Böcker i Springer Finance-serien

This book is devoted to problems of stochastic control and stopping that are time inconsistent in the sense that they do not admit a Bellman optimality principle. These problems are cast in a game-theoretic framework, with the focus on subgame-perfect Nash equilibrium strategies. The general theory is illustrated with a number of finance applications.In dynamic choice problems, time inconsistency is the rule rather than the exception. Indeed, as Robert H. Strotz pointed out in his seminal 1955 paper, relaxing the widely used ad hoc assumption of exponential discounting gives rise to time inconsistency. Other famous examples of time inconsistency include mean-variance portfolio choice and prospect theory in a dynamic context. For such models, the very concept of optimality becomes problematic, as the decision makerΓÇÖs preferences change over time in a temporally inconsistent way. In this book, a time-inconsistent problem is viewed as a non-cooperative game between the agentΓÇÖs current and future selves, with the objective of finding intrapersonal equilibria in the game-theoretic sense. A range of finance applications are provided, including problems with non-exponential discounting, mean-variance objective, time-inconsistent linear quadratic regulator, probability distortion, and market equilibrium with time-inconsistent preferences.Time-Inconsistent Control Theory with Finance Applications offers the first comprehensive treatment of time-inconsistent control and stopping problems, in both continuous and discrete time, and in the context of finance applications. Intended for researchers and graduate students in the fields of finance and economics, it includes a review of the standard time-consistent results, bibliographical notes, as well as detailed examples showcasing time inconsistency problems. For the reader unacquainted with standard arbitrage theory, an appendix provides a toolbox of material needed for the book.

Yielding new insights into important market phenomena like asset price bubbles and trading constraints, this is the first textbook to present asset pricing theory using the martingale approach (and all of its extensions).

This book combines ideas from financial mathematics, actuarial sciences and economic theory to give a fully consistent framework for the analysis of solvency questions.

Fixed income volatility and equityvolatility evolve heterogeneously over time, co-moving disproportionatelyduring periods of global imbalances and each reacting to events of differentnature.

This book introduces algorithms for fast, accurate pricing of derivative contracts. These are developed in classical Black-Scholes markets, and extended to models based on multiscale stochastic volatility, to Levy, additive and classes of Feller processes.

The treatment is mathematically rigorous and covers a variety of topics in finance including forward and futures contracts, the Black-Scholes model, European and American type options, free boundary problems, lookback options, interest rate models, interest rate derivatives, swaps, caps, floors, and collars.

This volume offers practical solutions to the problem of computing credit exposure for large books of derivatives. It presents a software architecture that allows the computation of credit exposure in a portfolio-aggregated and scenario-consistent way.

This book explains how Interest-rate models work and shows how to implement them for concrete pricing. The revised 2nd edition of this book incorporates considerable new material, including sections on local-volatility dynamics, and on stochastic volatility models.

Presents a mathematical treatment of the theory of pricing and hedging of derivative securities by the principle of no arbitrage. This title consists of seven papers, which analyzes the topic in the general framework of semi-martingale theory.

This encyclopedic, detailed resource covers all the steps of one-period allocation from the foundations to the most advanced developments. It includes a large number of figures and examples as well as real trading and asset management case studies.

"Deals with pricing and hedging financial derivatives.... Computational methods are introduced and the text contains the Excel VBA routines corresponding to the formulas and procedures described in the book.

The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling.

"A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions.

Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several yearsExercises conclude every chapter;

A presentation of classical asset pricing theory, this textbook is the only one 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.

This second edition - completely up to date with new exercises - provides a comprehensive and self-contained treatment of the probabilistic theory behind the risk-neutral valuation principle and its application to the pricing and hedging of financial derivatives.

For instance, in the Hull-White model the volatility process is a geometric Brownian motion, the Stein-Stein model uses an Ornstein-Uhlenbeck process as the stochastic volatility, and in the Heston model a Cox-Ingersoll-Ross process governs the behavior of the volatility.

Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. LIBOR market models;