Model-free Hedging: A Martingale Optimal Transport Viewpoint focuses on the computation of model-independent bounds for exotic options consistent with..
Based on the proceedings of the first International Conference on Matrix-Analytic Methods (MAM) in Stochastic Models, held in Flint, Michigan, this bo..
Through theory and case studies, this book details how uncertainty and flexibility can be evaluated to assist in making better investment decisions in..
Developed from the author’s course on Monte Carlo simulation at Brown University, this text provides a self-contained introduction to Monte Carlo meth..
This book gives readers the solid and formal mathematical background to apply copulas to a range of mathematical areas, such as probability, real anal..
Tested and refined through years of the authors’ teaching experiences, this text provides a unified, self-contained account of the main theory and app..
This book is devoted to mathematical models for execution problems in finance. The book presents a general framework—inspired by the Almgren-Chriss ap..
Written by an experienced researcher and portfolio manager who coined the term "risk parity," this book provides readers with a practical understandin..
A properly structured financial model can provide decision makers with a powerful planning tool that helps them identify the consequences of their dec..
Because of its potential to "predict the unpredictable," extreme value theory (EVT) and methodology receives a great deal of attention from researcher..
Financial models based on jump processes are fast gaining popularity in risk management and option pricing applications. Much has been published on th..
Integrating interesting and widely used concepts of financial engineering into traditional statistics courses, this introduction illustrates the role ..