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Modelling, Pricing, and Hedging Counterparty Credit Exposure
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 …
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 …
Markets with Transaction Costs
The book is the first monograph on this highly important subject.
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 …
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 …
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 …
Financial Markets in Continuous Time
In modern financial practice, asset prices are modelled by means of stochastic processes, and continuous-time stochastic calculus thus plays a central role in financial modelling. …
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 …
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 …
Semiparametric Modeling of Implied Volatility
Yet that weakness is also its greatest strength. People like the model because they can easily understand its assumptions. The model is often good as a ?rst approximation, and if …