Q2619 QuantFinance ROW PDF

ABCD springer.
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Quantitative
Finance
2006
springer.com Contents
Springer Finance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
Related Titles from Mathematics and Statistics . . . . . . . . . . . . . 30
Financial Economics/Financial Management . . . . . . . . . . . . . . . 40
Journals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
A Deboeck, Kohonen (Eds.) 11 K Platen, Heath 23

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

risk valuation. It concentrates on firm-value and reduced-form
approaches and their applications in practice. Additionally, the
book includes new models for valuing derivative securities with
credit risk, focussing on options and forward contracts subject to
counterparty default risk, but also treating options on credit-risky 2 nd
bonds and credit derivatives. The text provides detailed descriptions E D IT IO N
of the state-of-the-art martingale methods and advanced numerical
implementations based on multi-variate trees used to price deriva-
tive credit risk. Numerical examples illustrate the effects of credit
risk on the prices of financial derivatives.
2nd ed. 2001. Corr. 2nd printing 2002. X, 255, 17 figs., 23 tabs. (Springer
Finance) Hardcover
ISBN 3-540-67805-0  € 74,95 | £57.50
A Course in Derivative Securities

Introduction to Theory and Computation
K. Back, Texas A&M University, College Station, TX, USA
This book aims at a middle ground between the introductory

books on derivative securities and those that provide advanced
mathematical treatments. It is written for mathematically capable
students who have not necessarily had prior exposure to probability
theory, stochastic calculus, or computer programming. It provides
derivations of pricing and hedging formulas (using the probabilistic
change of numeraire technique) for standard options, exchange
options, options on forwards and futures, quanto options, exotic
options, caps, floors and swaptions, as well as VBA code implement-
ing the formulas. It also contains an introduction to Monte Carlo,
binomial models, and finite-difference methods. Best of 2005
 Professor Back has written a superb book on advanced derivatives.
Book Awards by
The book provides wonderfully clear explanations without sacrificing riskbook.com
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 3-540-25373-4  € 54,95 | £42.50
springer.com 2 Springer Finance
Financial Markets Theory

Equilibrium, Efficiency and Information
E. Barucci, Università di Pisa, Italy
Financial Markets Theory presents classical asset pricing theory, a

theory composed of milestones such as portfolio selection, risk aver-
sion, fundamental asset pricing theorem, portfolio frontier, CAPM,
CCAPM, APT, the Modigliani-Miller Theorem, no arbitrage/risk
neutral evaluation and information in financial markets. Starting
from an analysis of the empirical tests of the above theories, the
author provides a discussion of the most recent literature, pointing
out the main advancements within classical asset pricing theory
and the new approaches designed to address open problems (e.g.
behavioural finance). It is the only textbook to address the economic
foundations of financial markets theory from a mathematically
rigorous standpoint, and to offer a self-contained critical discussion,
based on empirical results.
2003. XII, 467 p. 14 illus. (Springer Finance) Hardcover

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

An Introduction to Mathematical Finance
F. E. Benth, University of Oslo, Norway
The objective of this textbook is to provide a very basic and acces-

sible introduction to option pricing, invoking only a minimum of
stochastic analysis. Although short, it covers the theory essential
to the statistical modeling of stocks, pricing of derivatives (general
contingent claims) with martingale theory, and computational
finance including both finite-difference and Monte Carlo methods.
The reader is led to an understanding of the assumptions inherent
in the Black Scholes theory, of the main idea behind deriving prices
and hedges, and of the use of numerical methods to compute prices
for exotic contracts.
The author’s style is compact and to-the-point, requiring of the
reader only basic mathematical skills. In contrast to many books
addressed to an audience with greater mathematical experience, it
can appeal not only to students entering the discipline, but also to
many practitioners, e.g. in industry, looking for an introduction to
this theory without too much detail.
2004. X, 162 p. (Universitext) Softcover

ISBN 3-540-40502-X  € 39,95 | £30.50
Empirical Techniques in Finance

R. Bhar, The University of New South Wales, Sydney, NSW, Australia;
S. Hamori, University of Kobe, Japan
The rapid advances in financial technology in the past decade have

led to a commensurate increase in sophistication for modelling tech-
niques needed by the researchers for the understanding of financial
markets. The book aims at equipping graduate students, market
analysts and others with a wide range of empirical techniques. It
not only discusses the analytical structures behind such modelling
approaches, but also explains how they are applied to actual data.
Besides traditional elements of financial econometrics and statistical
techniques commonly used in quantitative finance, the book covers:
estimation of parametric and non-parametric models; advanced
tools to deal with unobserved components; discrete time models
of asset prices and of interest rates. Illustrations include specula-
tive equity prices, equity and currency risk premium as well as real
investment opportunity analysis and interest rate contingent claim
valuation.
2005. XII, 243 p. 30 illus. (Springer Finance) Hardcover

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

to create your own user profile, register to receive
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Financial Mathematics
Lectures given at the 3rd Session of the Centro Internazionale
Matematico Estivo (C.I.M.E.) held in Bressanone, Italy,
July 8-13, 1996
B. Biais, University of Toulouse, France; T. Björk, Stockholm School of
Economics, Sweden; J. Cvitanic, Columbia University, New York, NY, USA;
N. El Karoui, Université Paris VI, France; E. Jouini, ENSAE, Malakoff, France;
J.C. Rochet, University of Toulouse, France
1997. VII, 316 pp. (Lecture Notes in Mathematics, Volume 1656) Softcover
ISBN 3-540-62642-5  € 49,95 | £38.50
Credit Risk: Modeling, Valuation and Hedging

T. R. Bielecki, Northeastern Illinois University, Chicago, IL, USA;
M. Rutkowski, Warsaw University of Technology, Warsaw, Poland
From the reviews  A fairly complete overview of the most important

recent developments of credit risk modelling from the viewpoint of
mathematical finance . . . It provides an excellent treatment of math-
ematical aspects of credit risk and will also be useful as a reference
for technical details to traders and analysts dealing with credit-risky
assets. It is a worthwhile addition to the literature and will serve
as highly recommended reading for students and researchers in the
subject area for some years to come.  MATHEMATICAL REVIEWS
1st ed. 2002. Corr. 2nd printing 2004. XVIII, 501 p. (Springer Finance)
Hardcover
ISBN 3-540-67593-0  € 69,95 | £54.00
Risk-Neutral Valuation
Pricing and Hedging of Financial Derivatives
N. H. Bingham, University of Sheffield, UK; R. Kiesel, University of Ulm,
Germany
Since its introduction in the early 1980s, the risk-neutral valuation

principle has proved to be an important tool in the pricing and
hedging of financial derivatives. Following the success of the first
edition of ‘Risk-Neutral Valuation’, the authors have thoroughly
revised the entire book, taking into account recent developments
2 nd in the field, and changes in their own thinking and teaching. In
E D IT IO N particular, the chapters on Incomplete Markets and Interest Rate
Theory have been updated and extended, there is a new chapter on
the important and growing area of Credit Risk and, in recognition
of the increasing popularity of Lévy finance, there is considerable
new material on: Infinite divisibility and Lévy processes; Lévy-based
models in incomplete markets.
Further material such as exercises, solutions to exercises and lecture
slides are also available via the web to provide additional support for
lecturers.
2nd ed. 2004. XVIII, 437 p. (Springer Finance) Hardcover

ISBN 1-85233-458-4  € 59,59 | £39.50
Financial Markets and Martingales

Observations on Science and Speculation
N. Bouleau, École des Ponts, Paris, France
Is it really possible to make money on the financial markets? This

is just one of the questions posed in this practical and thought-
provoking book, winner in the original french version, of the “Best
financial economics book” prize 1999 from the Institute de Haute
Finance, and the “Prix FNAC-Arthur Anderson du meilleur livre
d’entreprise 2000”. Starting with games of chance, from which
probability theory was born, Nicolas Bouleau explains how the
financial markets operate, and demonstrates how the application of
mathematics has turned finance into a high-tech business, as well
as a formidable and efficient tool. The human side of finance is also
considered, with a look at the influence of the trader and the work-
ing relationships that are woven into the market rooms. Concise and
accessible, with no previous knowledge of finance or mathematics
required, the aim of this book is simply to articulate the main ideas
and put them into perspective, leading readers to a fresh under-
standing of this complex area.
2004. XV, 151 p. Softcover

ISBN 1-85233-582-3  € 39,95 | £29.50
Biologically Inspired Algorithms for Financial

Modelling NE W
A. Brabazon, M. O‘Neill, University College Dublin, Ireland
Predicting the future for financial gain is a difficult, sometimes

profitable activity. The focus of this book is the application of
biologically inspired algorithms (BIAs) to financial modelling.
In a detailed introduction, the authors explain computer trading
on financial markets and the difficulties faced in financial market
modelling. Then Part I provides a thorough guide to the various
bioinspired methodologies – neural networks, evolutionary comput-
ing (particularly genetic algorithms and grammatical evolution),
particle swarm and ant colony optimization, and immune systems.
Part II brings the reader through the development of market trading
systems. Finally, Part III examines real-world case studies where BIA
methodologies are employed to construct trading systems in equity
and foreign exchange markets, and for the prediction of corporate
bond ratings and corporate failures.
The book was written for those in the finance community who want
to apply BIAs in financial modelling, and for computer scientists
who want an introduction to this growing application domain.
2005. XV, 269 p., 92 illus. (Natural Computing Series) Hardcover

ISBN 3-540-26252-0  € 64,95 | £50.00
Mathematical Methods in Risk Theory

H. Bühlmann
From the reviews  ..., the book (and its author) had enormous impact
on the development of risk theory. It was the first self-contained mono-
graph on risk theory providing a rigorous probabilistic foundation.
...[and]... made an important contribution to the successful develop-
ment of risk theory. This success has made the book a classic.
 Zentralblatt MATH, 1996
ng
2nd printi 1st ed. 1970. 2nd printing 2005. XII, 210 p. 39 illus. (Grundlehren der
2005 mathematischen Wissenschaften, Volume 172) Hardcover
ISBN 3-540-05117-1  € 79,95 | £61.50
Interest Rate Models - Theory and Practice

NE W 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
2 nd reduction has been added, and a LIBOR-model consistent swap-
E D IT IO N tion-volatility interpolation technique has been introduced. The old
sections devoted to the smile issue in the LIBOR market model have
been enlarged into a new chapter. New sections on local-volatility
dynamics, and on stochastic volatility models have been added, with
a thorough treatment of the recently developed uncertain-volatil-
ity approach. Examples of calibrations to real market data are now
considered. The fast-growing interest for hybrid products has led to
a new chapter. A special focus here is devoted to the pricing of infla-
tion-linked derivatives. The three final new chapters of this second
edition are devoted to credit. Since Credit Derivatives are increas-
ingly fundamental, and since in the reduced-form modeling frame-
work much of the technique involved is analogous to interest-rate
modeling, Credit Derivatives – mostly Credit Default Swaps (CDS),
CDS Options and Constant Maturity CDS – are discussed, build-
ing on the basic short rate-models and market models introduced
earlier for the default-free market. Counterparty risk in interest rate
payoff valuation is also considered, motivated by the recent Basel II
framework developments.
2nd ed. 2006. Approx. 1000 p. (Springer Finance) Hardcover

ISBN 3-540-22149-2  € 64,95 | £50.00
A Course in Credibility Theory and its

Applications NE W
H. Bühlmann, ETH, Zürich, Switzerland; A. Gisler, Winterthur Insurance
Company, Winterthur, Switzerland
The book is aimed at teachers and students as well as practising

experts in the financial area, in particular at actuaries in the field of
property-casualty insurance, life insurance, reinsurance and insur-
ance supervision. Persons working in the wider world of finance will
also find many relevant ideas and examples even though credibility
methods have not yet been widely applied here.The book covers the
subject of Credibility Theory extensively and includes most aspects
of this topic from the simplest case to the most general dynamic
model. Credibility is a lifeless topic if it is not linked closely to
practical applications. The book therefore treats explicitly the tasks
which the actuary encounters in his daily work such as estimation of
loss ratios, claim frequencies and claim sizes.
This book deserves a place on the bookshelf of every actuary and
mathematician who works, teaches or does research in the area of
insurance and finance.
2005. XVIII, 331 p. (Universitext) Softcover

ISBN 3-540-25753-5  € 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 best-case scenarios. This book is for graduate students,
researchers and practitioners who wish to study advanced aspects of
volatility risk in portfolios of vanilla and exotic options. The accom-
panying CD contains the source code of a C++ implementation of
the algorithms presented in the book.
2002. XII, 244 pp. With CD-ROM. (Springer Finance) Softcover

ISBN 3-540-42657-4  € 44,95 | £34.50
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
ng
3rd printi
financial markets operate, namely: Black-Scholes’ arbitrage pricing
of options and other derivative securities; Markowitz portfolio opti-
2005
mization theory and the Capital Asset Pricing Model; and interest
rates and their term structure. Assuming only a basic knowledge of
probability and calculus, it covers the material in a mathematically
rigorous and complete way at a level accessible to second or third
year undergraduate students. The text is interspersed with a multi-
tude of worked examples and exercises, so it is ideal for self-study
and suitable not only for students of mathematics, but also students
of business management, finance and economics, and anyone with
an interest in finance who needs to understand the underlying
theory.
1st ed. 2003. 3rd printing 2005. X, 310 p. 75 illus. (Springer Undergrad-
uate Mathematics Series) Softcover
ISBN 1-85233-330-8  € 32,95 | £19.95
Interest Rate Models: an Infinite Dimensional

NE W Stochastic Analysis Perspective
R. A. Carmona, Princeton University, Princeton, USA; M. R. Tehranchi,
University of Cambridge, Cambridge, UK
Interest Rate Models: an Infinite Dimensional Stochastic Analysis

Perspective studies the mathematical issues that arise in model-
ing the interest rate term structure. These issues are approached by
casting the interest rate models as stochastic evolution equations
in infinite dimensional function spaces. The book is comprised of
three parts. Part I is a crash course on interest rates, including a
statistical analysis of the data and an introduction to some popular
interest rate models. Part II is a self-contained introduction to
infinite dimensional stochastic analysis, including SDE in Hilbert
spaces and Malliavin calculus. Part III presents some recent results
in interest rate theory, including finite dimensional realizations of
HJM models, generalized bond portfolios, and the ergodicity of
HJM models.
2006. XIV, 235 p. (Springer Finance) Hardcover

ISBN 3-540-27065-5  € 69,95 | £54.00
Statistical Tools for Finance and Insurance

P. Cizek, University of Tillburg, The Netherlands; W. Härdle, Humboldt
Universität zu Berlin, Germany; R. Weron, Wroclaw University of Tech-
nology, Poland (Eds.)
Statistical Tools in Finance and Insurance presents ready-to-use

solutions, theoretical developments and method construction
for many practical problems in quantitative finance and insur-
ance. Written by practitioners and leading academics in the field,
this book offers a unique combination of topics from which every
market analyst and risk manager will benefit.
Covering topics such as heavy tailed distributions, implied trinomial
trees, support vector machines, valuation of mortgage-backed
securities, pricing of CAT bonds, simulation of risk processes
and ruin probability approximation, the book does not only offer
practitioners insight into new methods for their applications, but it
also gives theoreticians insight into the applicability of the stochastic
technology. Additionally, the book provides the tools, instruments
and (online) algorithms for recent techniques in quantitative finance
and modern treatments in insurance calculations.
Written in an accessible and engaging style, this self-instructional
book makes a good use of extensive examples and full explanations.
The design of the text links theory and computational tools in an
innovative way.
2005. V, 517 p. Softcover

ISBN 3-540-22189-1  € 69,95 | £54.00
Paris-Princeton Lectures on Mathematical

Finance 2002
R. A. Carmona, E. Cinlar, Princeton University, Princeton, NJ, USA;
I. Ekeland, University of British Columbia, Vancouver, B.C., Canada;
E. Jouini, Université Paris IX - Dauphine, Paris, France; J. A. Scheinkman,
Princeton University, Princeton, NJ, USA; N. Touzi, CREST, Malakoff, France
(Eds.)
Table of contents  M.H. Soner, N. Touzi: The Problem of Super-replica-

tion under Constraints  F. Baudoin: Modelling Anticipations on Financial
Markets  L.C.G. Rogers: Duality in Constrained Optimal Investment and
Consumption problems: A Synthesis  P. Bank, H. Föllmer: American
Options, Multi-armed Bandits, and Optimal Consumption Plans: A Unifying
View.
2003. X, 172p. (Lecture Notes in Mathematics, Volume 1814) Softcover

ISBN 3-540-40193-8  € 29,95 | £23.00
Paris-Princeton Lectures on Mathematical

Finance 2003
R. A. Carmona, E. Cinlar, Princeton University, Princeton, NJ, USA;
I. Ekeland, University of British Columbia, Vancouver, B.C., Canada;
E. Jouini, Université Paris IX - Dauphine, Paris, France; J. A. Scheinkman,
Princeton University, Princeton, NJ, USA; N. Touzi, CREST, Malakoff, France
(Eds.)
Table of contents  T. Bielecki, M. Jeanblanc, Marek Rutkowski: Hedging of

Defaultable Claims.  T. Björk: On the Geometry of Interest Rate Models. 
J.A. Scheinkman, W. Xiong: Heterogeneous Beliefs, Speculation and Trading
in Financial Markets.
2004. IX, 250 p. (Lecture Notes in Mathematics, Volume 1847) Softcover

ISBN 3-540-22266-9  € 39,95 | £30.50
Financial Markets in Continuous Time

R. Dana, Université de Paris IX Dauphine, France; M. Jeanblanc, Université
d’Evry, France
In modern financial practice, asset prices are modelled by means of

stochastic processes, and continuous-time stochastic calculus thus
plays a central role in financial modelling. This approach has its
roots in the foundational work of the Nobel laureates Black, Scholes
and Merton. Asset prices are further assumed to be rationalizable,
that is, determined by equality of demand and supply on some
market. This approach has its roots in the foundational work on
General Equilibrium of the Nobel laureates Arrow and Debreu and
in the work of McKenzie. This book has four parts. The first brings
together a number of results from discrete-time models. The second
develops stochastic continuous-time models for the valuation of
financial assets (the Black-Scholes formula and its extensions), for
optimal portfolio and consumption choice, and for obtaining the
yield curve and pricing interest rate products. The third part recalls
some concepts and results of general equilibrium theory, and applies
this in financial markets. The last part is more advanced and tackles
market incompleteness and the valuation of exotic options in a
complete market.
2003. XI, 324 p. (Springer Finance) Hardcover

ISBN 3-540-43403-8  € 59,95 | £46.00
Visual Explorations in Finance

with Self-Organizing Maps
G. Deboeck, Arlington, VA, USA; T. Kohonen, Helsinki University of Tech-
nology, Hut, Finland (Eds.)
Self-organizing maps (SOM) have proven to be of significant

economic value in the areas of finance, economic and marketing
applications. As a result, this area is rapidly becoming a non-
academic technology. This book looks at near state-of-the-art SOM
applications in the above areas, and is a multi-authored volume,
edited by Guido Deboeck, a leading exponent in the use of compu-
tational methods in financial and economic forecasting, and by the
originator of SOM, Teuvo Kohonen. The book contains chapters on
applications of unsupervised neural networks using Kohonen’s self-
organizing map approach.
1998. XLVI, 312 p. 129 illus. (Springer Finance) Hardcover

ISBN 3-540-76266-3  € 104,95 | £59.50
The Mathematics of Arbitrage

F. Delbaen, ETH Zürich, Switzerland; W. Schachermayer, Technische NE W
Universität Wien, Austria
This long-awaited book aims at a rigorous mathematical treatment

of the theory of pricing and hedging of derivative securities by the
principle of ‘no arbitrage’. The first part presents a relatively elemen-
tary introduction, restricting itself to the case of finite probability
spaces. The second part compromises an updated edition of seven
original research papers by the authors, which analyse the topic in
the general framework of semi-martingale theory.
2006. XVI, 373 p. (Springer Finance) Hardcover

ISBN 3-540-21992-7  € 69,95 | £54.00
Modelling Extremal Events for Insurance and

Finance
P. Embrechts, ETH Zürich, Switzerland; C. Klüppelberg, Technische Univer-
sität München, Germany; T. Mikosch, University of Copenhagen, Denmark
1st ed. 1997. Corr. 4th printing 2003. XV, 648 p. 100 figs. (Stochastic Model-
ling and Applied Probability, Volume 33) Hardcover
ISBN 3-540-60931-8  € 69,95 | £54.00
Mathematics of Financial Markets

R. J. Elliott, University of Calgary, AL, Canada; P. E. Kopp, University of Hull,
UK
This book presents the mathematics that underpins pricing models

for derivative securities, such as options, futures and swaps, in
modern financial markets. The idealized continuous-time models
built upon the famous Black-Scholes theory require sophisticated
mathematical tools drawn from modern stochastic calculus.
However, many of the underlying ideas can be explained more
2 nd simply within a discrete-time framework. This is developed exten-
E D IT IO N sively in this substantially revised second edition to motivate the
technically more demanding continuous-time theory, which includes
a detailed analysis of the Black-Scholes model and its generaliza-
tions, American put options, term structure models and consump-
tion-investment problems. The mathematics of martingales and
stochastic calculus is developed where it is needed. he new edition
adds substantial material from current areas of active research, nota-
bly: a new chapter on coherent risk measures, with applications to
hedging – a complete proof of the first fundamental theorem of asset
pricing for general discrete market models – the arbitrage interval
for incomplete discrete-time markets – characterization of complete
discrete-time markets, using extended models – risk and return and
sensitivity analysis for the Black-Scholes model.
2nd ed. 2005. XI, 352 p. 7 illus. (Springer Finance) Hardcover

ISBN 0-387-21292-2  € 89,95 | £69.00
Forthcoming Duality in Mathematical Finance

M. Frittelli, Università degli Studi di Firenze, Italy; S. Biagini, Università
degli Studi di Perugia, Italy; G. Scandolo, Università degli Studi di Firenze,
Italy
This monograph presents an advanced and unified treatment of

four important issues that have dominated the theoretical research
in mathematical finance for the last ten years: (1) the fundamental
theorem of asset pricing; (2) utility maximization in incomplete
markets; (3) pricing in incomplete markets; (4) the risk measure-
ment of a static payoff and of a cash-flow stream.
The powerful tools of convex analysis and duality theory are
systematically applied to investigate these topics, under very general
assumptions on the financial markets.
This duality approach reveals the prominent role of the investor’s
preferences in all these fundamental issues and contributes to a
deeper understanding of the economic aspects of the theory.
2007. Approx. 150 p. (Springer Finance) Hardcover

ISBN 3-540-40108-3  approx. € 44,95 | £34.50
Consistency Problems for Heath-Jarrow-Morton

Interest Rate Models
D. Filipovic, ETH-Zentrum, Zürich, Switzerland
2001. VIII, 134 p. (Lecture Notes in Mathematics, Volume 1760) Softcover

ISBN 3-540-41493-2  € 29,95 | £23.00
Statistics of Financial Markets

An Introduction
J. Franke, University of Kaiserslautern, Germany; W. Härdle, Humboldt-
Universität zu Berlin, Germany; C. M. Hafner, Erasmus University
Rotterdam, The Netherlands
From the reviews  This book provides a statistical approach to the

theoretical and practical issues relating to stock trading. Written by
three specialists in closely related fields, it is highly useful for anyone
interested in the mathematical and statistical aspects of finance … .
 Kassim S. Mwitondi, Journal of Applied Statistics, Vol. 32 (4), 2005
2004. XXIII, 424 p. (Universitext) Softcover

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

Methods and Cases
G. Fusai, Università degli Studi del Piemonte Orientale, Novara, Italy;
A. Roncoroni, ESSEC, Cergy Pontoise, France
This book puts numerical methods in action for the purpose of

solving practical problems in quantitative finance. The first part
develops a toolkit in numerical methods for finance (Monte Carlo,
PDE, Stochastic Optimization, Copula, Econometrics). The second
part proposes twenty self-contained cases covering model simula-
tion, asset pricing and hedging, risk management, statistical estima-
tion and model calibration. Each case develops a detailed solution
to a concrete problem arising in applied financial management and
guides the user towards a computer implementation. The appen-
dices contain “crash courses” in VBA and Matlab programming
languages. A companion CD provides ready-to-run codes (VBA,
MATLAB). The book originates from class notes and case studies
developed within a course on numerical methods in finance held by
the authors at Bocconi University.
2006. Approx. 500 p. With CD-ROM. (Springer Finance) Hardcover

ISBN 3-540-22348-7  € 69,95 | £54.00
Mathematical Finance – Bachelier Congress 2000

Selected Papers from the First World Congress of the Bachelier
Finance Society, Paris, June 29-July 1, 2000
H. Geman, Université Paris IX, Paris, France; D. Madan, University of Mary-
land, College Park, MD, USA; S. R. Pliska, University of Illinois, Chicago, IL,
USA; T. Vorst, Erasmus Universiteit Rotterdam, The Netherlands (Eds.)
2002. X, 521 pp. (Springer Finance) Hardcover

ISBN 3-540-67781-X  € 79,95 | £61.50
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 [...]  Glyn Holton, Contin-
gency Analysis
2005 INFORMS 2003. XIII, 596 p. 99 illus. (Stochastic Modelling and Applied Probability,
Outstanding Simula- Volume 53) Hardcover
tion Publication Award ISBN 0-387-00451-3  € 52,95 | £40.50
CreditRisk+ in the Banking Industry

M. Gundlach, KfW Bankengruppe, Frankfurt, Germany; F. Lehrbass,
Deutsche Genossenschafts-Hypothekenbank AG, Hamburg, Germany (Eds.)
This book gives an account of the status quo as well as of new and
recent developments of the credit risk model CreditRisk+, which is
widely used in the banking industry. It gives an introduction to the
model itself and to its ability to describe, manage and price credit
risk. The book is intended for an audience of practitioners in bank-
ing and finance, as well as for graduate students and researchers in
the field of financial mathematics and banking. It contains carefully
refereed contributions from experts in the field, selected for mutual
consistency and edited for homogeneity of style, notation, etc. The
discussion ranges from computational methods and extensions for
special forms of credit business to statistical calibrations and practi-
cal implementations. This unique and timely book constitutes an
indispensable tool for both practitioners and academics working in
the evaluation of credit risk. CreditRisk+ is an important and widely
implemented default-mode model of portfolio credit risk, based on
a methodology borrowed from actuarial mathematics.
2004. XII, 369 p. (Springer Finance) Hardcover

ISBN 3-540-20738-4  € 79,95 | £61.50
Applied Quantitative Finance

Theory and Computational Tools
W. Härdle, T. Kleinow, Humboldt Universität zu Berlin, Germany; G. Stahl,
Federal Banking Supervisory Office, Bonn, Germany
Applied Quantitative Finance presents solutions, theoretical devel-

opments and method proliferation for many practical problems
in quantitative finance. The combination of practice and theory
supported by computational tools is reflected in the selection of
topics as well as in a finely tuned balance of scientific contributions
on the practical implementation and theoretical concepts.
The e-book design of the text links theory and computational tools
in an innovative way. All “quantlets” for the calculation of given
examples in the text are executable on an XploRe Quantlet Server
(XQS) and can be modified by the reader via the internet. The elec-
tronic edition can be downloaded from the web site www.i-xplore.de
using the licence and registration number at the back cover.
2002. XXIV, 402 p. Softcover

ISBN 3-540-43460-7  € 62,95 | £48.50
Binomial Models in Finance

J. van der Hoek, University of Adelaide, SA, Australia; R. J. Elliott, Univer- NE W
sity of Calgary, AB, Canada
This book deals with many topics in modern financial mathematics

in a way that does not use advanced mathematical tools and shows
how these models can be numerically implemented in a practical
way. The book is aimed at undergraduate students, MBA students,
and executives who wish to understand and apply financial models
in the spreadsheet computing environment.
The basic building block is the one-step binomial model where a
known price today can take one of two possible values at the next
time. In this simple situation, risk neutral pricing can be defined
and the model can be applied to price forward contracts, exchange
rate contracts, and interest rate derivatives. The simple one-period
framework can then be extended to multi-period models. The
authors show how binomial tree models can be constructed for
several applications to bring about valuations consistent with market
prices. The book closes with a novel discussion of real options.
2006. XIII, 303 p. (Springer Finance) Hardcover

ISBN 0-387-25898-1  € 69,95 | £54.00
Semiparametric Modeling of Implied Volatility

NE W M. R. Fengler, Sal. Oppenheim jr. & Cie., Frankfurt, Germany
The implied volatility surface is a key financial variable for the

pricing and the risk management of plain vanilla and exotic options
portfolios alike. Consequently, statistical models of the implied
volatility surface are of immediate importance in practice: they
may appear as estimates of the current surface or as fully specified
dynamic models describing its propagation through space and time.
This book fills a gap in the financial literature by bringing together
both recent advances in the theory of implied volatility and refined
semiparametric estimation strategies and dimension reduction
methods for functional surfaces: the first part of the book is devoted
to smile-consistent pricing appoaches. The theory of implied and
local volatility is presented concisely, and vital smile-consistent
modeling approaches such as implied trees, mixture diffusion, or
stochastic implied volatility models are discussed in detail. The
second part of the book familiarizes the reader with estimation
techniques that are natural candidates to meet the challenges in
implied volatility modeling, such as the rich functional structure of
observed implied volatility surfaces and the necessity for dimen-
sion reduction: non- and semiparametric smoothing techniques.
The book introduces Nadaraya-Watson, local polynomial and least
squares kernel smoothing, and dimension reduction methods such
as common principle components, functional principle components
models and dynamic semiparametric factor models. Throughout,
most methods are illustrated with empirical investigations, simula-
tions and pictures.
2005. XV, 224 p. 61 illus. (Springer Finance) Softcover

ISBN 3-540-26234-2  € 44,95 | £34.50
Financial Modeling Under Non-Gaussian

NE W Distributions
E. Jondeau, M. Rockinger, University of Lausanne, Switzerland; S.-H. Poon,
University of Manchester, UK
Non-Gaussian distributions are the key theme of this book which

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

time preserving the mathematical rigor and complexity of the
original models.
This book will be an essential reference for practitioners in the
finance industry, especially those responsible for managing portfo-
lios and monitoring financial risk, but it will also be useful for math-
ematicians who want to know more about how their mathematical
tools are applied in finance, and as a text for advanced courses in
empirical finance; financial econometrics and financial derivatives.
2006. Approx. 575 p. 129 illus. (Springer Finance) Hardcover

ISBN 1-84628-419-8  € 69,95 | £50.00
Methods of Mathematical Finance

I. Karatzas, Columbia University, New York, NY, USA; S. E. Shreve, Carnegie-
Mellon University, Pittsburgh, PA, USA
1st ed. 1998. Corr. 3rd printing 2001. XV, 415 p. (Stochastic Modelling and
Applied Probability, Volume 39) Hardcover
ISBN 0-387-94839-2  € 62,95 | £48.50
Asset Pricing
Modeling and Estimation
B. Kellerhals, Deutscher Investment Trust, Frankfurt am Main
This book provides a canonical framework that shows how to bridge

the gap between the continuous-time pricing practice in financial
engineering and the capital market data inevitably only available at
discrete-time intervals. Starting with a comprehensive treatment
of the particular stochastic modeling and econometric estimation
framework, the main parts of the book cover applications to risky
assets traded on the markets for funds, fixed-income products and 2 nd
electricity derivatives. The second edition newly incorporates the E D IT IO N
financial modeling chapter which elaborates on the vital PDE- and
EMM-approaches. The reorganized and improved text further
integrates the latest research contributions in the three covered
application fields.
2nd ed. 2004. XIV, 243 p. 10 illus., 30 tabs. (Springer Finance) Hardcover
ISBN 3-540-20853-4  € 74,95 | £57.50
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
2 nd both perspectives. Theory and empirical analysis are blended with
E D IT IO N feedback from security analysts to offer a road towards a deeper
understanding of the underlying forces to drive performance in the
stock market.
2nd ed. 2004. XII, 230 p. (Springer Finance) Hardcover

ISBN 3-540-14007-7  € 69,95 | £54.00
Stochastic Calculus of Variations in

NE W Mathematical Finance
P. Malliavin, Académie des Sciences, Paris, France; A. Thalmaier, Université
de Poitiers, France
Malliavin calculus provides an infinite-dimensional differential

calculus in the context of continuous paths stochastic processes.
The calculus includes formulae of integration by parts and Sobolev
spaces of differentiable functions defined on a probability space.
This new book, demonstrating the relevance of Malliavin calculus
for Mathematical Finance, starts with an exposition from scratch
of this theory. Greeks (price sensitivities) are reinterpreted in terms
of Malliavin calculus. Integration by parts formulae provide stable
Monte Carlo schemes for numerical valuation of digital options.
Finite-dimensional projections of infinite-dimensional Sobolev
spaces lead to Monte Carlo computations of conditional expecta-
tions useful for computing American options. The discretization
error of the Euler scheme for a stochastic differential equation is
expressed as a generalized Watanabe distribution on the Wiener
space. Insider information is expressed as an infinite-dimensional
drift. The last chapter gives an introduction to the same objects in
the context of jump processes where incomplete markets appear.
2006. XI, 142 p. (Springer Finance) Hardcover

ISBN 3-540-43431-3  € 44,95 | £34.50
Mathematical Models of Financial Derivatives

Y.-K. Kwok, Hong Kong University of Science & Technology, China NE W
Mathematical Models of Financial Derivatives is a textbook on
the theory behind modeling derivatives and their risk manage-
ment, focussing on the valuation principles that are common to
2 nd
most derivative securities. A wide range of financial derivatives
E D IT IO N
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 3-540-42288-9  approx. € 65,90 | £50.50
Extreme Financial Risks

From Dependence to Risk Management NE W
Y. Malevergne, CNRS and University of Nice-Sophia Antipolis, France;
D. Sornette, CNRS and University of Nice-Sophia Antipolis and UCLA, USA
Portfolio analysis and optimization, together with the associated

risk assessment and management, require knowledge of the likely
distributions of returns at different time scales and insights into the
nature and properties of dependences between the different assets.
This book offers an original and thorough treatment of these two
domains, focusing mainly on the concepts and tools that remain
valid for large and extreme price moves. Strong emphasis is placed
on the theory of copulas and their empirical testing and calibration,
because they offer intrinsic and complete measures of dependences.
Extreme Financial Risks will be useful to: students looking for a
general and in-depth introduction to the field; financial engineers,
economists, econometricians, actuarial professionals; researchers
and mathematicians looking for a synoptic view comparing the
pros and cons of different modelling strategies; and quantitative
practitioners for the insights offered on the subtleties and the many
dimensional components of both risk and dependence.
2006. XVI, 312 p. Softcover

ISBN 3-540-27264-X  € 49,95 | £38.50
Risk and Asset Allocation

A. Meucci, Lehman Brothers, Inc., New York, NY, USA
 Meucci’s Risk and Asset Allocation is one of those rare books that
take a completely fresh look at a well-studied problem, optimal finan-
cial portfolio allocation based on statistically estimated models of risk
and expected return. Designed for graduate students or quantitatively
oriented asset managers, Meucci provides a sophisticated and inte-
grated treatment, from investment theory, to optimization methods,
to statistical analysis of multi-variate return data, through computa-
tional implementation of the results. This is rigorous and relevant! 
Darrel Duffie, Professor of Graduate Business School, Stanford University
 A wonderful book! Mathematically rigorous and yet practical,

heavily illustrated with graphs and worked examples, Attilio Meucci
has written a comprehensive treatment of asset allocation starting
from statistical concepts, covering investment primitives, and leading
to portfolio optimization in a Bayesian context with parameter uncer-
tainty.  Bob Litterman, Head of Quantitative Resources, Goldman Sachs
Asset Management
At symmys.com the reader will find freely downloadable comple-

mentary materials: the Exercise Book; a set of thoroughly docu-
mented MATLAB® applications; and the Technical Appendices with
all the proofs. More materials and complete reviews can also be
found at symmys.com.
2005. XXVI, 532 p. 141 illus. (Springer Finance) Hardcover

ISBN 3-540-22213-8  € 69,95 | £54.00
Fractals and Scaling In Finance

Discontinuity, Concentration, Risk
B. B. Mandelbrot, Yale University, New Haven, CT, USA
1997. X, 551 p. 50 illus. Hardcover

ISBN 0-387-98363-5  € 54,95 | £42.50
Stochastic Processes
From Physics to Finance
W. Paul, J. Baschnagel, University of Mainz, Germany
1999. XIII, 231 pp. 36 figs. Hardcover

ISBN 3-540-66560-9  € 84,95 | £65.50
Non-Life Insurance Mathematics

An Introduction with Stochastic Processes
T. Mikosch, University of Copenhagen, Denmark
This book offers a mathematical introduction to non-life insurance

and, at the same time, to a multitude of applied stochastic processes.
It gives detailed discussions of the fundamental models for claim
sizes, claim arrivals, the total claim amount, and their probabi-
listic properties. Throughout the book the language of stochastic
processes is used for describing the dynamics of an insurance port-
folio in claim size space and time. In addition to the standard actu-
arial notions, the reader learns about the basic models of modern
non-life insurance mathematics: the Poisson, compound Poisson
and renewal processes in collective risk theory and heterogeneity
and Bühlmann models in experience rating. The reader gets to know
how the underlying probabilistic structures allow one to determine
premiums in a portfolio or in an individual policy. Special emphasis
is given to the phenomena which are caused by large claims in these
models. What makes this book special are more than 100 figures
and tables illustrating and visualizing the theory. Every section ends
with extensive exercises. They are an integral part of this course
since they support the access to the theory.
The book can serve either as a text for an undergraduate/graduate
course on non-life insurance mathematics or applied stochastic
processes. Its content is in agreement with the European “Groupe
Consultatif ” standards. An extensive bibliography, annotated by
various comments sections with references to more advanced
relevant literature, make the book broadly and easiliy accessible.
2004. XI, 235 p. (Universitext) Softcover

ISBN 3-540-40650-6  € 49,95 | £38.50
Non-Life Insurance Mathematics

E. Straub, Zürich, Switzerland
1st ed. 1988. Corr. 2nd printing 1997. VIII, 136 pp. Hardcover
ISBN 3-540-18787-1  € 109,95 | £84.50
Life Insurance Mathematics

H. U. Gerber, University of Lausanne, Switzerland
3rd ed. 1997. XVII, 221 p. Hardcover

ISBN 3-540-62242-X  € 44,95 | £34.50
Martingale Methods in Financial Modelling

M. Musiela, BNP Paribas, London, UK; M. Rutkowski, University of New
South Wales, Sydney, Australia
In the 2nd edition some sections of Part I are omitted for better
readability, and a brand new chapter is devoted to volatility risk. As
a consequence, hedging of plain-vanilla options and valuation of
exotic options are no longer limited to the Black-Scholes framework
with constant volatility.
2 nd The theme of stochastic volatility also reappears systematically in

E D IT IO N the second part of the book, which has been revised fundamentally,
presenting much more detailed analyses of the various interest-rate
models available: the authors’ perspective throughout is that the
choice of a model should be based on the reality of how a particu-
lar sector of the financial market functions, never neglecting to
examine liquid primary and derivative assets and identifying the
sources of trading risk associated. This long-awaited new edition of
an outstandingly successful, well-established book, concentrating
on the most pertinent and widely accepted modelling approaches,
provides the reader with a text focused on practical rather than
theoretical aspects of financial modelling.
2nd ed. 2005. XVI, 636 p. (Stochastic Modelling and Applied Probability,
Volume 36) Hardcover
ISBN 3-540-20966-2  € 74,95 | £57.50
Efficient Methods for Valuing Interest Rate

Derivatives
A. Pelsser, Erasmus University, Rotterdam, The Netherlands
Efficient Methods for Valuing Interest Rate Derivatives provides

an overview of the models that can be used for valuing and manag-
ing interest rate derivatives. Split into two parts, the first discusses
and compares the traditional models, such as spot- and forward-rate
models, while the second concentrates on the more recently devel-
oped Market models. Unlike most of his competitors, the author’s
focus is not only on the mathematics: Antoon Pelsser draws on his
experience in industry to explore the practical issues, such as the
implementation of models, and model selection.
2000. XII, 184 p., Uncorr. 3rd printing (Springer Finance) Hardcover
ISBN 1-85233-304-9  € 72,95 | £56.00
A Benchmark Approach Quantitative Finance

E. Platen, D. Heath, University of Technology Sydney, NSW, Australia NE W
The benchmark approach provides a general framework for financial
market modeling, which extends beyond the standard risk neutral
pricing theory. It permits a unified treatment of portfolio optimiza-
tion, derivative pricing, integrated risk management and insurance
risk modeling. The existence of an equivalent risk-neutral pricing
measure is not required. Instead, it leads to pricing formulae with
respect to the real world probability measure. This yields important
modeling freedom which turns out to be necessary for the deriva-
tion of realistic, parsimonious market models. The first part of the
book describes the necessary tools from probability theory, statistics,
stochastic calculus and the theory of stochastic differential equations
with jumps. The second part is devoted to financial modeling under
the benchmark approach. Various quantitative methods for the fair
pricing and hedging of derivatives are explained. The general frame-
work is used to provide an understanding of the nature of stochastic
volatility. The book is intended for a wide audience that includes
quantitative analysts, postgraduate students and practitioners in
finance, economics and insurance. It aims to be a self-contained,
accessible but mathematically rigorous introduction to quantitative
finance for readers that have a reasonable mathematical or quantita-
tive background. Finally, the book should stimulate interest in the
benchmark approach by describing some of its power and wide
applicability.
2006. Approx. 650 p. (Springer Finance) Hardcover

ISBN 3-540-26212-1  € 69,95 | £54.00
Weak Convergence of Financial Markets

J. Prigent, THEMA, University of Cergy, France
A comprehensive overview of weak convergence of stochastic

processes and its application to the study of financial markets.
Split into three parts, the first recalls the mathematics of stochastic
processes and stochastic calculus with special emphasis on contigu-
ity properties and weak convergence of stochastic integrals. The
second part is devoted to the analysis of financial theory from the
convergence point of view. The main problems such as portfolio
optimization, option pricing and hedging are examined. The third
part deals with lattice- and tree-based computational procedures for
option pricing both on stocks and stochastic bonds. More general
discrete approximations are also introduced and detailed.
2003. XIV, 422 p. 9 illus. (Springer Finance) Hardcover

ISBN 3-540-42333-8  € 99,95 | £77.00
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 3-540-40153-9  € 69,95 | £54.00
Introduction to the Mathematics of Finance

From Risk Management to Options Pricing
S. Roman, California State University, Fullerton, CA, USA
Best of 2005 This book is specifically written for advanced undergraduate or

Book Awards by beginning graduate students in mathematics, finance or econom-
riskbook.com ics. With the exception of an optional chapter on the Capital Asset
Pricing Model, the book concentrates on discrete derivative pricing
models, culminating in a careful and complete derivation of the
Black-Scholes option pricing formulas as a limiting case of the
Cox-Ross-Rubinstein discrete model. The final chapter is devoted to
American options.
The mathematics is not watered down, but is appropriate for the
intended audience. No measure theory is used, and only a small
amount of linear algebra is required. All necessary probability
theory is developed throughout the book on a “need-to-know” basis.
No background in finance is required, since the book also contains a
chapter on options.
2004. XV, 354 p. 55 illus. (Undergraduate Texts in Mathematics)

Hardcover:
ISBN 0-387-21375-9  € 79,95 | £61.50
Softcover:
ISBN 0-387-21364-3  € 49,95 | £38.50
Statistics and Finance

An Introduction
D. Ruppert, Cornell University, Ithaca, NY, USA
From the reviews  ...The book is well-written and clear....the clear

writing with illustrative examples and pictures strongly recommend
the book as a basis for finance-motivated statistics classes at the
undergraduate level.  SIAM Review, Vol. 47, No. 2
2004. XXI, 473 p. (Springer Texts in Statistics) Hardcover

ISBN 0-387-20270-6  € 69,95 | £54.00
Advances in Finance and Stochastics

Essays in Honour of Dieter Sondermann
K. Sandmann, Johannes Gutenberg-Universität Mainz, Germany;
P. J. Schönbucher, ETH Zürich, Switzerland (Eds.)
With contributions by: F. Delbaen; H. Föllmer/A. Schied; P. Embrechts/

S.Y. Novak; J. Werner; J.-C. Duan/S.R. Pliska; D.B. Madan/F. Milne/R.J. Elliott:
Y.M. Kabanov/C. Stricker: R. Frey/P. Patie; L.-C.-G. Rogers/O. Zane; R. Bhar/
C. Chiarella/W. Runggaldier; E. Schlögl; J. A. Nielsen/K. Sandmann;
M. Schweizer; L.A. Shepp/A.N. Shiryaev/A. Sulem; K. Schürger; G. Peskir/
A.N. Shiryaev
2002. XIX, 312 p. 32 illus. Hardcover

ISBN 3-540-43464-X  € 54,95 | £42.50
Credit Risk Pricing Models

B. Schmid, riskLab germany GmbH, München, Germany
Credit Risk Pricing Models gives a deep insight into the latest basic
and advanced credit risk modelling techniques covering not only
the standard structural, reduced form and hybrid approaches but
also showing how these methods can be applied to practice. The
text covers a broad range of financial instruments, including all
kinds of defaultable fixed and floating rate debt, credit derivatives
and collateralised debt obligations.This volume will be a valuable
source for the financial community involved in pricing credit linked 2 nd
financial instruments. In addition, the book can be used by students
E D IT IO N
and academics for a comprehensive overview of the most important
credit risk modelling issues.
2nd ed. 2004. XI, 383 p. 101 illus., 65 tabs. (Springer Finance) Hardcover
ISBN 3-540-40466-X  € 79,95 | £61.50
Tools for Computational Finance

NE W 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
3 rd focus on interpolation approach and quadratic approximation. New
E D IT IO N sections and subsections are among others devoted to risk-neutral-
ity, early-exercise curves, multidimensional Black-Scholes models,
the integral representation of options and the derivation of the
Black-Scholes equation.
New figures, more exercises, more background material make this
“guide to the world of financial engineering” a real must-to-have for
everyone working in FE.
3rd ed. 2006. Approx. 300 p. (Universitext) Softcover

ISBN 3-540-27923-7  € 42,95 | £33.00
Stochastic Calculus for Finance I

The Binomial Asset Pricing Model
S. E. Shreve, Carnegie Mellon University, Pittsburgh, PA, USA
2004. XV, 187 p. 33 illus. (Springer Finance) Hardcover

ISBN 0-387-40100-8  € 39,95 | £30.50
Softcover:
ISBN 0-387-24968-0  € 26,95 | £20.50
Stochastic Calculus for Finance II

Continuous-Time Models
S. E. Shreve, Carnegie Mellon University, Pittsburgh, PA, USA
From the reviews  In summary, this is a well-written text that treats

the key classical models of finance through an applied probability
approach. It is accessible to a broad audience and has been developed
after years of teaching the subject... .  SIAM, 2005
2004. XIX, 550 p. 28 illus. (Springer Finance) Hardcover

ISBN 0-387-40101-6  € 54,95 | £42.50
Stochastic Calculus and Financial Applications

J. M. Steele, University of Pennsylvania, Philadelphia, PA, USA
From the reviews  …the results are presented carefully and thor-
oughly, and I expect that readers will find that this combination of
a careful development of stochastic calculus with many details and
examples is very useful and will enable them to apply the whole theory
confidently.  MATHEMATICAL REVIEWS
1st ed. 2001. Corr. 3rd printing 2003. IX, 300 p. 3 figs. (Stochastic Modelling
and Applied Probability, Volume 45) Hardcover
ISBN 0-387-95016-8  € 74,95 | £52.50
Exponential Functionals of Brownian Motion

and Related Processes
M. Yor, Université Paris VI, France
This volume collects papers about the laws of geometric Brown-

ian motions and their time-integrals, written by the author and
coauthors between 1988 and 1998. These functionals play an
important role in Mathematical Finance, as well as in (probabilistic)
studies related to hyperbolic geometry, and also to random media.
Throughout the volume, connections with more recent studies
involving exponential functionals of Lévy processes are indicated.
Some papers originally published in French are made available in
English for the first time.
2001. IX, 203 pp. (Springer Finance) Softcover

ISBN 3-540-65943-9  € 49,95 | £38.50
Interest-Rate Management
R. Zagst, RiskLab GmbH, Munich, Germany
This book combines a rigorous overview of the mathematics of

financial markets with an insight into the practical application of
these models to the risk and portfolio management of interest-rate
derivatives. It can also serve as a valuable textbook for graduate and
PhD students in mathematics who want to get some knowledge
about financial markets. The first part of the book is an exposition
of advanced stochastic calculus. It defines the theoretical framework
for the pricing and hedging of contingent claims with a special focus
on interest-rate markets. The second part covers a selection of short
and long-term oriented risk measures as well as their application
to the risk management of interest-rate portfolios. Interesting and
comprehensive case studies are provided to illustrate the theoretical
concepts.
2002. XV, 341 pp. (Springer Finance) Hardcover

ISBN 3-540-67594-9  € 59,95 | £46.00
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
2 nd
E D IT IO N
handled using option pricing, the latter can be addressed by game
theory. The text shows how both instruments can be combined and
how game theory can be applied to complex problems of corporate
finance and financial intermediation. Besides providing theoretical
foundations and serving as a guide to stochastic game theory model-
ling in continuous time, the text contains numerous applications
to the theory of corporate finance and financial intermediation. By
combining arbitrage-free valuation techniques with strategic analy-
sis, the game theory analysis of options actually provides the link
between markets and organizations.
2nd ed. 2004. XVI, 174 p. 42 illus. (Springer Finance) Hardcover

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

Y. Zhu, University of North Carolina at Charlotte, Charlotte, NC, USA;
X. Wu, Hong Kong Baptist University, Kowloon, Hong Kong, China; I. Chern,
National Taiwan University, Taipei, Taiwan
This book is devoted to determining the prices of financial deriva-

tives using a partial differential equation approach. In the first part
the authors describe the formulation of the problems (including
related free-boundary problems) and derive the closed form solu-
tions if they have been found. The second part discusses how to
obtain their numerical solutions efficiently for both European-style
and American-style derivatives and for both stock options and
interest rate derivatives. The numerical methods discussed are finite-
difference methods. The book also discusses how to determine the
coefficients in the partial differential equations.
The aim of the book is to provide readers who have some code
writing experience for engineering computations with the skills
to develop efficient derivative-pricing codes. The book includes
exercises throughout and will appeal to students and researchers in
quantitative finance as well as practitioners in the financial industry
and code developers.
2004. XVIII, 513 p. 92 illus. (Springer Finance) Hardcover

ISBN 0-387-20842-9  € 79,95 | £61.50
Incomplete Information and Heterogeneous

Beliefs in Continuous-time Finance
A. Ziegler, University of Lausanne, Switzerland
This book considers the impact of incomplete information and

heterogeneous beliefs on investor’s optimal portfolio and consump-
tion behavior and equilibrium asset prices.
After a brief review of the existing incomplete information litera-
ture, the effect of incomplete information on investors’ exptected
utility, risky asset prices, and interest rates is described. It is
demonstrated that increasing the quality of investors’ information
need not increase their expected utility and the prices of risky assets.
The impact of heterogeneous beliefs on investors’ portfolio and
consumption behavior and equilibrium asset prices is shown to be
non-trivial. It is also demonstrated that financial markets in general
do not aggregate information efficiently, a fact that can explain the
equity premium puzzle.
Heterogeneous beliefs can explain a number of observed phenom-
ena, such as the fact that equilibrium state-price densities are not
log-normal, the “smile” in option implied volatility, and the patterns
of implied risk aversion reported recently in the literature.
2003. XIII, 194 p. 51 illus. (Springer Finance) Hardcover

ISBN 3-540-00344-4  € 74,95 | £57.50
Modeling Financial Time Series with S-PLUS®

E. Zivot, University of Washington, Seattle, WA, USA; J. Wang, Ronin Capital NE W
LLC, Chicago, IL, USA
This is the first book to show the power of S-PLUS for the analysis of
time series data. It is written for researchers and practitioners in the
finance industry, academic researchers in economics and finance,
and advanced MBA and graduate students in economics and
finance. Readers are assumed to have a basic knowledge of S-PLUS
and a solid grounding in basic statistics and time series concepts.
This second edition is updated to cover S+FinMetrics 2.0 and
2 nd
includes new chapters on copulas, nonlinear regime switching E D IT IO N
models, continuous-time financial models, generalized method of
moments, semi-nonparametric conditional density models, and the
efficient method of moments.
2nd ed. 2006. XXII, 998 p. 270 illus. Softcover

ISBN 0-387-27965-2  € 59,95 | £46.00
springer.com 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 Saint-Flour XXX - 2000
S. Albeverio, University of Bonn, Germany; W. Schachermayer, Vienna
University of Technology, Austria; M. Talagrand, Université Paris VI, France
P. Bernard, Université Blaise-Pascal, Clermont-Ferrant, Aubière, France (Ed.)
From the contents  S. Albeverio: Theory of Dirichlet forms and applica-

tions  W. Schachermayer: Introduction to the Mathematics of Financial
Markets  M. Talagrand: Mean field models for spin glasses: a first course.
2003. VIII, 296 p. (Lecture Notes in Mathematics, Volume 1816) Softcover

ISBN 3-540-40335-3  € 43,95 | £34.00
Forthcoming Stochastic Simulation

Algorithms and Analysis
S. Asmussen, P. W. Glynn
The book covers a broad aspect of topics and applications in simula-

tion at a higher mathematical level than other recent texts in the
area. Its readership is intended for graduate students and research-
ers from a broad variety of areas, in particular applied probability,
statistics, mathematical finance, operations research, industrial
engineering, electrical engineering and other application areas. The
book contains a large amount of exercises and illustrations.
2007. Approx. 300 p. 44 illus. (Stochastic Modelling and Applied Prob-

ability,) Hardcover
ISBN 0-387-30679-X  approx. € 46,95 | £36.00
Séminaire de Probabilités XXXVI

J. Azéma, Université Pierre et Marie Curie, Paris, France; M. Émery, Univer-
sité Louis Pasteur, Strasbourg, France; M. Ledoux, Université Paul Sabatier,
Toulouse, France; M. Yor, Université Pierre et Marie Curie, Paris, France
(Eds.)
2003. VIII, 499 p. (Lecture Notes in Mathematics / Séminaire de Probabilités,

Volume 1801) Softcover
ISBN 3-540-00072-0  € 69,95 | £54.00
Related Titles from Mathematics and Statistics 31 springer.com
Measure, Integral and Probability

M. Capinski, Nowy Sacz, Poland; P. E. Kopp, University of Hull, UK
Measure, Integral and Probability is a gentle introduction that

makes measure and integration theory accessible to the average
third-year undergraduate student. The ideas are developed at an
easy pace in a form that is suitable for self-study, with an emphasis
on clear explanations and concrete examples rather than abstract
theory.
For this second edition, the text has been thoroughly revised and
expanded. New features include: a substantial new chapter, featuring 2 nd
a constructive proof of the Radon-Nikodym theorem, an analysis E D IT IO N
of the structure of Lebesgue-Stieltjes measures, the Hahn-Jordan
decomposition, and a brief introduction to martingales; key aspects
of financial modelling, including the Black-Scholes formula,
discussed briefly from a measure-theoretical perspective to help the
reader understand the underlying mathematical framework.
2nd ed. 2004. XV, 311 p. 23 illus. (Springer Undergraduate Mathematics

Series) Softcover
ISBN 1-85233-781-8  € 39,95 | £18.95
Statistical Analysis of Financial Data in S-Plus

R. A. Carmona, Princeton University, NJ, USA
2004. XVI, 451 p.144 illus. (Springer Texts in Statistics) Hardcover

ISBN 0-387-20286-2  € 69,95 | £54.00
Elementary Probability Theory

With Stochastic Processes and an Introduction to Mathematical
Finance
K. L. Chung, Stanford University, CA, USA; F. AitSahlia, University of Florida, 4th
Gainesville, FL, USA E D IT IO N
From the reviews  This edition is the third revision of a text on
mathematical probability first published in 1974. The text is aimed
at undergraduate mathematics students and is accessible to a general
audience. The prose is accurate, entertaining, and dense with historical
tidbits. Two concluding chapters on mathematical finance have been
added to the eight chapters in the third edition by the second author.
 The American Statistician, May 2004
4th ed. 2003. XIII, 402 p. 114 illus., 57 in color. (Undergraduate Texts in
Mathematics) Hardcover
ISBN 0-387-95578-X  € 79,95 | £61.50
Controlled Markov Processes and

NE W 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
2 nd fundamental equation of dynamic programming is a nonlinear
E D IT IO N evolution equation for the value function. For controlled Markov
diffusion processes, this becomes a nonlinear partial differential
equation of second order, called a Hamilton-Jacobi-Bellman (HJB)
equation. Typically, the value function is not smooth enough to
satisfy the HJB equation in a classical sense. Viscosity solutions
provide framework in which to study HJB equations, and to prove
continuous dependence of solutions on problem data. The theory is
illustrated by applications from engineering, management science,
and financial economics.
In this second edition, new material on applications to mathemati-
cal finance has been added. Concise introductions to risk-sensitive
control theory, nonlinear H-infinity control and differential games
are also included.
2nd ed. 2006. XVII, 429 p. (Stochastic Modelling and Applied Probability,
Volume 25) Hardcover
ISBN 0-387-26045-5  € 66,95 | £51.50
Stochastic Methods in Finance

Lectures given at the C.I.M.E.-E.M.S. Summer School held in
Bressanone/Brixen, Italy, July 6-12, 2003
M. Frittelli, University of Florence, Italy; W. Runggaldier, University of
Padova, Italy (Eds.)
From the contents  Preface  Kerry Back: Incomplete and Asymmetric

Information in Asset Pricing Theory  Tomasz R. Bielecki, Monique Jean-
blanc, Marek Rutkowski: Modeling and Valuation of Credit Risk  Christian
Hipp: Stochastic Control with Application in Insurance  Shige Peng:
Nonlinear Expectations, Nonlinear Evaluations and Risk Measures  Walter
Schachermayer: Utility Maximisation in Incomplete Markets
2004. XIII, 307 p. (Lecture Notes in Mathematics / Fondazione C.I.M.E.,

Firenze, Volume 1856) Softcover
ISBN 3-540-22953-1  € 49,95 | £38.50
Nonlinear Time Series

Nonparametric and Parametric Methods
J. Fan, Princeton University, Princeton, NJ, USA; Q. Yao, London School of
Economics, London, UK
1st ed. 2003. 2nd printing 2005. 2005. XIX, 552 p. (Springer Series in
Statistics) Softcover
ISBN 0-387-26142-7  € 42,95 | £33.00
Stochastic Processes
Lectures given at Aarhus University
K. Itô, Kyoto, Japan; O. E. Barndorff-Nielsen, University of Aarhus,
Denmark; K. Sato, Tenpaku-ku, Japan (Eds.)
From the reviews  The book can be recommended as a fine introduc-

tion to such important branches of stochastic process theory as the
theories of processes with independent increments and of Markov
processes. It will be a valuable acquisition for any mathematical
library. The text of the book has been carefully prepared by the editors
… .  M.G. Shur, Mathematical Reviews, 2005e
2004. XII, 234 p. Hardcover

ISBN 3-540-20482-2  € 59,95 | £46.00
Probability Essentials
J. Jacod, Université Paris VI, Paris, France; P. Protter, Cornell University,
2 nd
E D IT IO N
Ithaca, NY, USA
From the reviews  The authors provide the shortest path through the
twenty-eight chapter headings. The topics are treated in a mathemati-
cally and pedagogically digestible way. The writing is concise and crisp:
the average chapter length is about eight pages. ... Numerous exercises
add to the value of the text as a teaching tool. In conclusion, this is an
excellent text for the intended audience.  Short Book Reviews, Vol. 21,
No. 2, 2001
2nd ed. 2003. Corr. 2nd printing 2004. X, 254 p. (Universitext) Softcover
ISBN 3-540-43871-8  € 34,95 | £27.00
From Stochastic Calculus to Mathematical

NE W Finance
The Shiryaev Festschrift
Y. Kabanov, Université de Franche-Comté, Besançon, France; R. Liptser,
Tel Aviv University, Israel; J. Stoyanov, University of Newcastle, UK (Eds.)
Dedicated to the eminent Russian mathematician Albert Shiryaev

on the occasion of his 70th birthday, the Festschrift is a collection
of papers, including several surveys, written by his former students,
co-authors and colleagues. These reflect the wide range of scientific
interests of the teacher and his Moscow school. The topics range
from the disorder problems to stochastic calculus and their applica-
tions to mathematical economics and finance. A full biobibliography
of Shiryaev’s works is included.
The book represents the modern state of art of many aspects of a
quickly maturing theory and will be an essential source and read-
ing for researchers in this area. The diversity of the topics and the
comprehensive style of the papers make the book amenable and
attractive for PhD students and young researchers.
2006. XXXVIII, 634 p. 15 illus. Hardcover

ISBN 3-540-30782-6  € 79,95 | £61.50
Brownian Motion and Stochastic Calculus

I. Karatzas, Columbia University, New York, NY, USA; S. E. Shreve, Carnegie
2nd ed. 1991. Corr. 8th printing 2005. XXIII, 470 p. 10 illus. (Graduate Texts
in Mathematics, Volume 113) Softcover
ISBN 0-387-97655-8  € 46,95 | £36.00
Numerical Solution of Stochastic Differential

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

H. Kuo, Louisiana State University, Baton Rouge, LA, USA NE W
The theory of stochastic integration, also called the Itô calculus, has
a large spectrum of applications in virtually every scientific area
involving random functions, but it can be a very difficult subject for
people without much mathematical background. The Itô calculus
was originally motivated by the construction of Markov diffusion
processes from infinitesimal generators. Previously, the construction
of such processes required several steps, whereas Itô constructed
these diffusion processes directly in a single step as the solutions
of stochastic integral equations associated with the infinitesimal
generators. Moreover, the properties of these diffusion processes
can be derived from the stochastic integral equations and the Itô
formula. This introductory textbook on stochastic integration
provides a concise introduction to the Itô calculus, and covers the
following topics: Constructions of Brownian motion  Stochastic
integrals for Brownian motion and martingales  The Itô formula 
Multiple Wiener-Itô integrals  Stochastic differential equations 
Applications to finance, filtering theory, and electric circuits.
2006. XIII, 279 p. (Universitext) Softcover

ISBN 0-387-28720-5  € 42,95 | £33.00
Introductory Lectures on Fluctuations of Lévy

Processes with Applications NE W
A. Kyprianou, Heriot-Watt University, Edinburgh, UK
This text book forms the basis of a graduate course on the theory
and applications of Lévy processes, from the perspective of their
path fluctuations. Central to the presentation are decompositions of
the paths of Lévy processes in terms of their local maxima and an
understanding of their short- and long-term behaviour.
The book aims to be mathematically rigourous while still providing
an intuitive feel for underlying principles. The results and applica-
tions often focus on the case of Lévy processes with jumps in only
one direction, for which recent theoretical advances have yielded a
higher degree of mathematical transparency and explicitness. Each
chapter has a comprehensive set of exercises with complete solu-
tions.
2006. XIV, 377 p. (Universitext) Softcover

ISBN 3-540-31342-7  € 39,95 | £30.50
Statistics of Random Processes

I. General Theory
R. S. Liptser, University of Tel Aviv, Israel; A. N. Shiryaev, Steklov Math-
ematical Institute, Moscow, Russia
2nd rev. and exp. ed. 2001. XV, 427 pp. (Stochastic Modelling and Applied
Probability, Volume 5) Hardcover
ISBN 3-540-63929-2  € 79,95 | £61.50
Statistics of Random Processes

II. Applications
From the reviews  Written by two renowned experts in the field,
the books […] contain a thorough and insightful treatment of the
fundamental underpinnings of various aspects of stochastic processes
as well as a wide range of applications. Providing clear exposition,
deep mathematical results, and superb technical representation, they
are masterpieces of the subject of stochastic analysis and nonlinear
filtering.  Siam Review
2nd rev. and exp. ed. 2001. XV, 402 pp. (Stochastic Modelling and Applied
Probability, Volume 6) Hardcover
ISBN 3-540-63928-4  € 79,95 | £61.50
Aspects of Brownian Motion

NE W R. Mansuy, M. Yor, Université Paris VI, Paris, France
Stochastic calculus and excursion theory are very efficient tools to

obtain either exact or asymptotic results about Brownian motion
and related processes. The emphasis of this book is on special classes
of Brownian functionals like: Gaussian subspaces of the Gaussian
space of Brownian motion; Brownian quadratic funtionals; Brown-
ian local times, Exponential functionals of Brownian motion with
drift; Winding number of one or several Brownian motions around
one or several points or a straight line, or curves; Time spent by
Brownian motion below a multiple of its one-sided supremum.
Besides its obvious audience of students and lecturers the book also
addresses the interests of researchers from core probability theory
out to applied fields such as polymer physics and mathematical
finance.
2006. Approx. 300 p. (Universitext) Softcover

ISBN 3-540-22347-9  € 39,95 | £30.50
Forward-Backward Stochastic Differential

Equations and Their Applications printing
corr. 3rd
J. Ma, Purdue University, West Lafayette, IN, USA; J. Yong, Fudan University, 2005
Shanghai, People’s Republic of China
1st ed. 1999. Corr. 3nd printing 2005. XIII, 270 pp. (Lecture Notes in Math-
ematics, Volume 1702) Softcover
ISBN 3-540-65960-9  € 40,95 | £31.50
Theory of Random Sets

I. Molchanov, University of Berne, Switzerland
2005. XVI, 488 p. 33 illus. (Probability and its Applications) Hardcover

ISBN 1-85233-892-X  € 89,95 | £50.00
Monte Carlo and Quasi-Monte Carlo

Methods 2004
H. Niederreiter, National University of Singapore, Singapore; D. Talay,
INRIA, Sophia Antipolis, France (Eds.)
2006. IX, 514 p. 73 illus. Softcover

ISBN 3-540-25541-9  € 99,95 | £77.00
Applied Stochastic Control of Jump Diffusions

B. Øksendal, University of Oslo, Norway; A. Sulem, INRIA Rocquencourt,
Le Chesnay, France
The main purpose of the book is to give a rigorous, yet mostly

nontechnical, introduction to the most important and useful solu-
tion methods of various types of stochastic control problems for
jump diffusions and its applications. The types of control problems
covered include classical stochastic control, optimal stopping,
impulse control and singular control. Both the dynamic program-
ming method and the maximum principle method are discussed,
as well as the relation between them. Corresponding verification
theorems involving the Hamilton-Jacobi Bellman equation and/or
(quasi-)variational inequalities are formulated. There are also chap-
ters on the viscosity solution formulation and numerical methods.
The text emphasises applications, mostly to finance. All the main
results are illustrated by examples and exercises appear at the end
of each chapter with complete solutions. This will help the reader
understand the theory and see how to apply it.
2005. X, 208 p. (Universitext) Softcover

ISBN 3-540-14023-9  € 39,95 | £30.50
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
printing is a pleasure to read, with many examples, and all arguments are
corr. 3rd presented clearly and with care. ...  Prof. Dr. M. Vanmaele, KWANT
2005 METHODEN, 2004
2nd ed. 2003. Corr. 3rd printing 2005. XIII, 419 p. (Stochastic Modelling and
Applied Probability, Volume 21) Hardcover
ISBN 3-540-00313-4  € 64,95 | £50.00
Stochastic Networks and Queues

P. Robert, INRIA, Le Chesnay, France
Queues and stochastic networks are analyzed in this book with

purely probabilistic methods. The purpose of these lectures is to
show that general results from Markov processes, martingales or
ergodic theory can be used directly to study the corresponding
stochastic processes. Recent developments have shown that, instead
of having ad-hoc methods, a better understanding of fundamental
results on stochastic processes is crucial to study the complex behav-
ior of stochastic networks.
2003. XIX, 398 p. (Stochastic Modelling and Applied Probability, Volume 52)
Hardcover
ISBN 3-540-00657-5  € 69,95 | £54.00
Stochastic Finance
NE W A. Shiryaev, Academy of Science of Russia, Moscow, Russia; M. Grossinho,
Technical University of Lisbon, Portugal; P. Oliveira, Universidade de
Coimbra, Portugal; M. Esquível, Universidade Nova de Lisboa, Caparica,
Portugal (Eds.)
Since the pioneering work of Black, Scholes, and Merton in the field
of financial mathematics, research has led to the rapid development
of a substantial body of knowledge, with plenty of applications to the
common functioning of the world’s financial institutions.
Mathematics, as the language of science, has always played a role
in the development of knowledge and technology. Presently, the
high-tech character of modern business has increased the need
for advanced methods, which rely to a large extent on mathemati-

cal techniques. It has become essential for the financial analyst
to possess a high degree of proficiency in these mathematical
techniques.
2006. XIV, 364 p. Hardcover

ISBN 0-387-28262-9  € 82,95 | £64.00
Modern Portfolio Optimization with NuOPT™,

S-PLUS®, and S+Bayes™
B. Scherer, Deutsche Asset Management, Frankfurt, Germany; R. D. Martin,
University of Washington, Seattle, WA, USA
 The authors take a huge step in the long struggle to establish

applied post-modern portfolio theory. The optimization and statistical
techniques generalize the normal linear model to include robustness,
non-normality, and semi-conjugate Bayesian analysis via MCMC.
The techniques are very clearly demonstrated by the extensive use and
tight integration of S-Plus software. Their book should be an enormous
help to students and practitioners trying to move beyond traditional
modern portfolio theory.  Peter Knez, CIO, Global Head of Fixed Income,
Barclays Global Investors
2005. XXII, 410 p. 161 illus. Hardcover

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

Models
F. Stulajter, Comenius University, Bratislava, Slovak Republic
2002. IX, 231 p. 9 illus. Hardcover

ISBN 0-387-95350-7  € 59,95 | £46.00
Stochastic Modeling and Optimization

With Applications in Queues, Finance, and Supply Chains
D. D. Yao, Columbia University, New York, NY, USA; H. Zhang, Chinese
Academy of Sciences, Beijing, China; X. Y. Zhou, The Chinese University of
Hong Kong, Shatin, Hong Kong (Eds.)
This book covers the broad range of research in stochastic models

and optimization. Applications covered include networks, financial
engineering, production planning and supply chain management.
Each contribution is aimed at graduate students working in opera-
tions research, probability, and statistics.
2003. XI, 468 p. 30 illus. Hardcover

ISBN 0-387-95582-8  € 64,95 | £50.00
springer.com 40 Financial Economics/Financial Management
Financial Economics/
Financial Management
Numerical Methods in Finance
NE W M. Breton, H. Ben-Ameur, GERAD and HEC Montréal, QC, Canada (Eds.)
Numerical Methods in Finance presents some exciting develop-

ments arising from the combination of mathematics, numerical
analysis, and finance. It covers a wide range of topics, from portfolio
management and asset pricing, to performance, risk, debt and real
option evaluation. It also presents applications of a variety of cutting
edge approaches and techniques, including robust control, min-
max optimisation, Bessel processes, stochastic viability, variational
inequalities, and Monte-Carlo test techniques.
2005. XV, 258 p. Hardcover

ISBN 0-387-25117-0  € 62,95 | £48.50
Recent Developments on Money and Finance

NE W Exploring Links between Market Frictions, Financial Systems
and Monetary Allocations
G. Camera, Purdue University, West Lafayette, IN, USA (Ed.)
2006. VI, 273 p. 28 illus. (Studies in Economic Theory, Volume 24) Hardcover
ISBN 3-540-27803-6  € 84,95 | £65.50
Banking for Family Business

A New Challenge for Wealth Management
S. Caselli, S. Gatti, Bocconi University, Milan, Italy (Eds.)
This text covers a wide spectrum of topics, including the ways family
bankers really work, the relations between private banking and
corporate banking, and the trends of the market in Europe and USA.
2005. XIX, 220 p. 46 illus. Hardcover

ISBN 3-540-22798-9  € 69,95 | £54.00
When There Was No Money

NE W Building ACLEDA Bank in Cambodia’s Evolving Financial Sector
H. A. Clark, Albuquerque, NM, USA
2006. XX, 257 p. Hardcover

ISBN 3-540-28876-7  € 49,95 | £38.50
Financial Economics/Financial Management 41 springer.com
Structured Finance
Techniques, Products and Market
S. Caselli, S. Gatti, Bocconi University, Milan, Italy (Eds.)
This clearly structured book provides the reader with an analysis

of the characteristics of structured finance deals, asset-backed
securitization, project finance, structured leasing and leveraged
acquisitions. As the first comprehensive book on all structured
finance products, it also gives updated data on the current state of
the international financial markets for these operations.
2005. VII, 206 p. 52 illus. Hardcover

ISBN 3-540-25311-4  € 69,95 | £54.00
Financial Market Imperfections and Corporate

NE W
Decisions
Lessons from the Transition Process in Hungary
E. Colombo, L. Stanca, University of Milan Bicocca, Italy
2006. X, 174 p. 50 illus. (Contributions to Economics) Softcover

ISBN 3-7908-1581-0  € 49,95 | £38.50
Strategy and Organization of Corporate Banking

G. De Laurentis, Bocconi University, Milan, Italy (Ed.)
2005. IX, 189 p. 12 illus. Hardcover

ISBN 3-540-22797-0  € 59,95 | £46.00
Optimal Control and Dynamic Games

Applications in Finance, Management Science and Economics NE W
C. Deissenberg, Université de la Méditerranée, Les Milles, France;
R. F. Hartl, University of Vienna, Austria (Eds.)
2005. XXIV, 344 p. (Advances in Computational Management Science,

Volume 7) Hardcover
ISBN 0-387-25804-3  € 129,00 | £99.00
Sovereign Risk and Financial Crises

M. Frenkel, WHU Koblenz, Germany; A. Karmann, Dresden University of
Technology, Dresden, Germany; B. Scholtens, University of Groningen, The
Netherlands (Eds.)
2004. XII, 258 p. 30 illus. Hardcover

ISBN 3-540-22248-0  € 74,95 | £57.50
Risk Management
Challenge and Opportunity
M. Frenkel, WHU, Vallendar, Germany; U. Hommel, European Business
School, Oestrich-Winkel, Germany; M. Rudolf, WHU, Vallendar, Germany
(Eds.)
The book broadly deals with all aspects of risk management which
have undergone significant innovation in recent years. It has been
written for academics as well as practitioners, in particular finance
specialists. It is the only volume to this date which brings together
2 nd such a wide array of experts and offers such a complete coverage
E D IT IO N of recent developments. The emphasis of this volume is placed
on highlighting the linkage between the academic literature and
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function.
2nd revised and enlarged ed. 2005. XXVII, 838 p. 100 illus. Hardcover
ISBN 3-540-22682-6  € 99,95 | £77.00
International Finance and Open-Economy

Macroeconomics
G. Gandolfo, University of Rome La Sapienza, Rome, Italy
1st ed. 2001. 2nd printing 2002. XXII, 613 pp. 48 figs., 3 tabs. Hardcover
ISBN 3-540-41730-3  € 109,95 | £84.50
Study Edition
1st ed. 2001. 2nd printing 2002. XXIII, 613 p. 51 illus. Softcover
ISBN 3-540-43459-3  € 44,95 | £34.50
A Structural Framework for the Pricing

NE W 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,

ISBN 3-540-28683-7  € 54,95 | £42.50
Credit Risk, Capital Structure and the Pricing

of Equity Options
M. Hanke, Wirtschaftsuniversität Wien, Vienna, Austria
2003. XVI, 208 p. 50 illus. Softcover

ISBN 3-211-00520-X  € 64,95 | £50.00
Dynamic Games: Theory and Applications

A. Haurie, Université de Genève, Switzerland; G. Zaccour, HEC Montréal , NE W
Canada (Eds.)
Dynamic Games: Theory and Applications collects thirteen articles

written by established researchers. It is an excellent reference for
researchers and graduate students covering a wide range of emerg-
ing and revisited problems in both cooperative and non-cooperative
games in different areas of applications, especially in economics and
management science.
2005. XVI, 271 p. Hardcover

ISBN 0-387-24601-0  € 62,95 | £48.50
Exchange Traded Funds

Structure, Regulation and Application of a New Fund Class NE W
E. Hehn, Walchwil, Switzerland (Ed.)
The main objective of this book is to present a comprehensive

in-depth survey of the past development in the area of Exchange
Traded Funds (ETFs) as well as to put forth the most recent
advancements in the field of that investment class. An important
aspect is to bridge the gap between the traditional fund industry and
innovation practices.
2005. VIII, 257 p. 44 illus. Hardcover

ISBN 3-540-24124-8  € 44,95 | £34.50
Market-Conform Valuation of Options

T. Herwig, University of Frankfurt, Germany NE W
2006. VIII, 104 p. 10 illus. (Lecture Notes in Economics and Mathematical

Systems, Volume 571) Softcover
ISBN 3-540-30837-7  € 44,95 | £34.50
Pensionomics
On the Role of PAYGO in Pension Portfolios NE W
M. F. Jäkel, WHU, Otto Beisheim School of Management, Vallendar,
Germany
2006. XII, 316 p. (Lecture Notes in Economics and Mathematical Systems,

ISBN 3-540-32597-2  € 64,95 | £50.00
Modern Actuarial Risk Theory

R. Kaas, University of Amsterdam, The Netherlands; M. Goovaerts,
J. Dhaene, Catholic University of Leuven, Belgium and University of
Amsterdam, The Netherlands; M. Denuit, Catholic University of Louvain-la-
Neuve, Belgium
2004. XVIII, 306 p. Softcover

ISBN 1-4020-2952-7  € 48,00 | £34.00
Stochastic Linear Programming

NE W Models, Theory, and Computation
P. Kall, J. Mayer, University of Zurich, Switzerland
2005. XII, 398 p. (International Series in Operations Research & Manage-

ment Science, Volume 80) Hardcover
ISBN 0-387-23385-7  € 69,95 | £54.00
Encyclopedia of Finance
NE W C. F. Lee, Rutgers University, Piscataway, NJ, USA; A. C. Lee, San Francisco
State University, CA, USA (Eds.)
The Encyclopedia of Finance is a major new reference work cover-

ing all aspects of finance. Coverage includes finance (financial
management, security analysis, portfolio management, financial
markets and instruments, insurance, real estate, options and futures,
international finance) and statistical applications in finance (applica-
tions in portfolio analysis, option pricing models and financial
research). The project is designed to attract both an academic and
professional market. It will also have international approach to
ensure its maximum appeal.
2006. X, 1100 p. Hardcover

ISBN 0-387-26284-9  € 249,00 | £191.50
Term Structure Modeling and Estimation

NE W in a State Space Framework
W. Lemke, Deutsche Bundesbank, Frankfurt am Main
2006. IX, 223 p. (Lecture Notes in Economics and Mathematical Systems,

ISBN 3-540-28342-0  € 54,95 | £42.50
Stochastic Dominance
Investment Decision Making under Uncertainty 2 nd NE W
H. Levy, Hebrew University of Jerusalem, Israel (Ed.) E D IT IO N
2nd ed. 2006. Approx. 400 p. (Studies in Risk and Uncertainty, Volume 12)
Hardcover
ISBN 0-387-29302-7  € 99,95 | £77.00
Portfolio Management with Heuristic

Optimization NE W
D. Maringer, University of Erfurt, Germany
2005. XIV, 222 p. (Advances in Computational Management Science,

Volume 8) Hardcover
ISBN 0-387-25852-3  € 99,95 | £77.00
Artificial Economics
Agent-Based Methods in Finance, Game Theory and Their NE W
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,

ISBN 3-540-28578-4  € 54,95 | £42.50
Microfinance Investment Funds

Leveraging Private Capital for Economic Growth and Poverty NE W
Reduction
I. Matthäus-Maier, KfW, Frankfurt, Germany; J. D. Pischke, Reston, VA, USA
(Eds.)
 The surge in new investment funds - nearly 60 funds at last count -

is an exciting sign that microfinance is attracting mainstream financial
markets. Foreign investors bridge a crucial gap for MFIs and greenfield
banks not yet able to attract deposits, debt or equity from local sources.
Recognizing the ultimate goal of building those local financial markets
that serve the poor, some foreign investors and funds are facilitating
local intermediation with incentives like guarantees for local banks
to lend to MFIs in local currency. Such contributions to local market
building, combined with strengthening governance, increasing trans-
parency and rigor make the new funds potentially very positive forces
in microfinance.  Elisabeth Littlefield, Director and CEO, CGAP
2006. XIV, 291 p. 12 illus. Hardcover

ISBN 3-540-28070-7  € 69,95 | £54.00
Strategic Trading in Illiquid Markets

B. Mönch, Goethe-Universität Frankfurt, Germany
2005. XIII, 116 p. (Lecture Notes in Economics and Mathematical Systems,

ISBN 3-540-25039-5  € 44,95 | £34.50
Real Options Valuation

The Importance of Interest Rate Modelling in Theory and
Practice
M. Schulmerich, München, Germany
2005. XVI, 357 p. (Lecture Notes in Economics and Mathematical Systems,

ISBN 3-540-26191-5  € 69,95 | £54.00
Coping With Institutional Order Flow

NE W R. A. Schwartz, Zicklin School of Business, Baruch College, CUNY, NY, USA;
J. A. Byrne, Traders Magazine, Rockaway, NJ, USA; A. Colaninno, Zicklin
School of Business, Baruch College, CUNY, NY, USA (Eds.)
The sequence of securities markets conferences at Baruch College‘s

Zicklin School of Business in New York City are recorded in this
popular series. The conferences are hosted by the college for indus-
try professionals, regulators and academicians.
2005. XV, 200 p. (Zicklin School of Business Financial Markets Conference

Series Baruch College, Proceeding) Hardcover
ISBN 1-4020-7511-1  € 76,95 | £59.00
Electronic vs. Floor Based Trading

NE W R. A. Schwartz, Zicklin School of Business, Baruch College, CUNY, NY, USA;
J. A. Byrne, Traders Magazine, Rockaway, NJ, USA; A. Colaninno, Zicklin
School of Business, Baruch College, CUNY, NY, USA (Eds.)
2006. XVI, 176 p. (Zicklin School of Business Financial Markets Conference

Series Baruch College, Proceeding) Hardcover
ISBN 0-387-29909-2  € 82,95 | £64.00
Optimal Control Theory

Applications to Management Science and Economics
S. P. Sethi, University of Texas at Dallas, TX, USA; G. L. Thompson, Carnegie
2nd ed. 2000. 2nd printing 2006. XVII, 504 p. Softcover

ISBN 0-387-28092-8  € 66,95 | £51.50
The Theory and Practice of Revenue

Management NE W
K. T. Talluri, Universitat Pompeu Fabra, Barcelona, Spain; G. J. Ryzin,
Columbia University, New York, NY, USA
2005. XXXII, 714 p. (International Series in Operations Research & Manage-

ment Science, Volume 68) Softcover
ISBN 0-387-24376-3  € 69,95 | £54.00
The Economics of Foreign Exchange and Global

Finance
P. Wang, University of Hull, UK
This book covers all major subjects in international monetary theo-

ries, foreign exchange markets, international financial management
and investment analysis.
2005. XII, 351 p. 71 illus. Hardcover

ISBN 3-540-21237-X  € 59,95 | £46.00
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