Extreme financial risks

from dependence to risk management

Portfolio analysis and optimization, together with the associated risk assessment and management, require knowledge of the likely distributions of returns at different time scales and insights into the nature and properties of dependences between the different assets. This book offers an original and thorough treatment ...

Market-conform valuation of options

Table of Contents: Introduction * Construction of Arbitrage-Free Implied Trees: A New Approach * Market-Conform Option Valuation: An Empirical Assessment of Alternative Approaches * Market-Conform Valuation of American-Style Options via Monte Carlo Simulation * Synopsis.

Fortune's Formula

the untold story of the scientific betting system that beat the casinos and Wall Street

In 1956 two Bell Labs scientists discovered the scientific formula for getting rich. One was the mathematician Claude Shannon, neurotic father of our digital age, whose genius is ranked with Einstein's. The other was John L. Kelly, Jr., a gun-toting Texas-born physicist. Together they ...

Fundamentos de álgebra

En esta introducción al álgebra, el autor parte de ideas sencillas de lógica y de la notación e ideas básicas de la teoría de conjuntos, para después estudiar relaciones y funciones, conceptos fundamentales en matemáticas. Finalmente, usando el lenguaje y las ideas anteriores, estudia las ...

Linear factor models in finance

The determination of the values of stocks, bonds, options, futures, and derivatives is done by the scientific process of asset pricing, which has developed dramatically in the last few years due to advances in financial theory and econometrics. This book covers the science of asset ...

Mathematics of financial markets

Recent years have seen a number of introductory texts which focus on the applications of modern stochastic calculus to the theory of finance, and on the pricing models for derivative securities in particular. Some of these books develop the mathematics very quickly, making substantial demands ...

Martingale methods in financial modelling

In the 2nd edition some sections of Part I are omitted for better readability, and a brand new chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with ...

Weather derivative valuation

the meteorological, statistical, financial and mathematical foundations

Weather Derivative Valuation is the first book to cover all the meteorological, statistical, financial and mathematical issues that arise in the pricing and risk management of weather derivatives. There are chapters on meteorological data and data cleaning, the modelling and pricing of single weather derivatives ...

Differential information economies

One of the main problems in current economic theory is to write contracts which are Pareto optimal, incentive compatible, and also implementable as a perfect Bayesian equilibrium of a dynamic, noncooperative game. The question arises whether it is possible to provide Walrasian type or cooperative ...

Interest risk modeling

the fixed income valuation course

The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis ...

Stochastic calculus for finance I

the binomial asset pricing model

This book evolved from the first ten years of the Carnegie Mellon professional Master#s program in Computational Finance. The contents of the book have been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both precise statements ...

Real optins valuations

the importance of interest rate modeling in theory and practice

This book analyzes real options valuation for non-constant versus constant interest rates using simulation and historical backtesting. Several real options are investigated and combined with various pricing tools and stochastic term structure models. Interest rates for real options valuation are simulated by using stochastic term ...

Valoración de las operaciones financieras

El presente libro pretende servir de manual de texto teórico-práctico de la asignatura Operaciones Financieras, tanto para los alumnos de la Diplomatura en Ciencias Empresariales como para los de la Licenciatura en Administración y Dirección de Empresas. El tratamiento que se les da a los ...

Matemáticas financieras

Esta nueva edición desarrolla los programas académicos de Matemáticas financieras e Ingeniería económica, en once capítulos que han sido reestructurados y actualizados pensando en la dinámica que debe tener todo currículo. Se han ampliado los siguientes capítulos: - Principio de la equivalencia financiera: incluye el tema ...

Analysis of microdata

The book provides a simple, intuitive introduction to regression models for qualitative and discrete dependent variables, to sample selection models, and to event history models, all in the context of maximum likelihood estimation. It presents a wide range of commonly used models. The book thereby ...

A modern introduction to probility and statistics

understanding why and how

Probability and Statistics are studied by most science students. Many current texts in the area are just cookbooks and, as a result, students do not know why they perform the methods they are taught, or why the methods work. The strength of this book is ...

Probabilidad y estadística

en que hoy en día se realiza el análisis de datos. Este texto, 'Probabilidad y Estadística: La ciencia de la incertidumbre', introduce la probabilidad y la estadística desde una visión moderna que en todo momento tiene en cuenta estos avances. Así en el desarrollo teórico ...

Estadística básica aplicada

David S. Moore no sólo es un estadístico de enorme prestigio internacional, sino que, además, ha sido miembro de la comisión creada por la American Statistical Association y la Mathematical Association of America para estudiar la enseñanza en los cursos introductorios de estadística. Las recomendaciones ...

Análisis de datos con SPSS 13 Base

En este libro podemos encontrar material diseñado para prestar ayuda tanto al usuario más básico en el manejo de aplicaciones informáticas y en el conocimiento de herramientas estadísticas, como al usuario más avanzado. Todo ello prestando más atención a los aspectos prácticos o aplicados que ...

Understanding and using advanced statistics

Understanding and Using Advanced Statistics is a comprehensive, practical guide for postgraduate students advising how and when to use more advanced statistical methods. Perfect for students without a mathematical background, the authors refresh important basics such as descriptive statistics and research design as well as ...