0 valutazioniIl 0% ha trovato utile questo documento (0 voti)

8 visualizzazioni52 pagineFeb 09, 2020

© © All Rights Reserved

PDF, TXT o leggi online da Scribd

© All Rights Reserved

0 valutazioniIl 0% ha trovato utile questo documento (0 voti)

8 visualizzazioni52 pagine© All Rights Reserved

Sei sulla pagina 1di 52

com

Quantitative

Finance

2006

springer.com Contents

Springer Finance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1

Related Titles from Mathematics and Statistics . . . . . . . . . . . . . 30

Financial Economics/Financial Management . . . . . . . . . . . . . . . 40

Journals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47

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

visit “Services for Instructors” at springer.com

journals articles well before print publication

Springer Finance 1 springer.com

Springer Finance

Credit Risk Valuation

Methods, Models, and Applications

M. Ammann, University of St. Gallen, Switzerland

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

Introduction to Theory and Computation

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

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

ISBN 3-540-25373-4 € 54,95 | £42.50

springer.com 2 Springer Finance

Equilibrium, Eﬃciency and Information

E. Barucci, Università di Pisa, Italy

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.

ISBN 1-85233-469-X € 69,95 | £45.00

An Introduction to Mathematical Finance

F. E. Benth, University of Oslo, Norway

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.

ISBN 3-540-40502-X € 39,95 | £30.50

Springer Finance 3 springer.com

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

S. Hamori, University of Kobe, Japan

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.

ISBN 3-540-25123-5 € 69,95 | £54.00

to create your own user proﬁle, register to receive

free research alerts, read Online First™ articles

weeks before they are in print to complete critical

research projects.

Financial Mathematics

Lectures given at the 3rd Session of the Centro Internazionale

Matematico Estivo (C.I.M.E.) held in Bressanone, Italy,

July 8-13, 1996

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

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

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

J.C. Rochet, University of Toulouse, France

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

ISBN 3-540-62642-5 € 49,95 | £38.50

springer.com 4 Springer Finance

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

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

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

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.

ISBN 1-85233-458-4 € 59,59 | £39.50

Springer Finance 5 springer.com

Observations on Science and Speculation

N. Bouleau, École des Ponts, Paris, France

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.

ISBN 1-85233-582-3 € 39,95 | £29.50

Modelling NE W

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

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.

ISBN 3-540-26252-0 € 64,95 | £50.00

springer.com 6 Springer Finance

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

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.

ISBN 3-540-22149-2 € 64,95 | £50.00

Springer Finance 7 springer.com

Applications NE W

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

Company, Winterthur, Switzerland

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.

ISBN 3-540-25753-5 € 44,95 | £34.50

Application

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

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.

ISBN 3-540-42657-4 € 44,95 | £34.50

springer.com 8 Springer Finance

An Introduction to Financial Engineering

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

University of York, UK

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

NE W Stochastic Analysis Perspective

R. A. Carmona, Princeton University, Princeton, USA; M. R. Tehranchi,

University of Cambridge, Cambridge, UK

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.

ISBN 3-540-27065-5 € 69,95 | £54.00

Springer Finance 9 springer.com

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

Universität zu Berlin, Germany; R. Weron, Wroclaw University of Tech-

nology, Poland (Eds.)

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.

ISBN 3-540-22189-1 € 69,95 | £54.00

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.)

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.

ISBN 3-540-40193-8 € 29,95 | £23.00

springer.com 10 Springer Finance

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.)

Defaultable Claims. T. Björk: On the Geometry of Interest Rate Models.

J.A. Scheinkman, W. Xiong: Heterogeneous Beliefs, Speculation and Trading

in Financial Markets.

ISBN 3-540-22266-9 € 39,95 | £30.50

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

d’Evry, France

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.

ISBN 3-540-43403-8 € 59,95 | £46.00

Springer Finance 11 springer.com

with Self-Organizing Maps

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

nology, Hut, Finland (Eds.)

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.

ISBN 3-540-76266-3 € 104,95 | £59.50

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

Universität Wien, Austria

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.

ISBN 3-540-21992-7 € 69,95 | £54.00

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

springer.com 12 Springer Finance

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

UK

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.

ISBN 0-387-21292-2 € 89,95 | £69.00

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

degli Studi di Perugia, Italy; G. Scandolo, Università degli Studi di Firenze,

Italy

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.

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

Springer Finance 13 springer.com

Interest Rate Models

D. Filipovic, ETH-Zentrum, Zürich, Switzerland

ISBN 3-540-41493-2 € 29,95 | £23.00

An Introduction

J. Franke, University of Kaiserslautern, Germany; W. Härdle, Humboldt-

Universität zu Berlin, Germany; C. M. Hafner, Erasmus University

Rotterdam, The Netherlands

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

ISBN 3-540-21675-8 € 59,95 | £46.00

Methods and Cases

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

A. Roncoroni, ESSEC, Cergy Pontoise, France

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.

ISBN 3-540-22348-7 € 69,95 | £54.00

springer.com 14 Springer Finance

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.)

ISBN 3-540-67781-X € 79,95 | £61.50

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

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

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.

ISBN 3-540-20738-4 € 79,95 | £61.50

Springer Finance 15 springer.com

Theory and Computational Tools

W. Härdle, T. Kleinow, Humboldt Universität zu Berlin, Germany; G. Stahl,

Federal Banking Supervisory Oﬃce, Bonn, Germany

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.

ISBN 3-540-43460-7 € 62,95 | £48.50

J. van der Hoek, University of Adelaide, SA, Australia; R. J. Elliott, Univer- NE W

sity of Calgary, AB, Canada

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.

ISBN 0-387-25898-1 € 69,95 | £54.00

springer.com 16 Springer Finance

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

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.

ISBN 3-540-26234-2 € 44,95 | £34.50

NE W Distributions

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

University of Manchester, UK

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

Springer Finance 17 springer.com

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.

ISBN 1-84628-419-8 € 69,95 | £50.00

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

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

springer.com 18 Springer Finance

The Cross Section of Stock Returns

M. Külpmann, CFA, Berlin, Germany

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.

ISBN 3-540-14007-7 € 69,95 | £54.00

NE W Mathematical Finance

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

de Poitiers, France

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.

ISBN 3-540-43431-3 € 44,95 | £34.50

Springer Finance 19 springer.com

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.

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

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

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.

ISBN 3-540-27264-X € 49,95 | £38.50

springer.com 20 Springer Finance

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

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

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.

ISBN 3-540-22213-8 € 69,95 | £54.00

Discontinuity, Concentration, Risk

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

ISBN 0-387-98363-5 € 54,95 | £42.50

Stochastic Processes

From Physics to Finance

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

ISBN 3-540-66560-9 € 84,95 | £65.50

Springer Finance 21 springer.com

An Introduction with Stochastic Processes

T. Mikosch, University of Copenhagen, Denmark

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.

ISBN 3-540-40650-6 € 49,95 | £38.50

E. Straub, Zürich, Switzerland

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

ISBN 3-540-18787-1 € 109,95 | £84.50

H. U. Gerber, University of Lausanne, Switzerland

ISBN 3-540-62242-X € 44,95 | £34.50

springer.com 22 Springer Finance

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.

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

Derivatives

A. Pelsser, Erasmus University, Rotterdam, The Netherlands

an overview of the models that can be used for valuing and manag-

ing interest rate derivatives. Split into two parts, the ﬁrst discusses

and compares the traditional models, such as spot- and forward-rate

models, while the second concentrates on the more recently devel-

oped Market models. Unlike most of his competitors, the author’s

focus is not only on the mathematics: Antoon Pelsser draws on his

experience in industry to explore the practical issues, such as the

implementation of models, and model selection.

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

ISBN 1-85233-304-9 € 72,95 | £56.00

Springer Finance 23 springer.com

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.

ISBN 3-540-26212-1 € 69,95 | £54.00

J. Prigent, THEMA, University of Cergy, France

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.

ISBN 3-540-42333-8 € 99,95 | £77.00

springer.com 24 Springer Finance

Development Finance

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

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.

ISBN 3-540-40153-9 € 69,95 | £54.00

From Risk Management to Options Pricing

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

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.

Hardcover:

ISBN 0-387-21375-9 € 79,95 | £61.50

Softcover:

ISBN 0-387-21364-3 € 49,95 | £38.50

Springer Finance 25 springer.com

An Introduction

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

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

ISBN 0-387-20270-6 € 69,95 | £54.00

Essays in Honour of Dieter Sondermann

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

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

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

ISBN 3-540-43464-X € 54,95 | £42.50

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

springer.com 26 Springer 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.

ISBN 3-540-27923-7 € 42,95 | £33.00

The Binomial Asset Pricing Model

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

ISBN 0-387-40100-8 € 39,95 | £30.50

Softcover:

ISBN 0-387-24968-0 € 26,95 | £20.50

Continuous-Time Models

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

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

ISBN 0-387-40101-6 € 54,95 | £42.50

Springer Finance 27 springer.com

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

and Related Processes

M. Yor, Université Paris VI, France

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.

ISBN 3-540-65943-9 € 49,95 | £38.50

Interest-Rate Management

R. Zagst, RiskLab GmbH, Munich, Germany

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.

ISBN 3-540-67594-9 € 59,95 | £46.00

springer.com 28 Springer Finance

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.

ISBN 3-540-20668-X € 69,95 | £54.00

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

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.

ISBN 0-387-20842-9 € 79,95 | £61.50

Springer Finance 29 springer.com

Beliefs in Continuous-time Finance

A. Ziegler, University of Lausanne, Switzerland

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.

ISBN 3-540-00344-4 € 74,95 | £57.50

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.

ISBN 0-387-27965-2 € 59,95 | £46.00

springer.com 30 Related Titles from Mathematics and Statistics

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

tions W. Schachermayer: Introduction to the Mathematics of Financial

Markets M. Talagrand: Mean ﬁeld models for spin glasses: a ﬁrst course.

ISBN 3-540-40335-3 € 43,95 | £34.00

Algorithms and Analysis

S. Asmussen, P. W. Glynn

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.

ability,) Hardcover

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

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.)

Volume 1801) Softcover

ISBN 3-540-00072-0 € 69,95 | £54.00

Related Titles from Mathematics and Statistics 31 springer.com

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

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.

Series) Softcover

ISBN 1-85233-781-8 € 39,95 | £18.95

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

ISBN 0-387-20286-2 € 69,95 | £54.00

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

springer.com 32 Related Titles from Mathematics and Statistics

NE W Viscosity Solutions

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

sity, Istanbul, Turkey

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

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.)

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

Firenze, Volume 1856) Softcover

ISBN 3-540-22953-1 € 49,95 | £38.50

Related Titles from Mathematics and Statistics 33 springer.com

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.)

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

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

springer.com 34 Related Titles from Mathematics and Statistics

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.)

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.

ISBN 3-540-30782-6 € 79,95 | £61.50

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

Mellon University, Pittsburgh, PA, USA

2nd ed. 1991. Corr. 8th printing 2005. XXIII, 470 p. 10 illus. (Graduate Texts

in Mathematics, Volume 113) Softcover

ISBN 0-387-97655-8 € 46,95 | £36.00

Equations

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

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

1st ed. 1992. Corr. 3rd printing 1999. XXXVI, 636 pp. 85 ﬁgs. (Stochastic

Modelling and Applied Probability, Volume 23) Hardcover

ISBN 3-540-54062-8 € 79,95 | £61.50

Related Titles from Mathematics and Statistics 35 springer.com

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.

ISBN 0-387-28720-5 € 42,95 | £33.00

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.

ISBN 3-540-31342-7 € 39,95 | £30.50

springer.com 36 Related Titles from Mathematics and Statistics

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

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

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

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.

ISBN 3-540-22347-9 € 39,95 | £30.50

Related Titles from Mathematics and Statistics 37 springer.com

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

I. Molchanov, University of Berne, Switzerland

ISBN 1-85233-892-X € 89,95 | £50.00

Methods 2004

H. Niederreiter, National University of Singapore, Singapore; D. Talay,

INRIA, Sophia Antipolis, France (Eds.)

ISBN 3-540-25541-9 € 99,95 | £77.00

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

Le Chesnay, France

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.

ISBN 3-540-14023-9 € 39,95 | £30.50

springer.com 38 Related Titles from Mathematics and Statistics

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

P. Robert, INRIA, Le Chesnay, France

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

Related Titles from Mathematics and Statistics 39 springer.com

cal techniques. It has become essential for the ﬁnancial analyst

to possess a high degree of proﬁciency in these mathematical

techniques.

ISBN 0-387-28262-9 € 82,95 | £64.00

S-PLUS®, and S+Bayes™

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

University of Washington, Seattle, WA, USA

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

ISBN 0-387-21016-4 € 62,95 | £48.50

Models

F. Stulajter, Comenius University, Bratislava, Slovak Republic

ISBN 0-387-95350-7 € 59,95 | £46.00

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.)

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.

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.)

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.

ISBN 0-387-25117-0 € 62,95 | £48.50

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

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.

ISBN 3-540-22798-9 € 69,95 | £54.00

NE W Building ACLEDA Bank in Cambodia’s Evolving Financial Sector

H. A. Clark, Albuquerque, NM, USA

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.)

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.

ISBN 3-540-25311-4 € 69,95 | £54.00

NE W

Decisions

Lessons from the Transition Process in Hungary

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

ISBN 3-7908-1581-0 € 49,95 | £38.50

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

ISBN 3-540-22797-0 € 59,95 | £46.00

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.)

Volume 7) Hardcover

ISBN 0-387-25804-3 € 129,00 | £99.00

M. Frenkel, WHU Koblenz, Germany; A. Karmann, Dresden University of

Technology, Dresden, Germany; B. Scholtens, University of Groningen, The

Netherlands (Eds.)

ISBN 3-540-22248-0 € 74,95 | £57.50

springer.com 42 Financial Economics/Financial Management

Risk Management

Challenge and Opportunity

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

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

(Eds.)

The book broadly deals with all aspects of risk management which

have undergone signiﬁcant innovation in recent years. It has been

written for academics as well as practitioners, in particular ﬁnance

specialists. It is the only volume to this date which brings together

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

practical issues related to the organization of the risk management

function.

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

ISBN 3-540-22682-6 € 99,95 | £77.00

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

NE W of Corporate Securities

Economic and Empirical Issues

M. Genser, University of St. Gallen, Switzerland

Volume 566) Softcover

ISBN 3-540-28683-7 € 54,95 | £42.50

of Equity Options

M. Hanke, Wirtschaftsuniversität Wien, Vienna, Austria

ISBN 3-211-00520-X € 64,95 | £50.00

Financial Economics/Financial Management 43 springer.com

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

Canada (Eds.)

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.

ISBN 0-387-24601-0 € 62,95 | £48.50

Structure, Regulation and Application of a New Fund Class NE W

E. Hehn, Walchwil, Switzerland (Ed.)

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.

ISBN 3-540-24124-8 € 44,95 | £34.50

T. Herwig, University of Frankfurt, Germany NE W

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

Volume 572) Softcover

ISBN 3-540-32597-2 € 64,95 | £50.00

springer.com 44 Financial Economics/Financial Management

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

ISBN 1-4020-2952-7 € 48,00 | £34.00

NE W Models, Theory, and Computation

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

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.)

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.

ISBN 0-387-26284-9 € 249,00 | £191.50

NE W in a State Space Framework

W. Lemke, Deutsche Bundesbank, Frankfurt am Main

Volume 565) Softcover

ISBN 3-540-28342-0 € 54,95 | £42.50

Financial Economics/Financial Management 45 springer.com

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

Optimization NE W

D. Maringer, University of Erfurt, Germany

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.)

Volume 564) Softcover

ISBN 3-540-28578-4 € 54,95 | £42.50

Leveraging Private Capital for Economic Growth and Poverty NE W

Reduction

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

(Eds.)

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

ISBN 3-540-28070-7 € 69,95 | £54.00

springer.com 46 Financial Economics/Financial Management

B. Mönch, Goethe-Universität Frankfurt, Germany

Volume 553) Softcover

ISBN 3-540-25039-5 € 44,95 | £34.50

The Importance of Interest Rate Modelling in Theory and

Practice

M. Schulmerich, München, Germany

Volume 559) Softcover

ISBN 3-540-26191-5 € 69,95 | £54.00

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.)

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.

Series Baruch College, Proceeding) Hardcover

ISBN 1-4020-7511-1 € 76,95 | £59.00

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.)

Series Baruch College, Proceeding) Hardcover

ISBN 0-387-29909-2 € 82,95 | £64.00

Applications to Management Science and Economics

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

Mellon University, Pittsburgh, PA, USA

ISBN 0-387-28092-8 € 66,95 | £51.50

Financial Economics/Financial Management 47 springer.com

Management NE W

K. T. Talluri, Universitat Pompeu Fabra, Barcelona, Spain; G. J. Ryzin,

Columbia University, New York, NY, USA

ment Science, Volume 68) Softcover

ISBN 0-387-24376-3 € 69,95 | £54.00

Finance

P. Wang, University of Hull, UK

ries, foreign exchange markets, international ﬁnancial management

and investment analysis.

ISBN 3-540-21237-X € 59,95 | £46.00

Journals

Finance and Stochastics

Editor: M. Schweizer

4 issues/year

ISSN 0949-2984 (print version)

ISSN 1432-1122 (electronic version)

Annals of Finance

Editor: C.D. Aliprantis

4 issues/year

ISSN 1614-2446 (print version)

ISSN 1614-2454 (electronic version)

Managing Director: M. Li Calzi

2 issues/year

ISSN 1593-8883 (print version)

ISSN 1129-6569 (electronic version)

springer.com 48 Journals

Editor-in-Chief: J. Akahori

4 issues/year

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

Managing editor: M. Ammann

4 issues/year

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

Managing Director: H. Unal

6 issues/year

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

3 issues/year

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

Review of Finance

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

4 issues/year

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

Editor: Cheng-few Lee

8 issues/year

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

Economics

Editor: S. Grenadier

8 issues/year

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

Order Now ! springer.com

copies ISBN €

copies ISBN €

copies ISBN €

copies ISBN €

copies ISBN €

Please bill me

Please charge my credit card: Eurocard/Access/Mastercard

Visa/Barclaycard/Bank/Americard

AmericanExpress

Number

Valid until

Available from

Name

Dept.

Institution

Street

City / ZIP-Code

Country

Date Signature

Call: + 49 (0) 6221-345-4301 Fax: +49 (0) 6221-345-4229

Email: SDC-bookorder@springer.com Web: springer.com

All € and £ prices are net prices subject to local VAT, e.g. in Germany 7% VAT for books and 16% VAT for

electronic products. Pre-publication pricing: Unless otherwise stated, pre-pub prices are valid through the end

of the third month following publication, and therefore are subject to change. All prices exclusive of carriage

charges. Prices and other details are subject to change without notice. All errors and omissions excepted.

Q2619

ABCD springer.com

Springer Online

Journal Archives

Bringing Yesterday’s Masters

to Today’s Minds

Springer unlocks the gateway to historical scientiﬁc

research of the past century with the introduction of the

Online Journal Archives. Available through SpringerLink

researchers will be able to retrieve information making

search results more eﬃcient and productive and save

valuable research time.

The archives will add more than 2 million scientiﬁc articles

available electronically-right to your desktop.

or go to springerlink.com to browse current

and archive articles.

NEW

011710x

Q2619

## Molto più che documenti.

Scopri tutto ciò che Scribd ha da offrire, inclusi libri e audiolibri dei maggiori editori.

Annulla in qualsiasi momento.