and Economics
C. Deissenberg, Universit de la Mditerrane, 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

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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

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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.)

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The book broadly deals with all aspects of risk management which have undergone signicant innovation in recent years. It has been written for academics as well as practitioners, in particular nance specialists. It is the only volume to this date which brings together such a wide array of experts and oers 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 gs., 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

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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, Wirtschaftsuniversitt Wien, Vienna, Austria 2003. XVI, 208 p. 50 illus. Softcover ISBN 3-211-00520-X 64,95 | 50.00

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Dynamic Games: Theory and Applications

A. Haurie, Universit de Genve, Switzerland; G. Zaccour, HEC Montral , Canada (Eds.)

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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 emerging and revisited problems in both cooperative and non-cooperative games in dierent 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

Structure, Regulation and Application of a New Fund Class
E. Hehn, Walchwil, Switzerland (Ed.)

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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 eld 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

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

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Pensionomics
On the Role of PAYGO in Pension Portfolios
M. F. Jkel, 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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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-laNeuve, Belgium 2004. XVIII, 306 p. Softcover ISBN 1-4020-2952-7 48,00 | 34.00

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Stochastic Linear Programming

Models, Theory, and Computation
P. Kall, J. Mayer, University of Zurich, Switzerland 2005. XII, 398 p. (International Series in Operations Research & Management Science, Volume 80) Hardcover ISBN 0-387-23385-7 69,95 | 54.00

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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 covering all aspects of nance. Coverage includes nance (nancial management, security analysis, portfolio management, nancial markets and instruments, insurance, real estate, options and futures, international nance) and statistical applications in nance (applications in portfolio analysis, option pricing models and nancial 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

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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

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Stochastic Dominance
Investment Decision Making under Uncertainty
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

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Portfolio Management with Heuristic Optimization

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

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Articial Economics
Agent-Based Methods in Finance, Game Theory and Their Applications
P. Mathieu, B. Beauls, LIFL, USTL, Villeneuve dAscq, 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

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Micronance Investment Funds

Leveraging Private Capital for Economic Growth and Poverty Reduction
I. Matthus-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 micronance is attracting mainstream nancial markets. Foreign investors bridge a crucial gap for MFIs and greeneld banks not yet able to attract deposits, debt or equity from local sources. Recognizing the ultimate goal of building those local nancial 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 transparency and rigor make the new funds potentially very positive forces in micronance. Elisabeth Littleeld, Director and CEO, CGAP

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2006. XIV, 291 p. 12 illus. Hardcover ISBN 3-540-28070-7 69,95 | 54.00

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Financial Economics/Financial Management

Strategic Trading in Illiquid Markets

B. Mnch, Goethe-Universitt 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, Mnchen, Germany 2005. XVI, 357 p. (Lecture Notes in Economics and Mathematical Systems, Volume 559) Softcover ISBN 3-540-26191-5 69,95 | 54.00

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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 Colleges Zicklin School of Business in New York City are recorded in this popular series. The conferences are hosted by the college for industry 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

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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
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The Theory and Practice of Revenue Management

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