Tous les ebooks de la collection "SpringerBriefs in Quantitative Finance" - Springer

9 Livre(s)
Télécharger le livre : Modern SABR Analytics
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Modern SABR Analytics
Alexandre Antonov , Michael Konikov , Michael Spector
Focusing on recent advances in option pricing under the SABR model, this book shows how to price options under this model in an arbitrage-free, theoretically consistent manner. It extends SABR to a negative rates environment, and shows how to generalize it to a similar...

Editeur : Springer
Parution : 2019-04-23
Collection : SpringerBriefs in Quantitative Finance
PDF, ePub

74,19 €
Télécharger le livre : Saddlepoint Approximation Methods in Financial Engineering
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Saddlepoint Approximation Methods in Financial Engineering
Yue Kuen Kwok , Wendong Zheng
This book summarizes recent advances in applying saddlepoint approximation methods to financial engineering. It addresses pricing exotic financial derivatives and calculating risk contributions to Value-at-Risk and Expected Shortfall in credit portfolios under various...

Editeur : Springer
Parution : 2018-02-16
Collection : SpringerBriefs in Quantitative Finance
PDF

52,99 €
Télécharger le livre : Enlargement of Filtration with Finance in View
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Enlargement of Filtration with Finance in View
Anna Aksamit , Monique Jeanblanc
This volume presents classical results of the theory of enlargement of filtration. The focus is on the behavior of martingales with respect to the enlarged filtration and related objects. The study is conducted in various contexts including immersion, progressive...

Editeur : Springer
Parution : 2017-11-18
Collection : SpringerBriefs in Quantitative Finance
PDF, ePub

68,89 €
Télécharger le livre : Fourier-Malliavin Volatility Estimation
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Fourier-Malliavin Volatility Estimation
Maria Elvira Mancino , Maria Cristina Recchioni , Simona Sanfelici
This volume is a user-friendly presentation of the main theoretical properties of the Fourier-Malliavin volatility estimation, allowing the readers to experience the potential of the approach and its application in various financial settings.  Readers are given...

Editeur : Springer
Parution : 2017-03-01
Collection : SpringerBriefs in Quantitative Finance
PDF, ePub

63,59 €
Télécharger le livre : Leveraged Exchange-Traded Funds
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Leveraged Exchange-Traded Funds
Tim Leung , Marco Santoli
This book provides an analysis, under both discrete-time and continuous-time frameworks, on the price dynamics of leveraged exchange-traded funds (LETFs), with emphasis on the roles of leverage ratio, realized volatility, investment horizon, and tracking errors.This...

Editeur : Springer
Parution : 2016-02-24
Collection : SpringerBriefs in Quantitative Finance
PDF, ePub

79,49 €
Télécharger le livre : Interest Rate Modeling: Post-Crisis Challenges and Approaches
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Interest Rate Modeling: Post-Crisis Challenges and Approaches
Zorana Grbac , Wolfgang Runggaldier
Filling a gap in the literature caused by the recent financial crisis, this book provides a treatment of the techniques needed to model and evaluate interest rate derivatives according to the new paradigm for fixed income markets. Concerning this new development, there...

Editeur : Springer
Parution : 2015-12-26
Collection : SpringerBriefs in Quantitative Finance
PDF, ePub

68,89 €
Télécharger le livre : Electricity Derivatives
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Electricity Derivatives
René Aïd
Offering a concise but complete survey of the common features of the microstructure of electricity markets, this book describes the state of the art in the different proposed electricity price models for pricing derivatives and in the numerical methods used to price and...

Editeur : Springer
Parution : 2015-01-14
Collection : SpringerBriefs in Quantitative Finance
ePub

79,49 €
Télécharger le livre : Stochastic Optimization in Insurance
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Stochastic Optimization in Insurance
Pablo Azcue , Nora Muler
The main purpose of the book is to show how a viscosity approach can be used to tackle control problems in insurance.The problems covered are the maximization of survival probability as well as the maximization of dividends in the classical collective risk model.The...

Editeur : Springer
Parution : 2014-06-19
Collection : SpringerBriefs in Quantitative Finance
ePub

52,99 €
Télécharger le livre : Optimal Investment
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Optimal Investment
L. C. G. Rogers
Readers of this book will learn how to solve a wide range of optimal investment problems arising in finance and economics. Starting from the fundamental Merton problem, many variants are presented and solved, often using numerical techniques that the book also covers....

Editeur : Springer
Parution : 2013-01-10
Collection : SpringerBriefs in Quantitative Finance
ePub

74,19 €