Bøger af Stephane Crepey

This book explains how to study risk embedded in financial transactions between the bank and its counterparty. The authors provide an analytical basis for the quantitative methodology of dynamic valuation, mitigation, and hedging of bilateral counterparty risk on over-the-counter (OTC) derivative contracts under funding constraints. They explore

This book examines financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes as well as a review of quantitative finance tools.

The Paris-Princeton Lectures in Financial Mathematics, of which this is the fourth volume, publish cutting-edge research in self-contained, expository articles from outstanding specialists - established or on the rise! The articles are the result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton.