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Filling a gap in the literature caused by the recent financial crisis, this book provides a treatment of the techniques needed to model and evaluate interest rate derivatives according to the new paradigm for fixed income markets.
Focusing on recent advances in option pricing under the SABR model, this book shows how to price options under this model in an arbitrage-free, theoretically consistent manner.
Readers of this book will learn how to solve a wide range of optimal investment problems arising in finance and economics. Starting from the fundamental Merton problem, many variants are presented and solved, often using numerical techniques that the book also covers.
This volume presents a unified mathematical framework for the transmission channels for damaging shocks that can lead to instability in financial systems.
This volume presents classical results of the theory of enlargement of filtration. The study is conducted in various contexts including immersion, progressive enlargement with a random time and initial enlargement with a random variable.
The main purpose of the book is to show how a viscosity approach can be used to tackle control problems in insurance.
This book provides an analysis, under both discrete-time and continuous-time frameworks, on the price dynamics of leveraged exchange-traded funds (LETFs), with emphasis on the roles of leverage ratio, realized volatility, investment horizon, and tracking errors.
This volume is a user-friendly presentation of the main theoretical properties of the Fourier-Malliavin volatility estimation, allowing the readers to experience the potential of the approach and its application in various financial settings.
This book summarizes recent advances in applying saddlepoint approximation methods to financial engineering. It will also be valuable to quantitative analysts in financial institutions who strive for effective valuation of prices of exotic financial derivatives and risk positions of portfolios of risky instruments.
This open access book gives a concise introduction to the practical implementation of monetary policy by modern central banks.
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