Financial Mathematics

This book uses game theory techniques to address practical business, economic, and public policy issues. It also illustrates the benefits of employing strategic thinking that incorporates the uncertainty surrounding the behavior of other parties. The authors show how to build a model, analyze real-w..

Through theory and case studies, this book details how uncertainty and flexibility can be evaluated to assist in making better investment decisions in companies. It delivers an excellent balance of theory and practice in the area of investment decision making, demonstrates how financial and real opt..

Because of its potential to "predict the unpredictable," extreme value theory (EVT) and methodology receives a great deal of attention from researchers. Extreme Values in Finance, Telecommunications, and the Environment brings together leading authorities to provide expository chapters on the applic..

Tested and refined through years of the authors’ teaching experiences, this text provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. With an abundance of examples, problems, and fully worked out solutions, the text introdu..

Financial models based on jump processes are fast gaining popularity in risk management and option pricing applications. Much has been published on the subject, but most of the papers are difficult for nonspecialists to understand. This book provides an accessible overview of the theoretical, numeri..

While continuing to focus on common mathematical approaches to model credit portfolios, this second edition presents updates on model developments that have occurred since the publication of the best-selling first edition. It contains a new section on multi-period models and discusses recent develop..

A properly structured financial model can provide decision makers with a powerful planning tool that helps them identify the consequences of their decisions before they are put into practice. Introduction to Financial Models for Management and Planning enables professionals and students to learn how..

Integrating interesting and widely used concepts of financial engineering into traditional statistics courses, this introduction illustrates the role and scope of statistics and probability in various fields. Linking probability theory with statistical inference, it presents many application example..

Based on the proceedings of the first International Conference on Matrix-Analytic Methods (MAM) in Stochastic Models, held in Flint, Michigan, this book presents a general working knowledge of MAM through tutorial articles and application papers. It furnishes information on MAM studies carried out i..

Model-free Hedging: A Martingale Optimal Transport Viewpoint focuses on the computation of model-independent bounds for exotic options consistent with market prices of liquid instruments such as Vanilla options. The author gives an overview of Martingale Optimal Transport, highlighting the differenc..

Developed from the author’s course on Monte Carlo simulation at Brown University, this text provides a self-contained introduction to Monte Carlo methods in financial engineering. It covers common variance reduction techniques, the cross-entropy method, and the simulation of diffusion process models..

This book gives readers the solid and formal mathematical background to apply copulas to a range of mathematical areas, such as probability, real analysis, measure theory, and algebraic structures. The authors prove the results as simply as possible and unify various methods scattered throughout the..