ABCD
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Quantitative
Finance
2nd
EDITION
Springer Finance
Springer Finance
1
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Credit Risk Valuation
Methods, Models, and Applications
M. Ammann, University of St. Gallen, Switzerland
This book oﬀers an advanced introduction to the models of credit risk valuation. It concentrates on ﬁrmvalue and reducedform 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 creditrisky bonds and credit derivatives. The text provides detailed descriptions of the stateoftheart martingale methods and advanced numerical implementations based on multivariate trees used to price deriva tive credit risk. Numerical examples illustrate the eﬀects of credit risk on the prices of ﬁnancial derivatives.
2nd ed. 2001. Corr. 2nd printing 2002. X, 255, 17 ﬁgs., 23 tabs. (Springer Finance) Hardcover
ISBN 3540678050 € 74,95  £57.50
A Course in Derivative Securities
Introduction to Theory and Computation
K. Back, Texas A&M University, College Station, TX, USA
This book aims at a middle ground between the introductory books on derivative securities and those that provide advanced mathematical treatments. It is written for mathematically capable students who have not necessarily had prior exposure to probability theory, stochastic calculus, or computer programming. It provides derivations of pricing and hedging formulas (using the probabilistic change of numeraire technique) for standard options, exchange options, options on forwards and futures, quanto options, exotic options, caps, ﬂoors and swaptions, as well as VBA code implement ing the formulas. It also contains an introduction to Monte Carlo, binomial models, and ﬁnitediﬀerence methods.
Professor Back has written a superb book on advanced derivatives. The book provides wonderfully clear explanations without sacriﬁcing mathematical accuracy. I highly recommend this book for everyone who wants to understand more about this fascinating and important
area. Mark Broadie, Columbia University, New York
2005. XVI, 356 p. (Springer Finance) Hardcover
ISBN 3540253734 € 54,95  £42.50
Best of 2005 Book Awards by riskbook.com
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Springer Finance
Financial Markets Theory
Equilibrium, Eﬃciency and Information
E. Barucci, Università di Pisa, Italy
Financial Markets Theory presents classical asset pricing theory, a theory composed of milestones such as portfolio selection, risk aver sion, fundamental asset pricing theorem, portfolio frontier, CAPM, CCAPM, APT, the ModiglianiMiller Theorem, no arbitrage/risk neutral evaluation and information in ﬁnancial markets. Starting from an analysis of the empirical tests of the above theories, the author provides a discussion of the most recent literature, pointing out the main advancements within classical asset pricing theory and the new approaches designed to address open problems (e.g. behavioural ﬁnance). It is the only textbook to address the economic foundations of ﬁnancial markets theory from a mathematically rigorous standpoint, and to oﬀer a selfcontained critical discussion, based on empirical results.
2003. XII, 467 p. 14 illus. (Springer Finance) Hardcover
ISBN 185233469X € 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 acces sible introduction to option pricing, invoking only a minimum of stochastic analysis. Although short, it covers the theory essential to the statistical modeling of stocks, pricing of derivatives (general contingent claims) with martingale theory, and computational ﬁnance including both ﬁnitediﬀerence and Monte Carlo methods. The reader is led to an understanding of the assumptions inherent in the Black Scholes theory, of the main idea behind deriving prices and hedges, and of the use of numerical methods to compute prices for exotic contracts. The author’s style is compact and tothepoint, 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 354040502X € 39,95  £30.50
Springer Finance
Empirical Techniques in Finance
R. Bhar, The University of New South Wales, Sydney, NSW, Australia;
S. Hamori, University of Kobe, Japan
The rapid advances in ﬁnancial technology in the past decade have led to a commensurate increase in sophistication for modelling tech niques needed by the researchers for the understanding of ﬁnancial markets. The book aims at equipping graduate students, market analysts and others with a wide range of empirical techniques. It not only discusses the analytical structures behind such modelling approaches, but also explains how they are applied to actual data. Besides traditional elements of ﬁnancial econometrics and statistical techniques commonly used in quantitative ﬁnance, the book covers:
estimation of parametric and nonparametric models; advanced tools to deal with unobserved components; discrete time models of asset prices and of interest rates. Illustrations include specula tive equity prices, equity and currency risk premium as well as real investment opportunity analysis and interest rate contingent claim valuation.
2005. XII, 243 p. 30 illus. (Springer Finance) Hardcover
ISBN 3540251235 € 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 813, 1996
B. Biais, University of Toulouse, France; T. Björk, Stockholm School of
Economics, Sweden; J. Cvitanic, Columbia University, New York, NY, USA;
N. El Karoui, Université Paris VI, France; E. Jouini, ENSAE, Malakoﬀ, France;
J.C. Rochet, University of Toulouse, France
1997. VII, 316 pp. (Lecture Notes in Mathematics, Volume 1656) Softcover
ISBN 3540626425 € 49,95  £38.50
2nd
EDITION
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Credit Risk: Modeling, Valuation and Hedging
T. R. Bielecki, Northeastern Illinois University, Chicago, IL, USA;
M. Rutkowski, Warsaw University of Technology, Warsaw, Poland
_{F}_{r}_{o}_{m} _{t}_{h}_{e} _{r}_{e}_{v}_{i}_{e}_{w}_{s} A fairly complete overview of the most important recent developments of credit risk modelling from the viewpoint of
mathematical ﬁnance
It provides an excellent treatment of math
ematical aspects of credit risk and will also be useful as a reference for technical details to traders and analysts dealing with creditrisky 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 3540675930 € 69,95  £54.00
RiskNeutral Valuation
Pricing and Hedging of Financial Derivatives
N. H. Bingham, University of Sheﬃeld, UK; R. Kiesel, University of Ulm,
Germany
Since its introduction in the early 1980s, the riskneutral valuation principle has proved to be an important tool in the pricing and hedging of ﬁnancial derivatives. Following the success of the ﬁrst edition of ‘RiskNeutral Valuation’, the authors have thoroughly revised the entire book, taking into account recent developments in the ﬁeld, and changes in their own thinking and teaching. In particular, the chapters on Incomplete Markets and Interest Rate Theory have been updated and extended, there is a new chapter on the important and growing area of Credit Risk and, in recognition of the increasing popularity of Lévy ﬁnance, there is considerable new material on: Inﬁnite divisibility and Lévy processes; Lévybased 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 1852334584 € 59,59  £39.50
Springer Finance
Financial Markets and Martingales
Observations on Science and Speculation
N. Bouleau, École des Ponts, Paris, France
Is it really possible to make money on the ﬁnancial markets? This is just one of the questions posed in this practical and thought provoking book, winner in the original french version, of the “Best ﬁnancial economics book” prize 1999 from the Institute de Haute Finance, and the “Prix FNACArthur Anderson du meilleur livre d’entreprise 2000”. Starting with games of chance, from which probability theory was born, Nicolas Bouleau explains how the ﬁnancial markets operate, and demonstrates how the application of mathematics has turned ﬁnance into a hightech business, as well as a formidable and eﬃcient tool. The human side of ﬁnance is also considered, with a look at the inﬂuence of the trader and the work ing relationships that are woven into the market rooms. Concise and accessible, with no previous knowledge of ﬁnance or mathematics required, the aim of this book is simply to articulate the main ideas and put them into perspective, leading readers to a fresh under standing of this complex area.
2004. XV, 151 p. Softcover
ISBN 1852335823 € 39,95  £29.50
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Biologically Inspired Algorithms for Financial Modelling
A. Brabazon, M. O‘Neill, University College Dublin, Ireland
Predicting the future for ﬁnancial gain is a diﬃcult, sometimes proﬁtable activity. The focus of this book is the application of biologically inspired algorithms (BIAs) to ﬁnancial modelling. In a detailed introduction, the authors explain computer trading on ﬁnancial markets and the diﬃculties faced in ﬁnancial market modelling. Then Part I provides a thorough guide to the various bioinspired methodologies – neural networks, evolutionary comput ing (particularly genetic algorithms and grammatical evolution), particle swarm and ant colony optimization, and immune systems. Part II brings the reader through the development of market trading systems. Finally, Part III examines realworld case studies where BIA methodologies are employed to construct trading systems in equity and foreign exchange markets, and for the prediction of corporate bond ratings and corporate failures. The book was written for those in the ﬁnance community who want to apply BIAs in ﬁnancial modelling, and for computer scientists who want an introduction to this growing application domain.
2005. XV, 269 p., 92 illus. (Natural Computing Series) Hardcover
ISBN 3540262520 € 64,95  £50.00
_{2}_{n}_{d} _{p}_{r}_{i}_{n}_{t}_{i}_{n}_{g}
2005
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Springer Finance
Mathematical Methods in Risk Theory
H. Bühlmann 

From the reviews 
, 
the book (and its author) had enormous impact 
on the development of risk theory. It was the ﬁrst selfcontained mono graph on risk theory providing a rigorous probabilistic foundation.
[and]
made an important contribution to the successful develop
ment of risk theory. This success has made the book a classic.
Zentralblatt MATH, 1996
1st ed. 1970. 2nd printing 2005. XII, 210 p. 39 illus. (Grundlehren der
mathematischen Wissenschaften, Volume 172) Hardcover
ISBN 3540051171 € 79,95  £61.50
2nd
EDITION
Interest Rate Models  Theory and Practice
With Smile, Inﬂation and Credit
D. Brigo, F. Mercurio, Banca IMI, Milan, Italy
The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swap tions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBORmodel consistent swap tionvolatility 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 localvolatility dynamics, and on stochastic volatility models have been added, with
a thorough treatment of the recently developed uncertainvolatil
ity approach. Examples of calibrations to real market data are now considered. The fastgrowing interest for hybrid products has led to
a new chapter. A special focus here is devoted to the pricing of inﬂa
tionlinked derivatives. The three ﬁnal new chapters of this second edition are devoted to credit. Since Credit Derivatives are increas ingly fundamental, and since in the reducedform modeling frame work much of the technique involved is analogous to interestrate modeling, Credit Derivatives – mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS – are discussed, build ing on the basic short ratemodels and market models introduced earlier for the defaultfree market. Counterparty risk in interest rate payoﬀ valuation is also considered, motivated by the recent Basel II framework developments.
2nd ed. 2006. Approx. 1000 p. (Springer Finance) Hardcover
ISBN 3540221492 € 64,95  £50.00
Springer Finance
A Course in Credibility Theory and its Applications
H. Bühlmann, ETH, Zürich, Switzerland; A. Gisler, Winterthur Insurance Company, Winterthur, Switzerland
The book is aimed at teachers and students as well as practising experts in the ﬁnancial area, in particular at actuaries in the ﬁeld of propertycasualty insurance, life insurance, reinsurance and insur ance supervision. Persons working in the wider world of ﬁnance will also ﬁnd many relevant ideas and examples even though credibility methods have not yet been widely applied here.The book covers the subject of Credibility Theory extensively and includes most aspects of this topic from the simplest case to the most general dynamic model. Credibility is a lifeless topic if it is not linked closely to practical applications. The book therefore treats explicitly the tasks which the actuary encounters in his daily work such as estimation of loss ratios, claim frequencies and claim sizes. This book deserves a place on the bookshelf of every actuary and mathematician who works, teaches or does research in the area of insurance and ﬁnance.
2005. XVIII, 331 p. (Universitext) Softcover
ISBN 3540257535 € 44,95  £34.50
Uncertain Volatility Models – Theory and Application
R. Buﬀ, Goldman Sachs & Co. New York, NY, USA
This book introduces Uncertain Volatility Models in mathematical ﬁnance and their computer implementation for portfolios of vanilla, barrier and American options in equity and FX markets. Uncertain Volatility Models place subjective constraints such as upper and lower bounds on volatility and evaluate option portfolios under worst and bestcase scenarios. This book is for graduate students, researchers and practitioners who wish to study advanced aspects of volatility risk in portfolios of vanilla and exotic options. The accom panying CD contains the source code of a C++ implementation of the algorithms presented in the book.
2002. XII, 244 pp. With CDROM. (Springer Finance) Softcover
ISBN 3540426574 € 44,95  £34.50
_{3}_{r}_{d} _{p}_{r}_{i}_{n}_{t}_{i}_{n}_{g}
2005
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8
Springer Finance
Mathematics for Finance
An Introduction to Financial Engineering
M. Capiński, National Louis University, Nowy Sacz, Poland; T. Zastawniak, University of York, UK
Designed to form the basis of an undergraduate course in math ematical ﬁnance, this book builds on mathematical models of bond and stock prices and covers three major areas of mathemati cal ﬁnance that all have an enormous impact on the way modern ﬁnancial markets operate, namely: BlackScholes’ arbitrage pricing
of options and other derivative securities; Markowitz portfolio opti mization theory and the Capital Asset Pricing Model; and interest rates and their term structure. Assuming only a basic knowledge of probability and calculus, it covers the material in a mathematically rigorous and complete way at a level accessible to second or third year undergraduate students. The text is interspersed with a multi tude of worked examples and exercises, so it is ideal for selfstudy and suitable not only for students of mathematics, but also students of business management, ﬁnance and economics, and anyone with an interest in ﬁnance who needs to understand the underlying theory.
1st ed. 2003. 3rd printing 2005. X, 310 p. 75 illus. (Springer Undergrad uate Mathematics Series) Softcover
ISBN 1852333308 € 32,95  £19.95
Interest Rate Models: an Inﬁnite Dimensional Stochastic Analysis Perspective
R. A. Carmona, Princeton University, Princeton, USA; M. R. Tehranchi, University of Cambridge, Cambridge, UK
Interest Rate Models: an Inﬁnite Dimensional Stochastic Analysis
Perspective studies the mathematical issues that arise in model ing the interest rate term structure. These issues are approached by casting the interest rate models as stochastic evolution equations in inﬁnite dimensional function spaces. The book is comprised of three parts. Part I is a crash course on interest rates, including a statistical analysis of the data and an introduction to some popular interest rate models. Part II is a selfcontained introduction to inﬁnite dimensional stochastic analysis, including SDE in Hilbert spaces and Malliavin calculus. Part III presents some recent results in interest rate theory, including ﬁnite dimensional realizations of HJM models, generalized bond portfolios, and the ergodicity of HJM models.
2006. XIV, 235 p. (Springer Finance) Hardcover
ISBN 3540270655 € 69,95  £54.00
Springer Finance
Statistical Tools for Finance and Insurance
P. Cizek, University of Tillburg, The Netherlands; W. Härdle, Humboldt
Universität zu Berlin, Germany; R. Weron, Wroclaw University of Tech nology, Poland (Eds.)
Statistical Tools in Finance and Insurance presents readytouse solutions, theoretical developments and method construction for many practical problems in quantitative ﬁnance and insur ance. Written by practitioners and leading academics in the ﬁeld, this book oﬀers a unique combination of topics from which every market analyst and risk manager will beneﬁt. Covering topics such as heavy tailed distributions, implied trinomial trees, support vector machines, valuation of mortgagebacked securities, pricing of CAT bonds, simulation of risk processes and ruin probability approximation, the book does not only oﬀer practitioners insight into new methods for their applications, but it also gives theoreticians insight into the applicability of the stochastic technology. Additionally, the book provides the tools, instruments and (online) algorithms for recent techniques in quantitative ﬁnance and modern treatments in insurance calculations. Written in an accessible and engaging style, this selfinstructional 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 3540221891 € 69,95  £54.00
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ParisPrinceton Lectures on Mathematical Finance 2002
R. 
A. Carmona, E. Cinlar, Princeton University, Princeton, NJ, USA; 
I. 
Ekeland, University of British Columbia, Vancouver, B.C., Canada; 
E. 
Jouini, Université Paris IX  Dauphine, Paris, France; J. A. Scheinkman, 
Princeton University, Princeton, NJ, USA; N. Touzi, CREST, Malakoﬀ, France
(Eds.)
Table of contents M.H. Soner, N. Touzi: The Problem of Superreplica tion under Constraints F. Baudoin: Modelling Anticipations on Financial Markets L.C.G. Rogers: Duality in Constrained Optimal Investment and Consumption problems: A Synthesis P. Bank, H. Föllmer: American Options, Multiarmed Bandits, and Optimal Consumption Plans: A Unifying View.
2003. X, 172p. (Lecture Notes in Mathematics, Volume 1814) Softcover
ISBN 3540401938 € 29,95  £23.00
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Springer Finance
ParisPrinceton Lectures on Mathematical Finance 2003
R. 
A. Carmona, E. Cinlar, Princeton University, Princeton, NJ, USA; 
I. 
Ekeland, University of British Columbia, Vancouver, B.C., Canada; 
E. 
Jouini, Université Paris IX  Dauphine, Paris, France; J. A. Scheinkman, 
Princeton University, Princeton, NJ, USA; N. Touzi, CREST, Malakoﬀ, France
(Eds.)
Table of contents T. Bielecki, M. Jeanblanc, Marek Rutkowski: Hedging of Defaultable Claims. T. Björk: On the Geometry of Interest Rate Models. J.A. Scheinkman, W. Xiong: Heterogeneous Beliefs, Speculation and Trading in Financial Markets.
2004. IX, 250 p. (Lecture Notes in Mathematics, Volume 1847) Softcover
ISBN 3540222669 € 39,95  £30.50
Financial Markets in Continuous Time
R. Dana, Université de Paris IX Dauphine, France; M. Jeanblanc, Université
d’Evry, France
In modern ﬁnancial practice, asset prices are modelled by means of stochastic processes, and continuoustime stochastic calculus thus plays a central role in ﬁnancial modelling. This approach has its roots in the foundational work of the Nobel laureates Black, Scholes and Merton. Asset prices are further assumed to be rationalizable, that is, determined by equality of demand and supply on some market. This approach has its roots in the foundational work on General Equilibrium of the Nobel laureates Arrow and Debreu and in the work of McKenzie. This book has four parts. The ﬁrst brings together a number of results from discretetime models. The second develops stochastic continuoustime models for the valuation of ﬁnancial assets (the BlackScholes formula and its extensions), for optimal portfolio and consumption choice, and for obtaining the yield curve and pricing interest rate products. The third part recalls some concepts and results of general equilibrium theory, and applies this in ﬁnancial markets. The last part is more advanced and tackles market incompleteness and the valuation of exotic options in a complete market.
2003. XI, 324 p. (Springer Finance) Hardcover
ISBN 3540434038 € 59,95  £46.00
Springer Finance
Visual Explorations in Finance
with SelfOrganizing Maps
G. Deboeck, Arlington, VA, USA; T. Kohonen, Helsinki University of Tech
nology, Hut, Finland (Eds.)
Selforganizing maps (SOM) have proven to be of signiﬁcant economic value in the areas of ﬁnance, economic and marketing applications. As a result, this area is rapidly becoming a non academic technology. This book looks at near stateoftheart SOM applications in the above areas, and is a multiauthored volume, edited by Guido Deboeck, a leading exponent in the use of compu tational methods in ﬁnancial and economic forecasting, and by the originator of SOM, Teuvo Kohonen. The book contains chapters on applications of unsupervised neural networks using Kohonen’s self organizing map approach.
1998. XLVI, 312 p. 129 illus. (Springer Finance) Hardcover
ISBN 3540762663 € 104,95  £59.50
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The Mathematics of Arbitrage
F. Delbaen, ETH Zürich, Switzerland; W. Schachermayer, Technische
Universität Wien, Austria
This longawaited book aims at a rigorous mathematical treatment of the theory of pricing and hedging of derivative securities by the principle of ‘no arbitrage’. The ﬁrst part presents a relatively elemen tary introduction, restricting itself to the case of ﬁnite probability spaces. The second part compromises an updated edition of seven original research papers by the authors, which analyse the topic in the general framework of semimartingale theory.
2006. XVI, 373 p. (Springer Finance) Hardcover
ISBN 3540219927 € 69,95  £54.00
Modelling Extremal Events for Insurance and Finance
P. Embrechts, ETH Zürich, Switzerland; C. Klüppelberg, Technische Univer
sität München, Germany; T. Mikosch, University of Copenhagen, Denmark
1st ed. 1997. Corr. 4th printing 2003. XV, 648 p. 100 ﬁgs. (Stochastic Model ling and Applied Probability, Volume 33) Hardcover
ISBN 3540609318 € 69,95  £54.00
2nd
EDITION
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Springer Finance
Mathematics of Financial Markets
R. J. Elliott, University of Calgary, AL, Canada; P. E. Kopp, University of Hull, UK
This book presents the mathematics that underpins pricing models for derivative securities, such as options, futures and swaps, in modern ﬁnancial markets. The idealized continuoustime models built upon the famous BlackScholes theory require sophisticated mathematical tools drawn from modern stochastic calculus. However, many of the underlying ideas can be explained more simply within a discretetime framework. This is developed exten sively in this substantially revised second edition to motivate the technically more demanding continuoustime theory, which includes a detailed analysis of the BlackScholes model and its generaliza tions, American put options, term structure models and consump tioninvestment problems. The mathematics of martingales and stochastic calculus is developed where it is needed. he new edition adds substantial material from current areas of active research, nota bly: a new chapter on coherent risk measures, with applications to hedging – a complete proof of the ﬁrst fundamental theorem of asset pricing for general discrete market models – the arbitrage interval for incomplete discretetime markets – characterization of complete discretetime markets, using extended models – risk and return and sensitivity analysis for the BlackScholes model.
2nd ed. 2005. XI, 352 p. 7 illus. (Springer Finance) Hardcover
ISBN 0387212922 € 89,95  £69.00
Forthcoming
Duality in Mathematical Finance
M. Frittelli, Università degli Studi di Firenze, Italy; S. Biagini, Università degli Studi di Perugia, Italy; G. Scandolo, Università degli Studi di Firenze, Italy
This monograph presents an advanced and uniﬁed treatment of four important issues that have dominated the theoretical research in mathematical ﬁnance for the last ten years: (1) the fundamental theorem of asset pricing; (2) utility maximization in incomplete markets; (3) pricing in incomplete markets; (4) the risk measure ment of a static payoﬀ and of a cashﬂow stream. The powerful tools of convex analysis and duality theory are systematically applied to investigate these topics, under very general assumptions on the ﬁnancial markets. This duality approach reveals the prominent role of the investor’s preferences in all these fundamental issues and contributes to a deeper understanding of the economic aspects of the theory.
2007. Approx. 150 p. (Springer Finance) Hardcover
ISBN 3540401083 approx. € 44,95  £34.50
Springer Finance
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Consistency Problems for HeathJarrowMorton Interest Rate Models
D. Filipovic, ETHZentrum, Zürich, Switzerland
2001. VIII, 134 p. (Lecture Notes in Mathematics, Volume 1760) Softcover
ISBN 3540414932 € 29,95  £23.00
Statistics of Financial Markets
An Introduction
J. Franke, University of Kaiserslautern, Germany; W. Härdle, Humboldt Universität zu Berlin, Germany; C. M. Hafner, Erasmus University Rotterdam, The Netherlands
_{F}_{r}_{o}_{m} _{t}_{h}_{e} _{r}_{e}_{v}_{i}_{e}_{w}_{s} This book provides a statistical approach to the theoretical and practical issues relating to stock trading. Written by three specialists in closely related ﬁelds, it is highly useful for anyone interested in the mathematical and statistical aspects of ﬁnance … .
Kassim S. Mwitondi, Journal of Applied Statistics, Vol. 32 (4), 2005
2004. XXIII, 424 p. (Universitext) Softcover
ISBN 3540216758 € 59,95  £46.00
Implementing Models in Quantitative Finance:
Methods and Cases
G. Fusai, Università degli Studi del Piemonte Orientale, Novara, Italy;
A. Roncoroni, ESSEC, Cergy Pontoise, France
This book puts numerical methods in action for the purpose of solving practical problems in quantitative ﬁnance. The ﬁrst part develops a toolkit in numerical methods for ﬁnance (Monte Carlo, PDE, Stochastic Optimization, Copula, Econometrics). The second part proposes twenty selfcontained cases covering model simula tion, asset pricing and hedging, risk management, statistical estima tion and model calibration. Each case develops a detailed solution to a concrete problem arising in applied ﬁnancial management and guides the user towards a computer implementation. The appen dices contain “crash courses” in VBA and Matlab programming languages. A companion CD provides readytorun codes (VBA, MATLAB). The book originates from class notes and case studies developed within a course on numerical methods in ﬁnance held by the authors at Bocconi University.
Forthcoming
2006. Approx. 500 p. With CDROM. (Springer Finance) Hardcover
ISBN 3540223487 € 69,95  £54.00
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Springer Finance
Mathematical Finance – Bachelier Congress 2000
Selected Papers from the First World Congress of the Bachelier Finance Society, Paris, June 29July 1, 2000
H. Geman, Université Paris IX, Paris, France; D. Madan, University of Mary
land, College Park, MD, USA; S. R. Pliska, University of Illinois, Chicago, IL, USA; T. Vorst, Erasmus Universiteit Rotterdam, The Netherlands (Eds.)
2002. X, 521 pp. (Springer Finance) Hardcover
ISBN 354067781X € 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 ﬁnancial engineering and the Monte Carlo
method. The book will appeal to graduate students, researchers, and
most of all, practicing ﬁnancial engineers [
gency Analysis
]
Glyn Holton, Contin
2005 INFORMS Outstanding Simula tion Publication Award
2003. XIII, 596 p. 99 illus. (Stochastic Modelling and Applied Probability, Volume 53) Hardcover
ISBN 0387004513 € 52,95  £40.50
CreditRisk ^{+} in the Banking Industry
M. Gundlach, KfW Bankengruppe, Frankfurt, Germany; F. Lehrbass,
Deutsche GenossenschaftsHypothekenbank AG, Hamburg, Germany (Eds.)
This book gives an account of the status quo as well as of new and recent developments of the credit risk model CreditRisk ^{+} , which is widely used in the banking industry. It gives an introduction to the model itself and to its ability to describe, manage and price credit risk. The book is intended for an audience of practitioners in bank ing and ﬁnance, as well as for graduate students and researchers in the ﬁeld of ﬁnancial mathematics and banking. It contains carefully refereed contributions from experts in the ﬁeld, selected for mutual consistency and edited for homogeneity of style, notation, etc. The discussion ranges from computational methods and extensions for special forms of credit business to statistical calibrations and practi cal implementations. This unique and timely book constitutes an indispensable tool for both practitioners and academics working in the evaluation of credit risk. CreditRisk ^{+} is an important and widely implemented defaultmode model of portfolio credit risk, based on a methodology borrowed from actuarial mathematics.
2004. XII, 369 p. (Springer Finance) Hardcover
ISBN 3540207384 € 79,95  £61.50
Springer Finance
Applied Quantitative Finance
Theory and Computational Tools
W. Härdle, T. Kleinow, Humboldt Universität zu Berlin, Germany; G. Stahl, Federal Banking Supervisory Oﬃce, Bonn, Germany
Applied Quantitative Finance presents solutions, theoretical devel opments and method proliferation for many practical problems in quantitative ﬁnance. The combination of practice and theory supported by computational tools is reﬂected in the selection of topics as well as in a ﬁnely tuned balance of scientiﬁc contributions on the practical implementation and theoretical concepts. The ebook design of the text links theory and computational tools in an innovative way. All “quantlets” for the calculation of given examples in the text are executable on an XploRe Quantlet Server (XQS) and can be modiﬁed by the reader via the internet. The elec tronic edition can be downloaded from the web site www.ixplore.de using the licence and registration number at the back cover.
2002. XXIV, 402 p. Softcover
ISBN 3540434607 € 62,95  £48.50
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Binomial Models in Finance
J. van der Hoek, University of Adelaide, SA, Australia; R. J. Elliott, Univer sity of Calgary, AB, Canada
This book deals with many topics in modern ﬁnancial mathematics in a way that does not use advanced mathematical tools and shows how these models can be numerically implemented in a practical way. The book is aimed at undergraduate students, MBA students, and executives who wish to understand and apply ﬁnancial models in the spreadsheet computing environment. The basic building block is the onestep binomial model where a known price today can take one of two possible values at the next time. In this simple situation, risk neutral pricing can be deﬁned and the model can be applied to price forward contracts, exchange rate contracts, and interest rate derivatives. The simple oneperiod framework can then be extended to multiperiod 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 0387258981 € 69,95  £54.00
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Springer Finance
NEW


Semiparametric Modeling of Implied Volatility 

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

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

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

ISBN 3540262342 € 44,95  £34.50 

NEW

Financial Modeling Under NonGaussian Distributions 
E. Jondeau, M. Rockinger, University of Lausanne, Switzerland; S.H. Poon, University of Manchester, UK
NonGaussian distributions are the key theme of this book which addresses the causes and consequences of nonnormality and time dependency in both asset returns and option prices. One of the main aims is to bridge the gap between the theoretical develop ments and the practical implementations of what many users and researchers perceive as “sophisticated” models or black boxes. The book is written for nonmathematicians who want to model ﬁnan cial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other ﬁnancial time series, such as exchange and interest rates. The authors have taken care to make the material accessible to anyone with a basic
2nd
EDITION
Springer Finance
17
springer.com
knowledge of statistics, calculus and probability, while at the same time preserving the mathematical rigor and complexity of the original models. This book will be an essential reference for practitioners in the ﬁnance industry, especially those responsible for managing portfo lios and monitoring ﬁnancial risk, but it will also be useful for math ematicians who want to know more about how their mathematical tools are applied in ﬁnance, and as a text for advanced courses in empirical ﬁnance; ﬁnancial econometrics and ﬁnancial derivatives.
2006. Approx. 575 p. 129 illus. (Springer Finance) Hardcover
ISBN 1846284198 € 69,95  £50.00
Methods of Mathematical Finance
I. Karatzas, Columbia University, New York, NY, USA; S. E. Shreve, Carnegie Mellon University, Pittsburgh, PA, USA
1st ed. 1998. Corr. 3rd printing 2001. XV, 415 p. (Stochastic Modelling and Applied Probability, Volume 39) Hardcover
ISBN 0387948392 € 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 continuoustime pricing practice in ﬁnancial engineering and the capital market data inevitably only available at discretetime 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, ﬁxedincome products and electricity derivatives. The second edition newly incorporates the ﬁnancial modeling chapter which elaborates on the vital PDE and EMMapproaches. The reorganized and improved text further integrates the latest research contributions in the three covered application ﬁelds.
2nd ed. 2004. XIV, 243 p. 10 illus., 30 tabs. (Springer Finance) Hardcover
ISBN 3540208534 € 74,95  £57.50
2nd
EDITION
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18
Springer Finance
Irrational Exuberance Reconsidered
The Cross Section of Stock Returns
M. Külpmann, CFA, Berlin, Germany
Does the stock market overreact? Recent capital market turbulences have cast doubt whether the behaviour of stock markets is in line with rational investor behaviour. To which extent stock returns are predictable is the question at the heart of the controversy between the paradigms of rational asset pricing and behavioural ﬁnance. This new and revised edition discusses the empirical evidence from both perspectives. Theory and empirical analysis are blended with feedback from security analysts to oﬀer a road towards a deeper understanding of the underlying forces to drive performance in the stock market.
2nd ed. 2004. XII, 230 p. (Springer Finance) Hardcover
ISBN 3540140077 € 69,95  £54.00
Stochastic Calculus of Variations in Mathematical Finance
P. Malliavin, Académie des Sciences, Paris, France; A. Thalmaier, Université de Poitiers, France
Malliavin calculus provides an inﬁnitedimensional diﬀerential calculus in the context of continuous paths stochastic processes. The calculus includes formulae of integration by parts and Sobolev spaces of diﬀerentiable functions deﬁned on a probability space. This new book, demonstrating the relevance of Malliavin calculus for Mathematical Finance, starts with an exposition from scratch of this theory. Greeks (price sensitivities) are reinterpreted in terms of Malliavin calculus. Integration by parts formulae provide stable Monte Carlo schemes for numerical valuation of digital options. Finitedimensional projections of inﬁnitedimensional Sobolev spaces lead to Monte Carlo computations of conditional expecta tions useful for computing American options. The discretization error of the Euler scheme for a stochastic diﬀerential equation is expressed as a generalized Watanabe distribution on the Wiener space. Insider information is expressed as an inﬁnitedimensional 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 3540434313 € 44,95  £34.50
Springer Finance
Mathematical Models of Financial Derivatives
Y.K. Kwok, Hong Kong University of Science & Technology, China
Mathematical Models of Financial Derivatives is a textbook on the theory behind modeling derivatives and their risk manage ment, focussing on the valuation principles that are common to most derivative securities. A wide range of ﬁnancial derivatives commonly traded in the equity and ﬁxed income markets are analyzed, emphasizing on aspects of pricing, hedging and practical usage. The readers are guided through the text on new advances in analytic techniques and numerical methods for solving various types of derivative pricing models. In this second edition, more emphasis has been placed on the discussion of Ito calculus and Girsanov’s Theorem; and in particular, the concepts of risk neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Most recent research results and concepts are made accessible to the read ers through extensive, well thought out exercises at the end of each chapter.
2nd ed. 2006. Approx. 500 p. (Springer Finance) Hardcover
ISBN 3540422889 approx. € 65,90  £50.50
Extreme Financial Risks
From Dependence to Risk Management
Y. Malevergne, CNRS and University of NiceSophia Antipolis, France; D. Sornette, CNRS and University of NiceSophia Antipolis and UCLA, USA
Portfolio analysis and optimization, together with the associated risk assessment and management, require knowledge of the likely distributions of returns at diﬀerent time scales and insights into the nature and properties of dependences between the diﬀerent assets.
This book oﬀers an original and thorough treatment of these two domains, focusing mainly on the concepts and tools that remain valid for large and extreme price moves. Strong emphasis is placed on the theory of copulas and their empirical testing and calibration, because they oﬀer intrinsic and complete measures of dependences.
Extreme Financial Risks will be useful to: students looking for a general and indepth introduction to the ﬁeld; ﬁnancial engineers, economists, econometricians, actuarial professionals; researchers and mathematicians looking for a synoptic view comparing the pros and cons of diﬀerent modelling strategies; and quantitative practitioners for the insights oﬀered on the subtleties and the many dimensional components of both risk and dependence.
2006. XVI, 312 p. Softcover
ISBN 354027264X € 49,95  £38.50
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Springer Finance
Risk and Asset Allocation
A. Meucci, Lehman Brothers, Inc., New York, NY, USA
Meucci’s Risk and Asset Allocation is one of those rare books that
take a completely fresh look at a wellstudied problem, optimal ﬁnan cial portfolio allocation based on statistically estimated models of risk and expected return. Designed for graduate students or quantitatively oriented asset managers, Meucci provides a sophisticated and inte grated treatment, from investment theory, to optimization methods, to statistical analysis of multivariate return data, through computa tional implementation of the results. This is rigorous and relevant!
Darrel Duﬃe, Professor of Graduate Business School, Stanford University
A wonderful book! Mathematically rigorous and yet practical,
heavily illustrated with graphs and worked examples, Attilio Meucci has written a comprehensive treatment of asset allocation starting from statistical concepts, covering investment primitives, and leading to portfolio optimization in a Bayesian context with parameter uncer
tainty. Bob Litterman, Head of Quantitative Resources, Goldman Sachs Asset Management
At symmys.com the reader will ﬁnd freely downloadable comple mentary materials: the Exercise Book; a set of thoroughly docu mented MATLAB® applications; and the Technical Appendices with all the proofs. More materials and complete reviews can also be found at symmys.com.
2005. XXVI, 532 p. 141 illus. (Springer Finance) Hardcover
ISBN 3540222138 € 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 0387983635 € 54,95  £42.50
Stochastic Processes
From Physics to Finance
W. Paul, J. Baschnagel, University of Mainz, Germany
1999. XIII, 231 pp. 36 ﬁgs. Hardcover
ISBN 3540665609 € 84,95  £65.50
Springer Finance
NonLife Insurance Mathematics
An Introduction with Stochastic Processes
T. Mikosch, University of Copenhagen, Denmark
This book oﬀers a mathematical introduction to nonlife insurance and, at the same time, to a multitude of applied stochastic processes. It gives detailed discussions of the fundamental models for claim sizes, claim arrivals, the total claim amount, and their probabi listic properties. Throughout the book the language of stochastic processes is used for describing the dynamics of an insurance port folio in claim size space and time. In addition to the standard actu arial notions, the reader learns about the basic models of modern nonlife insurance mathematics: the Poisson, compound Poisson and renewal processes in collective risk theory and heterogeneity and Bühlmann models in experience rating. The reader gets to know how the underlying probabilistic structures allow one to determine premiums in a portfolio or in an individual policy. Special emphasis is given to the phenomena which are caused by large claims in these models. What makes this book special are more than 100 ﬁgures and tables illustrating and visualizing the theory. Every section ends with extensive exercises. They are an integral part of this course since they support the access to the theory.
The book can serve either as a text for an undergraduate/graduate course on nonlife 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 3540406506 € 49,95  £38.50
21
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NonLife Insurance Mathematics
E. Straub, Zürich, Switzerland
1st ed. 1988. Corr. 2nd printing 1997. VIII, 136 pp. Hardcover
ISBN 3540187871 € 109,95  £84.50
Life Insurance Mathematics
H. U. Gerber, University of Lausanne, Switzerland
3rd ed. 1997. XVII, 221 p. Hardcover
ISBN 354062242X € 44,95  £34.50
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Springer Finance
2nd
EDITION
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 plainvanilla options and valuation of exotic options are no longer limited to the BlackScholes framework with constant volatility.
The theme of stochastic volatility also reappears systematically in the second part of the book, which has been revised fundamentally, presenting much more detailed analyses of the various interestrate models available: the authors’ perspective throughout is that the choice of a model should be based on the reality of how a particu lar sector of the ﬁnancial market functions, never neglecting to examine liquid primary and derivative assets and identifying the sources of trading risk associated. This longawaited new edition of an outstandingly successful, wellestablished book, concentrating on the most pertinent and widely accepted modelling approaches, provides the reader with a text focused on practical rather than theoretical aspects of ﬁnancial modelling.
2nd ed. 2005. XVI, 636 p. (Stochastic Modelling and Applied Probability, Volume 36) Hardcover
ISBN 3540209662 € 74,95  £57.50
Eﬃcient Methods for Valuing Interest Rate Derivatives
A. Pelsser, Erasmus University, Rotterdam, The Netherlands
Eﬃcient Methods for Valuing Interest Rate Derivatives provides an overview of the models that can be used for valuing and manag ing interest rate derivatives. Split into two parts, the ﬁrst discusses and compares the traditional models, such as spot and forwardrate models, while the second concentrates on the more recently devel oped Market models. Unlike most of his competitors, the author’s focus is not only on the mathematics: Antoon Pelsser draws on his experience in industry to explore the practical issues, such as the implementation of models, and model selection.
2000. XII, 184 p., Uncorr. 3rd printing (Springer Finance) Hardcover
ISBN 1852333049 € 72,95  £56.00
Springer Finance
A Benchmark Approach Quantitative Finance
E. Platen, D. Heath, University of Technology Sydney, NSW, Australia
The benchmark approach provides a general framework for ﬁnancial market modeling, which extends beyond the standard risk neutral pricing theory. It permits a uniﬁed treatment of portfolio optimiza tion, derivative pricing, integrated risk management and insurance risk modeling. The existence of an equivalent riskneutral pricing measure is not required. Instead, it leads to pricing formulae with respect to the real world probability measure. This yields important modeling freedom which turns out to be necessary for the deriva tion of realistic, parsimonious market models. The ﬁrst part of the book describes the necessary tools from probability theory, statistics, stochastic calculus and the theory of stochastic diﬀerential equations with jumps. The second part is devoted to ﬁnancial modeling under the benchmark approach. Various quantitative methods for the fair pricing and hedging of derivatives are explained. The general frame work is used to provide an understanding of the nature of stochastic volatility. The book is intended for a wide audience that includes quantitative analysts, postgraduate students and practitioners in ﬁnance, economics and insurance. It aims to be a selfcontained, accessible but mathematically rigorous introduction to quantitative ﬁnance for readers that have a reasonable mathematical or quantita tive background. Finally, the book should stimulate interest in the benchmark approach by describing some of its power and wide applicability.
2006. Approx. 650 p. (Springer Finance) Hardcover
ISBN 3540262121 € 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 ﬁnancial markets. Split into three parts, the ﬁrst recalls the mathematics of stochastic processes and stochastic calculus with special emphasis on contigu ity properties and weak convergence of stochastic integrals. The second part is devoted to the analysis of ﬁnancial theory from the convergence point of view. The main problems such as portfolio optimization, option pricing and hedging are examined. The third part deals with lattice and treebased 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 3540423338 € 99,95  £77.00
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24 
Springer Finance 

Development Finance 

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

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


2003. 
XVI, 209 p. 2 illus. Hardcover 

ISBN 3540401539 € 69,95  £54.00 

Introduction to the Mathematics of Finance 

From Risk Management to Options Pricing 

Best of 2005 Book Awards by riskbook.com 
S. Roman, California State University, Fullerton, CA, USA 
This book is speciﬁcally written for advanced undergraduate or beginning graduate students in mathematics, ﬁnance or econom ics. With the exception of an optional chapter on the Capital Asset Pricing Model, the book concentrates on discrete derivative pricing models, culminating in a careful and complete derivation of the BlackScholes option pricing formulas as a limiting case of the CoxRossRubinstein discrete model. The ﬁnal chapter is devoted to American options. The mathematics is not watered down, but is appropriate for the intended audience. No measure theory is used, and only a small amount of linear algebra is required. All necessary probability theory is developed throughout the book on a “needtoknow” basis. No background in ﬁnance is required, since the book also contains a chapter on options.
2004. XV, 354 p. 55 illus. (Undergraduate Texts in Mathematics)
Hardcover:
ISBN 0387213759 € 79,95  £61.50
Softcover:
ISBN 0387213643 € 49,95  £38.50
2nd
EDITION
Springer Finance
Statistics and Finance
An Introduction
D. Ruppert, Cornell University, Ithaca, NY, USA
From the reviews
The book is wellwritten and clear
the
clear
writing with illustrative examples and pictures strongly recommend the book as a basis for ﬁnancemotivated statistics classes at the
undergraduate level. SIAM Review, Vol. 47, No. 2
2004. XXI, 473 p. (Springer Texts in Statistics) Hardcover
ISBN 0387202706 € 69,95  £54.00
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Advances in Finance and Stochastics
Essays in Honour of Dieter Sondermann
K. Sandmann, Johannes GutenbergUniversität Mainz, Germany;
P. J. Schönbucher, ETH Zürich, Switzerland (Eds.)
With contributions by: F. Delbaen; H. Föllmer/A. Schied; P. Embrechts/ S.Y. Novak; J. Werner; J.C. Duan/S.R. Pliska; D.B. Madan/F. Milne/R.J. Elliott:
Y.M. Kabanov/C. Stricker: R. Frey/P. Patie; L.C.G. Rogers/O. Zane; R. Bhar/
C. 
Chiarella/W. Runggaldier; E. Schlögl; J. A. Nielsen/K. Sandmann; 
M. 
Schweizer; L.A. Shepp/A.N. Shiryaev/A. Sulem; K. Schürger; G. Peskir/ 
A.N. Shiryaev
2002. XIX, 312 p. 32 illus. Hardcover
ISBN 354043464X € 54,95  £42.50
Credit Risk Pricing Models
B. Schmid, riskLab germany GmbH, München, Germany
Credit Risk Pricing Models gives a deep insight into the latest basic and advanced credit risk modelling techniques covering not only the standard structural, reduced form and hybrid approaches but also showing how these methods can be applied to practice. The text covers a broad range of ﬁnancial instruments, including all kinds of defaultable ﬁxed and ﬂoating rate debt, credit derivatives and collateralised debt obligations.This volume will be a valuable source for the ﬁnancial community involved in pricing credit linked ﬁnancial instruments. In addition, the book can be used by students and academics for a comprehensive overview of the most important credit risk modelling issues.
2nd ed. 2004. XI, 383 p. 101 illus., 65 tabs. (Springer Finance) Hardcover
ISBN 354040466X € 79,95  £61.50
Springer Finance
Tools for Computational Finance
R. U. Seydel, Universität zu Köln, Germany
This book is very easy to read and one can gain a quick snapshot of computational issues arising in ﬁnancial mathematics. Researchers or students of the mathematical sciences with an interest in ﬁnance will ﬁnd this book a very helpful and gentle guide to the world of ﬁnancial
engineering. SIAM review (46, 2004)
The third edition is thoroughly revised and signiﬁcantly extended. The largest addition is a new section on analytic methods with main focus on interpolation approach and quadratic approximation. New sections and subsections are among others devoted to riskneutral ity, earlyexercise curves, multidimensional BlackScholes models, the integral representation of options and the derivation of the BlackScholes equation.
New ﬁgures, more exercises, more background material make this “guide to the world of ﬁnancial engineering” a real musttohave for everyone working in FE.
3rd ed. 2006. Approx. 300 p. (Universitext) Softcover
ISBN 3540279237 € 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 0387401008 € 39,95  £30.50
Softcover:
ISBN 0387249680 € 26,95  £20.50
Stochastic Calculus for Finance II
ContinuousTime Models
S. E. Shreve, Carnegie Mellon University, Pittsburgh, PA, USA
_{F}_{r}_{o}_{m} _{t}_{h}_{e} _{r}_{e}_{v}_{i}_{e}_{w}_{s} In summary, this is a wellwritten text that treats the key classical models of ﬁnance through an applied probability approach. It is accessible to a broad audience and has been developed
after years of teaching the subject
. SIAM, 2005
2004. XIX, 550 p. 28 illus. (Springer Finance) Hardcover
ISBN 0387401016 € 54,95  £42.50
Springer Finance
27
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Stochastic Calculus and Financial Applications
J. M. Steele, University of Pennsylvania, Philadelphia, PA, USA
From the reviews …the results are presented carefully and thor oughly, and I expect that readers will ﬁnd that this combination of a careful development of stochastic calculus with many details and examples is very useful and will enable them to apply the whole theory
conﬁdently. MATHEMATICAL REVIEWS
1st ed. 2001. Corr. 3rd printing 2003. IX, 300 p. 3 ﬁgs. (Stochastic Modelling and Applied Probability, Volume 45) Hardcover
ISBN 0387950168 € 74,95  £52.50
Exponential Functionals of Brownian Motion and Related Processes
M. Yor, Université Paris VI, France
This volume collects papers about the laws of geometric Brown ian motions and their timeintegrals, written by the author and coauthors between 1988 and 1998. These functionals play an important role in Mathematical Finance, as well as in (probabilistic) studies related to hyperbolic geometry, and also to random media. Throughout the volume, connections with more recent studies involving exponential functionals of Lévy processes are indicated. Some papers originally published in French are made available in English for the ﬁrst time.
2001. IX, 203 pp. (Springer Finance) Softcover
ISBN 3540659439 € 49,95  £38.50
InterestRate Management
R. Zagst, RiskLab GmbH, Munich, Germany
This book combines a rigorous overview of the mathematics of ﬁnancial markets with an insight into the practical application of these models to the risk and portfolio management of interestrate derivatives. It can also serve as a valuable textbook for graduate and PhD students in mathematics who want to get some knowledge about ﬁnancial markets. The ﬁrst part of the book is an exposition of advanced stochastic calculus. It deﬁnes the theoretical framework for the pricing and hedging of contingent claims with a special focus on interestrate markets. The second part covers a selection of short and longterm oriented risk measures as well as their application to the risk management of interestrate portfolios. Interesting and comprehensive case studies are provided to illustrate the theoretical concepts.
2002. XV, 341 pp. (Springer Finance) Hardcover
ISBN 3540675949 € 59,95  £46.00
2nd
EDITION
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28
Springer Finance
A Game Theory Analysis of Options
Corporate Finance and Financial Intermediation in Continuous Time
A. Ziegler, University of Lausanne, Switzerland
This book shows how to combine game theory and option pricing in order to analyze dynamic multiperson decision problems in continuous time and under uncertainty. The basic intuition of the method is to separate the problem of the valuation of payoﬀs from the analysis of strategic interactions. Whereas the former is to be handled using option pricing, the latter can be addressed by game theory. The text shows how both instruments can be combined and how game theory can be applied to complex problems of corporate ﬁnance and ﬁnancial intermediation. Besides providing theoretical foundations and serving as a guide to stochastic game theory model ling in continuous time, the text contains numerous applications to the theory of corporate ﬁnance and ﬁnancial intermediation. By combining arbitragefree valuation techniques with strategic analy sis, the game theory analysis of options actually provides the link between markets and organizations.
2nd ed. 2004. XVI, 174 p. 42 illus. (Springer Finance) Hardcover
ISBN 354020668X € 69,95  £54.00
Derivative Securities and Diﬀerence Methods
Y. 
Zhu, University of North Carolina at Charlotte, Charlotte, NC, USA; 
X. 
Wu, Hong Kong Baptist University, Kowloon, Hong Kong, China; I. Chern, 
National Taiwan University, Taipei, Taiwan
This book is devoted to determining the prices of ﬁnancial deriva tives using a partial diﬀerential equation approach. In the ﬁrst part the authors describe the formulation of the problems (including related freeboundary problems) and derive the closed form solu tions if they have been found. The second part discusses how to obtain their numerical solutions eﬃciently for both Europeanstyle and Americanstyle derivatives and for both stock options and interest rate derivatives. The numerical methods discussed are ﬁnite diﬀerence methods. The book also discusses how to determine the coeﬃcients in the partial diﬀerential equations. The aim of the book is to provide readers who have some code writing experience for engineering computations with the skills to develop eﬃcient derivativepricing codes. The book includes exercises throughout and will appeal to students and researchers in quantitative ﬁnance as well as practitioners in the ﬁnancial industry and code developers.
2004. XVIII, 513 p. 92 illus. (Springer Finance) Hardcover
ISBN 0387208429 € 79,95  £61.50
2nd
EDITION
Springer Finance
Incomplete Information and Heterogeneous Beliefs in Continuoustime Finance
A. Ziegler, University of Lausanne, Switzerland
This book considers the impact of incomplete information and heterogeneous beliefs on investor’s optimal portfolio and consump tion behavior and equilibrium asset prices. After a brief review of the existing incomplete information litera ture, the eﬀect of incomplete information on investors’ exptected utility, risky asset prices, and interest rates is described. It is demonstrated that increasing the quality of investors’ information need not increase their expected utility and the prices of risky assets. The impact of heterogeneous beliefs on investors’ portfolio and consumption behavior and equilibrium asset prices is shown to be nontrivial. It is also demonstrated that ﬁnancial markets in general do not aggregate information eﬃciently, a fact that can explain the equity premium puzzle. Heterogeneous beliefs can explain a number of observed phenom ena, such as the fact that equilibrium stateprice densities are not lognormal, 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 3540003444 € 74,95  £57.50
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Modeling Financial Time Series with SPLUS®
E. Zivot, University of Washington, Seattle, WA, USA; J. Wang, Ronin Capital LLC, Chicago, IL, USA
This is the ﬁrst book to show the power of SPLUS for the analysis of time series data. It is written for researchers and practitioners in the ﬁnance industry, academic researchers in economics and ﬁnance, and advanced MBA and graduate students in economics and ﬁnance. Readers are assumed to have a basic knowledge of SPLUS 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, continuoustime ﬁnancial models, generalized method of moments, seminonparametric conditional density models, and the eﬃcient method of moments.
2nd ed. 2006. XXII, 998 p. 270 illus. Softcover
ISBN 0387279652 € 59,95  £46.00
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30 
Related Titles from Mathematics and Statistics 

Related Titles from Mathematics and Statistics 

Lectures on Probability Theory and Statistics 

Ecole d’Eté de Probabilités de SaintFlour XXX  2000 

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

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

P. 
Bernard, Université BlaisePascal, ClermontFerrant, Aubière, France (Ed.) 

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

2003. VIII, 296 p. (Lecture Notes in Mathematics, Volume 1816) Softcover 

ISBN 3540403353 € 43,95  £34.00 

Forthcoming 
Stochastic Simulation 
Algorithms and Analysis
S. Asmussen, P. W. Glynn
The book covers a broad aspect of topics and applications in simula tion at a higher mathematical level than other recent texts in the area. Its readership is intended for graduate students and research ers from a broad variety of areas, in particular applied probability, statistics, mathematical ﬁnance, operations research, industrial engineering, electrical engineering and other application areas. The book contains a large amount of exercises and illustrations.
2007. Approx. 300 p. 44 illus. (Stochastic Modelling and Applied Prob
ability,) Hardcover
ISBN 038730679X approx. € 46,95  £36.00
Séminaire de Probabilités XXXVI
J. Azéma, Université Pierre et Marie Curie, Paris, France; M. Émery, Univer
sité Louis Pasteur, Strasbourg, France; M. Ledoux, Université Paul Sabatier, Toulouse, France; M. Yor, Université Pierre et Marie Curie, Paris, France (Eds.)
2003. VIII, 499 p. (Lecture Notes in Mathematics / Séminaire de Probabilités,
Volume 1801) Softcover
ISBN 3540000720 € 69,95  £54.00
2nd
EDITION
4th
EDITION
Related Titles from Mathematics and Statistics
Measure, Integral and Probability
M. Capinski, Nowy Sacz, Poland; P. E. Kopp, University of Hull, UK
Measure, Integral and Probability is a gentle introduction that makes measure and integration theory accessible to the average thirdyear undergraduate student. The ideas are developed at an easy pace in a form that is suitable for selfstudy, 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 RadonNikodym theorem, an analysis of the structure of LebesgueStieltjes measures, the HahnJordan decomposition, and a brief introduction to martingales; key aspects of ﬁnancial modelling, including the BlackScholes formula, discussed brieﬂy from a measuretheoretical perspective to help the reader understand the underlying mathematical framework.
2nd ed. 2004. XV, 311 p. 23 illus. (Springer Undergraduate Mathematics Series) Softcover
ISBN 1852337818 € 39,95  £18.95
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Statistical Analysis of Financial Data in SPlus
R. A. Carmona, Princeton University, NJ, USA
2004. XVI, 451 p.144 illus. (Springer Texts in Statistics) Hardcover
ISBN 0387202862 € 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
_{F}_{r}_{o}_{m} _{t}_{h}_{e} _{r}_{e}_{v}_{i}_{e}_{w}_{s} This edition is the third revision of a text on mathematical probability ﬁrst published in 1974. The text is aimed at undergraduate mathematics students and is accessible to a general audience. The prose is accurate, entertaining, and dense with historical tidbits. Two concluding chapters on mathematical ﬁnance have been added to the eight chapters in the third edition by the second author.
The American Statistician, May 2004
4th ed. 2003. XIII, 402 p. 114 illus., 57 in color. (Undergraduate Texts in Mathematics) Hardcover
ISBN 038795578X € 79,95  £61.50
Related Titles from Mathematics and Statistics
Controlled Markov Processes and Viscosity Solutions
W. H. Fleming, Brown University, Providence, RI, USA; H. Soner, Koc Univer sity, Istanbul, Turkey
This book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions. Stochastic control problems are treated using the dynamic programming approach. The authors approach stochastic control problems by the method of dynamic programming. The fundamental equation of dynamic programming is a nonlinear evolution equation for the value function. For controlled Markov diﬀusion processes, this becomes a nonlinear partial diﬀerential equation of second order, called a HamiltonJacobiBellman (HJB) equation. Typically, the value function is not smooth enough to satisfy the HJB equation in a classical sense. Viscosity solutions provide framework in which to study HJB equations, and to prove continuous dependence of solutions on problem data. The theory is illustrated by applications from engineering, management science, and ﬁnancial economics. In this second edition, new material on applications to mathemati cal ﬁnance has been added. Concise introductions to risksensitive control theory, nonlinear Hinﬁnity control and diﬀerential games are also included.
2nd ed. 2006. XVII, 429 p. (Stochastic Modelling and Applied Probability, Volume 25) Hardcover
ISBN 0387260455 € 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 612, 2003
M. Frittelli, University of Florence, Italy; W. Runggaldier, University of Padova, Italy (Eds.)
From the contents Preface Kerry Back: Incomplete and Asymmetric Information in Asset Pricing Theory Tomasz R. Bielecki, Monique Jean blanc, Marek Rutkowski: Modeling and Valuation of Credit Risk Christian Hipp: Stochastic Control with Application in Insurance Shige Peng:
Nonlinear Expectations, Nonlinear Evaluations and Risk Measures Walter Schachermayer: Utility Maximisation in Incomplete Markets
2004. XIII, 307 p. (Lecture Notes in Mathematics / Fondazione C.I.M.E., Firenze, Volume 1856) Softcover
ISBN 3540229531 € 49,95  £38.50
2nd
EDITION
Related Titles from Mathematics and Statistics
33
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Nonlinear Time Series
Nonparametric and Parametric Methods
J. Fan, Princeton University, Princeton, NJ, USA; Q. Yao, London School of Economics, London, UK
1st ed. 2003. 2nd printing 2005. 2005. XIX, 552 p. (Springer Series in Statistics) Softcover
ISBN 0387261427 € 42,95  £33.00
Stochastic Processes
Lectures given at Aarhus University
K. Itô, Kyoto, Japan; O. E. BarndorﬀNielsen, University of Aarhus,
Denmark; K. Sato, Tenpakuku, Japan (Eds.)
_{F}_{r}_{o}_{m} _{t}_{h}_{e} _{r}_{e}_{v}_{i}_{e}_{w}_{s} The book can be recommended as a ﬁne introduc tion to such important branches of stochastic process theory as the theories of processes with independent increments and of Markov processes. It will be a valuable acquisition for any mathematical library. The text of the book has been carefully prepared by the editors
… . M.G. Shur, Mathematical Reviews, 2005e
2004. XII, 234 p. Hardcover
ISBN 3540204822 € 59,95  £46.00
Probability Essentials
J. Jacod, Université Paris VI, Paris, France; P. Protter, Cornell University, Ithaca, NY, USA
_{F}_{r}_{o}_{m} _{t}_{h}_{e} _{r}_{e}_{v}_{i}_{e}_{w}_{s} The authors provide the shortest path through the twentyeight chapter headings. The topics are treated in a mathemati
cally and pedagogically digestible way. The writing is concise and crisp:
Numerous exercises
add to the value of the text as a teaching tool. In conclusion, this is an excellent text for the intended audience. Short Book Reviews, Vol. 21,
No. 2, 2001
the average chapter length is about eight
2nd ed. 2003. Corr. 2nd printing 2004. X, 254 p. (Universitext) Softcover
ISBN 3540438718 € 34,95  £27.00
Related Titles from Mathematics and Statistics
From Stochastic Calculus to Mathematical Finance
The Shiryaev Festschrift
Y. Kabanov, Université de FrancheComté, Besançon, France; R. Liptser,
Tel Aviv University, Israel; J. Stoyanov, University of Newcastle, UK (Eds.)
Dedicated to the eminent Russian mathematician Albert Shiryaev on the occasion of his 70th birthday, the Festschrift is a collection of papers, including several surveys, written by his former students, coauthors and colleagues. These reﬂect the wide range of scientiﬁc interests of the teacher and his Moscow school. The topics range from the disorder problems to stochastic calculus and their applica tions to mathematical economics and ﬁnance. A full biobibliography of Shiryaev’s works is included. The book represents the modern state of art of many aspects of a quickly maturing theory and will be an essential source and read ing for researchers in this area. The diversity of the topics and the comprehensive style of the papers make the book amenable and attractive for PhD students and young researchers.
2006. XXXVIII, 634 p. 15 illus. Hardcover
ISBN 3540307826 € 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 0387976558 € 46,95  £36.00
Numerical Solution of Stochastic Diﬀerential Equations
P. 
E. Kloeden, JohannWolfgangGoetheUniversität, Frankfurt, Germany; 
E. 
Platen, University of Technology Sydney, NSW, Australia 
1st ed. 1992. Corr. 3rd printing 1999. XXXVI, 636 pp. 85 ﬁgs. (Stochastic Modelling and Applied Probability, Volume 23) Hardcover
ISBN 3540540628 € 79,95  £61.50
Related Titles from Mathematics and Statistics
35
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Introduction to Stochastic Integration H. Kuo, Louisiana State University, Baton Rouge, LA, USA The theory of stochastic integration, also called the Itô calculus, has a large spectrum of applications in virtually every scientiﬁc area involving random functions, but it can be a very diﬃcult subject for people without much mathematical background. The Itô calculus was originally motivated by the construction of Markov diﬀusion processes from inﬁnitesimal generators. Previously, the construction of such processes required several steps, whereas Itô constructed these diﬀusion processes directly in a single step as the solutions of stochastic integral equations associated with the inﬁnitesimal generators. Moreover, the properties of these diﬀusion processes can be derived from the stochastic integral equations and the Itô formula. This introductory textbook on stochastic integration provides a concise introduction to the Itô calculus, and covers the following topics: Constructions of Brownian motion Stochastic integrals for Brownian motion and martingales The Itô formula Multiple WienerItô integrals Stochastic diﬀerential equations Applications to ﬁnance, ﬁltering theory, and electric circuits. 
NEW



2006. 
XIII, 279 p. (Universitext) Softcover 

ISBN 0387287205 € 42,95  £33.00 

Introductory Lectures on Fluctuations of Lévy Processes with Applications 
NEW


A. Kyprianou, HeriotWatt University, Edinburgh, UK 
This text book forms the basis of a graduate course on the theory and applications of Lévy processes, from the perspective of their path ﬂuctuations. Central to the presentation are decompositions of the paths of Lévy processes in terms of their local maxima and an understanding of their short and longterm behaviour.
The book aims to be mathematically rigourous while still providing an intuitive feel for underlying principles. The results and applica tions often focus on the case of Lévy processes with jumps in only one direction, for which recent theoretical advances have yielded a higher degree of mathematical transparency and explicitness. Each chapter has a comprehensive set of exercises with complete solu tions.
2006. XIV, 377 p. (Universitext) Softcover
ISBN 3540313427 € 39,95  £30.50
springer.com
36
Related Titles from Mathematics and Statistics
Aspects of Brownian Motion
R. Mansuy, M. Yor, Université Paris VI, Paris, France
Stochastic calculus and excursion theory are very eﬃcient tools to obtain either exact or asymptotic results about Brownian motion and related processes. The emphasis of this book is on special classes of Brownian functionals like: Gaussian subspaces of the Gaussian space of Brownian motion; Brownian quadratic funtionals; Brown ian local times, Exponential functionals of Brownian motion with drift; Winding number of one or several Brownian motions around one or several points or a straight line, or curves; Time spent by Brownian motion below a multiple of its onesided supremum.
Besides its obvious audience of students and lecturers the book also addresses the interests of researchers from core probability theory out to applied ﬁelds such as polymer physics and mathematical ﬁnance.
2006. Approx. 300 p. (Universitext) Softcover
ISBN 3540223479 € 39,95  £30.50
_{c}_{o}_{r}_{r}_{.} _{3}_{r}_{d} _{p}_{r}_{i}_{n}_{t}_{i}_{n}_{g}
2005
Related Titles from Mathematics and Statistics
ForwardBackward Stochastic Diﬀerential Equations and Their Applications
J. Ma, Purdue University, West Lafayette, IN, USA; J. Yong, Fudan University,
Shanghai, People’s Republic of China
37
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1st ed. 1999. Corr. 3nd printing 2005. XIII, 270 pp. (Lecture Notes in Math ematics, Volume 1702) Softcover
ISBN 3540659609 € 40,95  £31.50
Theory of Random Sets
I. Molchanov, University of Berne, Switzerland
2005. XVI, 488 p. 33 illus. (Probability and its Applications) Hardcover
ISBN 185233892X € 89,95  £50.00
Monte Carlo and QuasiMonte 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 3540255419 € 99,95  £77.00
Applied Stochastic Control of Jump Diﬀusions
B. Øksendal, University of Oslo, Norway; A. Sulem, INRIA Rocquencourt,
Le Chesnay, France
The main purpose of the book is to give a rigorous, yet mostly nontechnical, introduction to the most important and useful solu tion methods of various types of stochastic control problems for jump diﬀusions and its applications. The types of control problems covered include classical stochastic control, optimal stopping, impulse control and singular control. Both the dynamic program ming method and the maximum principle method are discussed, as well as the relation between them. Corresponding veriﬁcation theorems involving the HamiltonJacobi Bellman equation and/or (quasi)variational inequalities are formulated. There are also chap ters on the viscosity solution formulation and numerical methods. The text emphasises applications, mostly to ﬁnance. All the main results are illustrated by examples and exercises appear at the end of each chapter with complete solutions. This will help the reader understand the theory and see how to apply it.
2005. X, 208 p. (Universitext) Softcover
ISBN 3540140239 € 39,95  £30.50
_{c}_{o}_{r}_{r}_{.} _{3}_{r}_{d} _{p}_{r}_{i}_{n}_{t}_{i}_{n}_{g}
2005
springer.com
38
Related Titles from Mathematics and Statistics
Stochastic Integration and Diﬀerential Equations
Second Edition, Version 2.1
P. E. Protter, Cornell University, Ithaca, NY, USA
From the reviews of the second edition A fast and nice introduction
to semimartingales and stochastic integration … . The second edition of the book has a number of changes and new topics … . The book is highly recommendable for graduate students and experts alike. It is a pleasure to read, with many examples, and all arguments are
presented clearly and with
METHODEN, 2004
Prof. Dr. M. Vanmaele, KWANT
2nd ed. 2003. Corr. 3rd printing 2005. XIII, 419 p. (Stochastic Modelling and Applied Probability, Volume 21) Hardcover
ISBN 3540003134 € 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 adhoc methods, a better understanding of fundamental results on stochastic processes is crucial to study the complex behav ior of stochastic networks.
2003. XIX, 398 p. (Stochastic Modelling and Applied Probability, Volume 52) Hardcover
ISBN 3540006575 € 69,95  £54.00
Stochastic Finance
A. Shiryaev, Academy of Science of Russia, Moscow, Russia; M. Grossinho,
Technical University of Lisbon, Portugal; P. Oliveira, Universidade de Coimbra, Portugal; M. Esquível, Universidade Nova de Lisboa, Caparica, Portugal (Eds.)
Since the pioneering work of Black, Scholes, and Merton in the ﬁeld of ﬁnancial mathematics, research has led to the rapid development of a substantial body of knowledge, with plenty of applications to the common functioning of the world’s ﬁnancial institutions. Mathematics, as the language of science, has always played a role in the development of knowledge and technology. Presently, the hightech character of modern business has increased the need
Related Titles from Mathematics and Statistics
39
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for advanced methods, which rely to a large extent on mathemati cal techniques. It has become essential for the ﬁnancial analyst to possess a high degree of proﬁciency in these mathematical techniques.
2006. XIV, 364 p. Hardcover
ISBN 0387282629 € 82,95  £64.00
Modern Portfolio Optimization with NuOPT™, SPLUS®, 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 postmodern portfolio theory. The optimization and statistical techniques generalize the normal linear model to include robustness, nonnormality, and semiconjugate Bayesian analysis via MCMC. The techniques are very clearly demonstrated by the extensive use and tight integration of SPlus 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 0387210164 € 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 0387953507 € 59,95  £46.00
Stochastic Modeling and Optimization
With Applications in Queues, Finance, and Supply Chains
D. D. Yao, Columbia University, New York, NY, USA; H. Zhang, Chinese
Academy of Sciences, Beijing, China; X. Y. Zhou, The Chinese University of Hong Kong, Shatin, Hong Kong (Eds.)
This book covers the broad range of research in stochastic models and optimization. Applications covered include networks, ﬁnancial engineering, production planning and supply chain management. Each contribution is aimed at graduate students working in opera tions research, probability, and statistics.
2003. XI, 468 p. 30 illus. Hardcover
ISBN 0387955828 € 64,95  £50.00
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40
Financial Economics/Financial Management
Financial Economics/ Financial Management
NEW


Numerical Methods in Finance 

M. Breton, H. BenAmeur, GERAD and HEC Montréal, QC, Canada (Eds.) 

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

2005. 
XV, 258 p. Hardcover 

ISBN 0387251170 € 62,95  £48.50 

NEW

Recent Developments on Money and Finance 

Exploring Links between Market Frictions, Financial Systems and Monetary Allocations 

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

2006. 
VI, 273 p. 28 illus. (Studies in Economic Theory, Volume 24) Hardcover 

ISBN 3540278036 € 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 3540227989 € 69,95  £54.00 

NEW

When There Was No Money 

Building ACLEDA Bank in Cambodia’s Evolving Financial Sector 

H. A. Clark, Albuquerque, NM, USA 
2006. XX, 257 p. Hardcover
ISBN 3540288767 € 49,95  £38.50
Financial Economics/Financial Management
41
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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 ﬁnance deals, assetbacked securitization, project ﬁnance, structured leasing and leveraged acquisitions. As the ﬁrst comprehensive book on all structured ﬁnance products, it also gives updated data on the current state of the international ﬁnancial markets for these operations.
2005. VII, 206 p. 52 illus. Hardcover
ISBN 3540253114 € 69,95  £54.00
Financial Market Imperfections and Corporate Decisions 
NEW


Lessons from the Transition Process in Hungary 

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

2006. X, 174 p. 50 illus. (Contributions to Economics) Softcover 

ISBN 3790815810 € 49,95  £38.50 

Strategy and Organization of Corporate Banking 

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

2005. IX, 189 p. 12 illus. Hardcover 

ISBN 3540227970 € 59,95  £46.00 

Optimal Control and Dynamic Games 
NEW


Applications in Finance, Management Science and Economics 

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

R. 
F. Hartl, University of Vienna, Austria (Eds.) 
2005. XXIV, 344 p. (Advances in Computational Management Science,
Volume 7) Hardcover
ISBN 0387258043 € 129,00  £99.00
Sovereign Risk and Financial Crises
M. Frenkel, WHU Koblenz, Germany; A. Karmann, Dresden University of Technology, Dresden, Germany; B. Scholtens, University of Groningen, The Netherlands (Eds.)
2004. XII, 258 p. 30 illus. Hardcover
ISBN 3540222480 € 74,95  £57.50
2nd
EDITION
springer.com
42
Financial Economics/Financial Management
Risk Management
Challenge and Opportunity
M. Frenkel, WHU, Vallendar, Germany; U. Hommel, European Business
School, OestrichWinkel, Germany; M. Rudolf, WHU, Vallendar, Germany (Eds.)
The book broadly deals with all aspects of risk management which have undergone signiﬁcant innovation in recent years. It has been written for academics as well as practitioners, in particular ﬁnance specialists. It is the only volume to this date which brings together such a wide array of experts and oﬀers such a complete coverage of recent developments. The emphasis of this volume is placed on highlighting the linkage between the academic literature and practical issues related to the organization of the risk management function.
2nd revised and enlarged ed. 2005. XXVII, 838 p. 100 illus. Hardcover
ISBN 3540226826 € 99,95  £77.00
International Finance and OpenEconomy Macroeconomics
G. Gandolfo, University of Rome La Sapienza, Rome, Italy
1st ed. 2001. 2nd printing 2002. XXII, 613 pp. 48 ﬁgs., 3 tabs. Hardcover
ISBN 3540417303 € 109,95  £84.50
Study Edition
1st ed. 2001. 2nd printing 2002. XXIII, 613 p. 51 illus. Softcover
ISBN 3540434593 € 44,95  £34.50
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 3540286837 € 54,95  £42.50
Credit Risk, Capital Structure and the Pricing of Equity Options
M. Hanke, Wirtschaftsuniversität Wien, Vienna, Austria
2003. XVI, 208 p. 50 illus. Softcover
ISBN 321100520X € 64,95  £50.00
Financial Economics/Financial Management
43
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Dynamic Games: Theory and Applications 
NEW


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

Canada (Eds.) 

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

2005. 
XVI, 271 p. Hardcover 

ISBN 0387246010 € 62,95  £48.50 

Exchange Traded Funds 
NEW


Structure, Regulation and Application of a New Fund Class 

E. Hehn, Walchwil, Switzerland (Ed.) 

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

2005. 
VIII, 257 p. 44 illus. Hardcover 

ISBN 3540241248 € 44,95  £34.50 

MarketConform Valuation of Options 
NEW


T. Herwig, University of Frankfurt, Germany 

2006. 
VIII, 104 p. 10 illus. (Lecture Notes in Economics and Mathematical 

Systems, Volume 571) Softcover 

ISBN 3540308377 € 44,95  £34.50 

Pensionomics 
NEW


On the Role of PAYGO in Pension Portfolios 

M. F. Jäkel, WHU, Otto Beisheim School of Management, Vallendar, 
Germany
2006. XII, 316 p. (Lecture Notes in Economics and Mathematical Systems,
Volume 572) Softcover
ISBN 3540325972 € 64,95  £50.00
springer.com
44
Financial Economics/Financial Management
Modern Actuarial Risk Theory
R. 
Kaas, University of Amsterdam, The Netherlands; M. Goovaerts, 
J. 
Dhaene, Catholic University of Leuven, Belgium and University of 
Amsterdam, The Netherlands; M. Denuit, Catholic University of Louvainla
Neuve, Belgium
2004. XVIII, 306 p. Softcover
ISBN 1402029527 € 48,00  £34.00
NEW

Stochastic Linear Programming 

Models, Theory, and Computation 

P. Kall, J. Mayer, University of Zurich, Switzerland 

2005. 
XII, 398 p. (International Series in Operations Research & Manage 

ment Science, Volume 80) Hardcover 

ISBN 0387233857 € 69,95  £54.00 

NEW


Encyclopedia of Finance 

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

State University, CA, USA (Eds.) 

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

2006. 
X, 1100 p. Hardcover 

ISBN 0387262849 € 249,00  £191.50 

NEW

Term Structure Modeling and Estimation in a State Space Framework 

W. Lemke, Deutsche Bundesbank, Frankfurt am Main 
2006. IX, 223 p. (Lecture Notes in Economics and Mathematical Systems,
Volume 565) Softcover
ISBN 3540283420 € 54,95  £42.50
Financial Economics/Financial Management
45
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Stochastic Dominance 
NEW


Investment Decision Making under Uncertainty 
2nd EDITION 

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

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

ISBN 0387293027 € 99,95  £77.00 

Portfolio Management with Heuristic Optimization 
NEW


D. 
Maringer, University of Erfurt, Germany 

2005. XIV, 222 p. (Advances in Computational Management Science, 

Volume 8) Hardcover 

ISBN 0387258523 € 99,95  £77.00 

Artiﬁcial Economics 
NEW


AgentBased Methods in Finance, Game Theory and Their Applications 

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

CLAREE, USTL, Lille, France (Eds.) 

2006. XIII, 237 p. (Lecture Notes in Economics and Mathematical Systems, 

Volume 564) Softcover 

ISBN 3540285784 € 54,95  £42.50 

Microﬁnance Investment Funds 
NEW


Leveraging Private Capital for Economic Growth and Poverty Reduction 
I. MatthäusMaier, KfW, Frankfurt, Germany; J. D. Pischke, Reston, VA, USA (Eds.)
The surge in new investment funds  nearly 60 funds at last count  is an exciting sign that microﬁnance is attracting mainstream ﬁnancial markets. Foreign investors bridge a crucial gap for MFIs and greenﬁeld banks not yet able to attract deposits, debt or equity from local sources. Recognizing the ultimate goal of building those local ﬁnancial markets that serve the poor, some foreign investors and funds are facilitating local intermediation with incentives like guarantees for local banks to lend to MFIs in local currency. Such contributions to local market building, combined with strengthening governance, increasing trans parency and rigor make the new funds potentially very positive forces
in microﬁnance. Elisabeth Littleﬁeld, Director and CEO, CGAP
2006. XIV, 291 p. 12 illus. Hardcover
ISBN 3540280707 € 69,95  £54.00
springer.com
46
Financial Economics/Financial Management
Strategic Trading in Illiquid Markets
B. Mönch, GoetheUniversität Frankfurt, Germany
2005. XIII, 116 p. (Lecture Notes in Economics and Mathematical Systems,
Volume 553) Softcover
ISBN 3540250395 € 44,95  £34.50
Real Options Valuation
The Importance of Interest Rate Modelling in Theory and Practice
M. Schulmerich, München, Germany
2005. XVI, 357 p. (Lecture Notes in Economics and Mathematical Systems,
Volume 559) Softcover
ISBN 3540261915 € 69,95  £54.00
NEW

Coping With Institutional Order Flow 

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

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

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

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

2005. XV, 200 p. (Zicklin School of Business Financial Markets Conference 

Series Baruch College, Proceeding) Hardcover 

ISBN 1402075111 € 76,95  £59.00 

NEW

Electronic vs. Floor Based Trading 

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

J. 
A. Byrne, Traders Magazine, Rockaway, NJ, USA; A. Colaninno, Zicklin 
School of Business, Baruch College, CUNY, NY, USA (Eds.)
2006. XVI, 176 p. (Zicklin School of Business Financial Markets Conference
Series Baruch College, Proceeding) Hardcover
ISBN 0387299092 € 82,95  £64.00
Optimal Control Theory
Applications to Management Science and Economics
S. P. Sethi, University of Texas at Dallas, TX, USA; G. L. Thompson, Carnegie
Mellon University, Pittsburgh, PA, USA
2nd ed. 2000. 2nd printing 2006. XVII, 504 p. Softcover
ISBN 0387280928 € 66,95  £51.50
Financial Economics/Financial Management
The Theory and Practice of Revenue Management
K. T. Talluri, Universitat Pompeu Fabra, Barcelona, Spain; G. J. Ryzin, Columbia University, New York, NY, USA
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ISBN 0387243763 € 69,95  £54.00
The Economics of Foreign Exchange and Global Finance
P. Wang, University of Hull, UK
This book covers all major subjects in international monetary theo ries, foreign exchange markets, international ﬁnancial management and investment analysis.
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