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Econometrics and Risk Management
Covers credit risk and credit derivatives. This book offers several points of view on credit risk when looked at from the perspective of Econometrics and Financial Mathematics. It addresses the challenge of modeling defaults and their correlations, and results on copula, reduced form and structural models, and the top-down approach.
Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives under stochastic volatility in equity, interest-rate, and credit markets. They present and analyze multiscale stochastic volatility models and asymptotic approximations. These can be used in equity markets, for instance, to link the prices of path-dependent exotic instruments to market implied volatilities. The methods are also used for interest rate and credit derivatives. Other applications considered include variance-reduction techniques, portfolio optimization, forward-looking estimation of CAPM 'beta', and the Heston model and generalizations of it. 'Off-the-shelf' formulas and calibration tools are provided to ease the transition for practitioners who adopt this new method. The attention to detail and explicit presentation make this also an excellent text for a graduate course in financial and applied mathematics.
Wave Propagation and Time Reversal in Randomly Layered Media
The content of this book is multidisciplinary by nature. It uses mathematical tools from the theories of probability and stochastic processes, partial differential equations, and asymptotic analysis, combined with the physics of wave propagation and modeling of time reversal experiments. It is addressed to a wide audience of graduate students and researchers interested in the intriguing phenomena related to waves propagating in random media. At the end of each chapter there is a section of notes where the authors give references and additional comments on the various results presented in the chapter.
Random Matrix Theory, Interacting Particle Systems and Integrable Systems
This volume includes review articles and research contributions on long-standing questions on universalities of Wigner matrices and beta-ensembles.
Econometrics and Risk Management
Covers credit risk and credit derivatives. This book offers several points of view on credit risk when looked at from the perspective of Econometrics and Financial Mathematics. It addresses the challenge of modeling defaults and their correlations, and results on copula, reduced form and structural models, and the top-down approach.
Derivatives in Financial Markets with Stochastic Volatility
This book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market volatility.
Nonparametric Econometric Methods
Contains a selection of papers presented initially at the 7th Annual Advances in Econometrics Conference held on the LSU campus in Baton Rouge, Louisiana during November 14-16, 2008. This work is suitable for those who wish to familiarize themselves with nonparametric methodology.
Maximum Simulated Likelihood Methods and Applications
This collection of methodological developments and applications of simulation-based methods were presented at a workshop at Louisiana State University in November, 2009. Topics include: extensions of the GHK simulator; maximum-simulated likelihood; composite marginal likelihood; and modelling and forecasting volatility in a bayesian approach.
Essays in Honor of Jerry Hausman
Aims to annually publish original scholarly econometrics papers on designated topics with the intention of expanding the use of developed and emerging econometric techniques by disseminating ideas on the theory and practice of econometrics throughout the empirical economic, business and social science literature.
Advanced Topics in Scattering and Biomedical Engineering
This volume of proceedings consists of the papers presented during the 8th International Workshop on Mathematical Methods in Scattering Theory and Biomedical Engineering, held in Lefkada, Greece, on 27-29 September 2007.The book contains papers on scattering theory and biomedical engineering ? two rapidly evolving fields which have a considerable impact on today's research. All the papers are state-of-the-art, have been carefully reviewed before publication and the authors are well-known in the scientific community. In addition, some papers focus more on applied mathematics, which is the solid ground for development and innovative research in scattering and biomedical engineering.
