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Interest Rate Models - Theory and Practice
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 …
Credit Risk: Modeling, Valuation and Hedging
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 …
Discrete Time Series, Processes, and Applications in Finance
Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and …
Markets with Transaction Costs
The book is the first monograph on this highly important subject.
Credit Risk Pricing Models
This new edition is a greatly extended and updated version of my earlier monograph "Pricing Credit Linked Financial Instruments" (Schmid 2002). Whereas the first edition …
Credit Risk Valuation
Credit risk is an important consideration in most financial transactions. As for any other risk, the risk taker requires compensation for the undiversifiable part of the risk …
Stochastic Calculus of Variations in Mathematical Finance
Malliavin calculus provides an infinite-dimensional differential calculus in the context of continuous paths stochastic processes. The calculus includes formulae of integration by …
Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance
Continuous-time finance was developed in the late sixties and early seventies by R. C. Merton. Over the years, due to its elegance and analytical conve nience, the continuous-time …
Computational Methods for Quantitative Finance
Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to …
Analytically Tractable Stochastic Stock Price Models
Asymptotic analysis of stochastic stock price models is the central topic of the present volume. Special examples of such models are stochastic volatility models, that have been …
CreditRisk+ in the Banking Industry
CreditRisk+ is an important and widely implemented default-mode model of portfolio credit risk, based on a methodology borrowed from actuarial mathematics. This book gives an …
Applications of Fourier Transform to Smile Modeling
This book addresses the applications of Fourier transform to smile modeling. Smile effect is used generically by ?nancial engineers and risk managers to refer to the inconsistences …