SpringerBriefs in Quantitative Finance – serie
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12 produkter
Stochastic Optimization in Insurance
A Dynamic Programming Approach
Häftad, 2014
552 kr
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The main purpose of the book is to show how a viscosity approach can be used to tackle control problems in insurance. The problems covered are the maximization of survival probability as well as the maximization of dividends in the classical collective risk model. The authors consider the …
Modern SABR Analytics
Formulas and Insights for Quants, Former Physicists and Mathematicians
Av Alexandre Antonov, Michael Konikov m. fl.
Häftad, 2019
768 kr
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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. It extends SABR to a negative rates environment, and shows how to generalize it to a similar model with additional degrees …
Introduction to Central Banking
Av Ulrich Bindseil, Alessio Fotia
Häftad, 2021
344 kr
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This open access book gives a concise introduction to the practical implementation of monetary policy by modern central banks. It describes the conventional instruments used in advanced economies and the unconventional instruments that have been widely adopted since the financial crisis of …
Gaussian Process Models for Quantitative Finance
Av Michael Ludkovski, Jimmy Risk
Häftad, 2025
606 kr
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This book describes the diverse applications of Gaussian Process (GP) models in mathematical finance. Spurred by the transformative influence of machine learning frameworks, the text aims to integrate GP modeling into the fabric of quantitative finance. The first half of the book provides an entry …
Electricity Derivatives
Av René Aïd
Häftad, 2015
502 kr
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Offering a concise but complete survey of the common features of the microstructure of electricity markets, this book describes the state of the art in the different proposed electricity price models for pricing derivatives and in the numerical methods used to price and hedge the most prominent …
Interest Rate Modeling: Post-Crisis Challenges and Approaches
Av Zorana Grbac, Wolfgang Runggaldier
Häftad, 2016
736 kr
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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. Concerning this new development, there presently exist only research …
Leveraged Exchange-Traded Funds
Price Dynamics and Options Valuation
Häftad, 2016
502 kr
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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 study provides new insights on …
Contagion! Systemic Risk in Financial Networks
Av T. R. Hurd
Häftad, 2016
824 kr
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This volume presents a unified mathematical framework for the transmission channels for damaging shocks that can lead to instability in financial systems. As the title suggests, financial contagion is analogous to the spread of disease, and damaging financial crises may be better understood by …
Enlargement of Filtration with Finance in View
Av Anna Aksamit, Monique Jeanblanc
Häftad, 2017
487 kr
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This volume presents classical results of the theory of enlargement of filtration. The focus is on the behavior of martingales with respect to the enlarged filtration and related objects. The study is conducted in various contexts including immersion, progressive enlargement with a random time and …
Fourier-Malliavin Volatility Estimation
Theory and Practice
Av Maria Elvira Mancino, Maria Cristina Recchioni m. fl.
Häftad, 2017
660 kr
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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. Readers are given examples and instruments to implement …
Saddlepoint Approximation Methods in Financial Engineering
Av Yue Kuen Kwok, Wendong Zheng
Häftad, 2018
552 kr
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This book summarizes recent advances in applying saddlepoint approximation methods to financial engineering. It addresses pricing exotic financial derivatives and calculating risk contributions to Value-at-Risk and Expected Shortfall in credit portfolios under various default correlation models. …
Optimal Investment
Häftad, 2013
769 kr
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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. The final chapter assesses the …
