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Who gains all his ends did set the level too low. Although the history of trading on financial markets started a long and possibly not exactly definable time ago, most financial …
The Bachelier Society for Mathematical Finance held its first World Congress in Paris last year, and coincided with the centenary of Louis Bacheliers thesis defence. In his thesis …
The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the …
The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the …
Mathematical finance and financial engineering have been rapidly expanding fields of science over the past three decades. The main reason behind this phenomenon has been the …
It was the end of 2005 when our employer, a major European Investment Bank, gave our team the mandate to compute in an accurate way the counterparty credit exposure arising from …
This monograph presents a theory for random field models in time and space, viewed as stochastic processes with values in a Hilbert space, to model the stochastic dynamics of …
Proof of the "Fundamental Theorem of Asset Pricing" in its general form by Delbaen and Schachermayer was a milestone in the history of modern mathematical finance and now forms the …