Risk and asset alloction

This encyclopedic, detailed exposition spans all the steps of one- period allocation from the foundations to the most advanced developments. Multivariate estimation methods are analyzed in depth, including non- parametric, maximum-likelihood under non-normal hypotheses, shrinkage, robust, and very general Bayesian techniques. Evaluation methods such as ...

Measuring market risk

Fully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&A ...

Real analysis

measure theory, integration, & Hilbert spaces

Real Analysis is the third volume in the Princeton Lectures in Analysis, a series of four textbooks that aim to present, in an integrated manner, the core areas of analysis. Here the focus is on the development of measure and integration theory, differentiation and integration ...

Actuarial theory for dependent risks

measures, orders and models

The increasing complexity of insurance and reinsurance products has seen a growing interest amongst actuaries in the modelling of dependent risks. For efficient risk management, actuaries need to be able to answer fundamental questions such as: Is the correlation structure dangerous? And, if yes, to ...

Models in cooperative Game Theory

crisp, fuzzy, and multi-choice games

This book investigates models in cooperative game theory in which the players have the possibility to cooperate partially. In a crisp game the agents are either fully involved or not involved at all in coperation with some other agents, while in a fuzzy game players ...

Consumption structure and macroeconomics

structural change and the relationship between inequality and growth

This book offers a novel perspective that allows to incorporate changing consumption and production structure into models of economic growth. Starting from the empirical observation that income and consumption structure are closely related, it develops a tractable theoretical framework which enables to analyze macroeconomic models ...

Topics in Dynamic Model Analysis

advanced Matrix Methods and unit-root econometrics representation theorems

This monograph provides an insightful analysis of dynamic modelling in econometrics by bridging the unit-root gap between structural and time series approaches and focusing on representation theorems of (co) integrated processes.The book starts by providing a self-contained, rigorous as well as innovative, analytical setting ...

Asset price dynamics, volatility, and prediction

This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent ...

Principles of network economics

Network problems are manifold and extremely complex. Many problems result from engineering details or mathematical difficulties, others are caused by disregarding economic principles and imperfections of markets. The text provides a fairly integrated approach of transportation related "network problems" and their "solutions" with emphasis on ...

Classical and nonclassical logics

an introduction to the mathematics of propositions

So-called classical logic--the logic developed in the early twentieth century by Gottlob Frege, Bertrand Russell, and others--is computationally the simplest of the major logics, and it is adequate for the needs of most mathematicians. But it is just one of the many kinds of reasoning ...

Mathematical and economic theory of road pricing

This book provides the most recent methodological advances in applying advanced modeling techniques to road pricing. Distinguished from other monographs that have focused on the empirical aspects, policy experiences, and environmental issues of road congestion and road pricing, most studies presented in the book are ...

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 ...