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Stochastic Models For Prices Dynamics In Energy And Commodity Markets - An Infinite-Dimensional Perspective

by Fred Espen Benth e Paul Kruhner

~~145,74€~~ 131,17€ 10% OFF

 <div>This monograph presents a theory for random field models in time and space, viewed as stochastic processes with values in a Hilbert space, to model the stochastic dynamics of forward and futures prices in energy, power, and commodity markets.</div><div> </div><div>In this book, the well-known Heath-Jarrow-Morton approach from interest rate theory is adopted and extended into an infinite-dimensional framework, allowing for flexible modeling of price stochasticity across time and along the term structure curve. Various models are introduced based on stochastic partial differential equations with infinite-dimensional Lévy processes as noise drivers, emphasizing random fields described by low-dimensional parametric covariance functions instead of classical high-dimensional factor models. The Filipovi space, a separable Hilbert space of Sobolev type, is found to be a convenient state space for the dynamics of forward and futures term structures. The monograph provides a classification of important operators in this space, covering covariance operators and the stochastic modeling of volatility term structures, including the Samuelson effect. Fourier methods are employed to price many derivatives of interest in energy, power, and commodity markets, and sensitivity ''delta'' expressions can be derived. Additionally, the monograph covers forward curve smoothing, the connection between forwards with fixed delivery and delivery period, as well as the classical theory of forward and futures pricing.</div><div> </div><div>This monograph will appeal to researchers and graduate students interested in mathematical finance and stochastic analysis applied in the challenging markets of energy, power, and commodities. Practitioners seeking sophisticated yet flexible and analytically tractable risk models will also find it valuable.</div>
ENGLISH

Liu'S Principles And Practice Of Laboratory Mouse Operations - A Surgical Atlas

by Don Liu e Pengxuan Liu

337,96€ + 10% CARD

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 This book fills the current void of academic writings on laboratory mouse operation, giving research scientists, graduate students, and laboratory technicians an authoritative textbook and definitive laboratory companion.
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The Evolving Psyche Of Law In Europe - The Psychology Of Human Rights And Asylum Frameworks

by Magdalena Smieszek

148,70€ + 10% CARD

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 The book applies an interdisciplinary analytical framework, based on social psychology theories of inclusion and exclusion, to a discussion of legal discourse and the development of legal frameworks in Europe concerning migrants, asylum seekers, refugees, and European citizens.
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The Battle Of Britain In The Modern Age, 1965â€“2020 - The Stateâ€™S Retreat And Popular Enchantment

by Garry Campion

60,82€ + 10% CARD

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 Its transition from history to heritage since 1965 confirms that the 1940 narrative shaped by the State has been sustained by historians, the media, popular culture, and through non-governmental heritage sites, often with financing from the National Lottery Heritage Lottery Fund.
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Middle Ear Surgery

by Henning Hildmann e Holger Sudhoff

270,36€ + 10% CARD

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 This comprehensive and illustrated textbook provides a systematic approach to frequent otological operations. Even the experienced surgeon will find valuable hints to facilitate routine middle ear operations.
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Time-Inconsistent Control Theory With Finance Applications

by Agatha Murgoci, Mariana Khapko e Tomas Bjork

145,09€ + 10% CARD

 This book is devoted to problems of stochastic control and stopping that are time inconsistent in the sense that they do not admit a Bellman optimality principle. These problems are cast in a game-theoretic framework, with the focus on subgame-perfect Nash equilibrium strategies. The general theory is illustrated with a number of finance applications.<p>In dynamic choice problems, time inconsistency is the rule rather than the exception. Indeed, as Robert H. Strotz pointed out in his seminal 1955 paper, relaxing the widely used ad hoc assumption of exponential discounting gives rise to time inconsistency. Other famous examples of time inconsistency include mean-variance portfolio choice and prospect theory in a dynamic context. For such models, the very concept of optimality becomes problematic, as the decision maker’s preferences change over time in a temporally inconsistent way. In this book, a time-inconsistent problem is viewed as a non-cooperative game between the agent’s currentand future selves, with the objective of finding intrapersonal equilibria in the game-theoretic sense. A range of finance applications are provided, including problems with non-exponential discounting, mean-variance objective, time-inconsistent linear quadratic regulator, probability distortion, and market equilibrium with time-inconsistent preferences.</p><p><i>Time-Inconsistent Control Theory with Finance Applications</i> offers the first comprehensive treatment of time-inconsistent control and stopping problems, in both continuous and discrete time, and in the context of finance applications. Intended for researchers and graduate students in the fields of finance and economics, it includes a review of the standard time-consistent results, bibliographical notes, as well as detailed examples showcasing time inconsistency problems. For the reader unacquainted with standard arbitrage theory, an appendix provides a toolbox of material needed for the book.</p>
ENGLISH

Continuous-Time Asset Pricing Theory - A Martingale-Based Approach

by Robert A. Jarrow

92,74€ + 10% CARD

 <p>Asset pricing theory yields deep insights into crucial market phenomena such as stock market bubbles. Now in a newly revised and updated edition, this textbook guides the reader through this theory and its applications to markets. The new edition features new results on state dependent preferences, a characterization of market efficiency and a more general presentation of multiple-factor models using only the assumptions of no arbitrage and no dominance. </p><p>Taking an innovative approach based on martingales, the book presents advanced techniques of mathematical finance in a business and economics context, covering a range of relevant topics such as derivatives pricing and hedging, systematic risk, portfolio optimization, market efficiency, and equilibrium pricing models. For applications to high dimensional statistics and machine learning, new multi-factor models are given. This new edition integrates suicide trading strategies into the understanding of asset price bubbles, greatly enriching the overall presentation and further strengthening the book’s underlying theme of economic bubbles.</p><p> </p><p>Written by a leading expert in risk management, <i>Continuous-Time Asset Pricing Theory</i> is the first textbook on asset pricing theory with a martingale approach. Based on the author’s extensive teaching and research experience on the topic, it is particularly well suited for graduate students in business and economics with a strong mathematical background.</p> </p>
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Mathematical Finance

by Ernst Eberlein e Jan Kallsen

105,34€ + 10% CARD

 <p>Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modelling. It bridges thegap between introductory texts and the advanced literature in the field.</p><p>Most textbooks on the subject are limited to diffusion-type models which cannot easily account for sudden price movements. Such abrupt changes, however, can often be observed in real markets. At the same time, purely discontinuous processes lead to a much wider variety of flexible and tractable models. This explains why processes with jumps have become an established tool in the statistics and mathematics of finance.</p><p> </p><p>Graduate students, researchers as well as practitioners will benefit from this monograph. </p><p><br></p>
ENGLISH

Stochastic Calculus For Finance I - The Binomial Asset Pricing Model

by Steven Shreve

72,86€ + 10% CARD

 Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master's program in Computational Finance.
ENGLISH

Continuous-Time Asset Pricing Theory - A Martingale-Based Approach

by Robert A. Jarrow

44,60€ + 10% CARD

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 Yielding new insights into important market phenomena like asset price bubbles and trading constraints, this is the first textbook to present asset pricing theory using the martingale approach (and all of its extensions).
ENGLISH

Financial Modeling - A Backward Stochastic Differential Equations Perspective

by Stephane Crepey

71,64€ + 10% CARD

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 This book examines financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes as well as a review of quantitative finance tools.
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Management Of Extended Parotid Tumors

175,73€ + 10% CARD

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 This extensively illustrated book aims to systematize the selection of treatment options in patients with parotid tumors that extend beyond the borders of the parotid tissue and therefore present particular problems for the surgeon.
ENGLISH

Continuous-Time Asset Pricing Theory - A Martingale-Based Approach

by Robert A. Jarrow

59,61€ + 10% CARD

 Yielding new insights into important market phenomena like asset price bubbles and trading constraints, this is the first textbook to present asset pricing theory using the martingale approach (and all of its extensions).
ENGLISH

Financial Markets Theory - Equilibrium, Efficiency And Information

by Claudio Fontana e Emilio Barucci

98,71€ + 10% CARD

 Merkin Professor of Mathematical Finance, Caltech"The second edition of Financial Markets Theory by Barucci and Fontana is a superb achievement that knits together all aspects of modern finance theory, including financial markets microstructure, in a consistent and self-contained framework.
ENGLISH

Financial Modeling, Actuarial Valuation And Solvency In Insurance

by Mario V. Wuthrich e Michael Merz

81,10€ + 10% CARD

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 Currently, there are many new developments in this area in the financial and insurance industry (Basel III and Solvency II), but none of these developments provides a fully consistent and comprehensive framework for the analysis of solvency questions.
ENGLISH

Interest Rate Models - Theory And Practice - With Smile, Inflation And Credit

by Damiano Brigo e Fabio Mercurio

124,37€ + 10% CARD

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 This book explains how Interest-rate models work and shows how to implement them for concrete pricing. The revised 2nd edition of this book incorporates considerable new material, including sections on local-volatility dynamics, and on stochastic volatility models.
ENGLISH

Computational Methods For Quantitative Finance - Finite Element Methods For Derivative Pricing

by Christoph Schwab, Christoph Winter, Norbert Hilber e Oleg Reichmann

71,64€ + 10% CARD

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 This unified, non-Monte-Carlo computational pricing methodology is capable of handling rather general classes of stochastic market models with jumps, including, in particular, all currently used LÃ©vy and stochastic volatility models.
ENGLISH

Price Of Fixed Income Market Volatility

by Antonio Mele e Yoshiki Obayashi

52,99€ + 10% CARD

 Fixed income volatility and equityvolatility evolve heterogeneously over time, co-moving disproportionatelyduring periods of global imbalances and each reacting to events of differentnature.
ENGLISH

Game Theory Analysis Of Options - Corporate Finance And Financial Intermediation In Continuous Time

by Alexandre C. Ziegler

171,59€ + 10% CARD

 This book shows how to combine game theory and option pricing in order to analyze dynamic multiperson decision problems in continuous time and under uncertainty. The basic intuition of the method is to separate the problem of the valuation of payoffs from the analysis of strategic interactions.
ENGLISH

Asset Pricing - Modeling And Estimation

by B.Philipp Kellerhals

171,59€ + 10% CARD

 Provides a framework that shows how to bridge the gap between the continuous-time pricing practice in financial engineering and the capital market data from discrete-time intervals. This book covers applications to risky assets traded on the markets for funds, fixed-income products and electricity derivatives.
ENGLISH

Credit Risk Pricing Models - Theory And Practice

by Bernd Schmid

211,34€ + 10% CARD

 The markets dealing with financial products related to credit risk have been booming over the last years. This has encouraged practitioners and academics at the same time to consider and develop sophisticated models for credit risk pricing.
ENGLISH

Incomplete Information And Heterogeneous Beliefs In Continuous-Time Finance

by Alexandre C. Ziegler

237,84€ + 10% CARD

 Describes the effect of incomplete information on investors' expected utility, risky asset prices, and interest rates. This book demonstrates that increasing the quality of investors' information need not increase their expected utility and the prices of risky assets. The impact of other factors is also discussed in detail.
ENGLISH

Irrational Exuberance Reconsidered - The Cross Section Of Stock Returns

by Mathias Kulpmann

118,59€ + 10% CARD

 Does the stock market overreact? Recent capital market turbulences have cast doubt whether the behaviour of stock markets is in line with rational investor behaviour. To which extent stock returns are predictable is the question at the heart of the controversy between the paradigms of rational asset pricing and behavioural finance.
ENGLISH

Weak Convergence Of Financial Markets

by Jean-Luc Prigent

171,59€ + 10% CARD

 A comprehensive overview of weak convergence of stochastic processes and its application to the study of financial markets. The main problems such as portfolio optimization, option pricing and hedging are examined, especially when considering discrete-time approximations of continuous-time dynamics.
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