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Advances in Finance and Stochastics
In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. This volume contains a collection of original articles by a number of highly distinguished authors, on research topics that are currently in the focus of interest of both academics and practitioners.
Séminaire de Probabilités XLIII
This is a new volume of the Séminaire de Probabilités which is now in its 43rd year. Following the tradition, this volume contains about 20 original research and survey articles on topics related to stochastic analysis. It contains an advanced course of J. Picard on the representation formulae for fractional Brownian motion. The regular chapters cover a wide range of themes, such as stochastic calculus and stochastic differential equations, stochastic differential geometry, filtrations, analysis on Wiener space, random matrices and free probability, as well as mathematical finance. Some of the contributions were presented at the Journées de Probabilités held in Poitiers in June 2009.
New Directions in the Radical Reformation
The eight essays in this volume approach the study of the Radical Reformation from new perspectives and challenge some of the basic assumptions of the field. Some critique and problematize the typologies developed to distinguish Reformation radicals from each other and from the Magisterial Reformers. Others apply an equally iconoclastic approach to existing scholarship on the relationship between religious change and socio-political radicalism in early modern Europe. A final group concentrate specifically on revising the history of Anabaptism by tracing its long-term development across the sixteenth and seventeenth centuries and recovering the lives of normal Anabaptists to write a true social history of the movement that avoids relying on the biographies and prescriptive writings of its leadership.
Portfolio Theory and Arbitrage: A Course in Mathematical Finance
This book develops a mathematical theory for finance, based on a simple and intuitive absence-of-arbitrage principle. This posits that it should not be possible to fund a non-trivial liability, starting with initial capital arbitrarily near zero. The principle is easy-to-test in specific models, as it is described in terms of the underlying market characteristics; it is shown to be equivalent to the existence of the so-called “Kelly” or growth-optimal portfolio, of the log-optimal portfolio, and of appropriate local martingale deflators. The resulting theory is powerful enough to treat in great generality the fundamental questions of hedging, valuation, and portfolio optimization. The bo...
Bursting the Bubble: Rationality in a Seemingly Irrational Market
The presence of speculative bubbles in capital markets (an important area of interest in financial history) is widely accepted across many circles. Talk of them is pervasive in the media and especially in the popular financial press. Bubbles are thought to be found primarily in the stock market, which is our main interest, although bubbles are said to occur in other markets. Bubbles go hand in hand with the notion that markets can be irrational. The academic community has a great interest in bubbles, and it has produced scholarly literature that is voluminous. For some economists, doing bubble research is like joining the vanguard of a Kuhnian paradigm shift in economic thinking. Not so fast...
Methods of Mathematical Finance
This monograph is a sequel to Brownian Motion and Stochastic Calculus by the same authors. Within the context of Brownian-motion- driven asset prices, it develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets. The latter topic is extended to a study of equilibrium, providing conditions for the existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treate...
Risk Management
Key readings in risk management from CFA Institute, the preeminent organization representing financial analysts Risk management may have been the single most important topic in finance over the past two decades. To appreciate its complexity, one must understand the art as well as the science behind it. Risk Management: Foundations for a Changing Financial World provides investment professionals with a solid framework for understanding the theory, philosophy, and development of the practice of risk management by Outlining the evolution of risk management and how the discipline has adapted to address the future of managing risk Covering the full range of risk management issues, including firm,...
The CRF Signal
"Information molecules such as corticotropin-releasing factor (CRF) are ancient and widely distributed across diverse organs. The scientific community is beginning to realize that CRF is a dynamic and diversely widespread peptide hormone (e.g. placenta) with many functions (parturtion, metamorphosis, circadian rhythmicity) beyond acting as a releasing factor in the brain. Indeed, CRF has been associated with a range of states of the brain, including fear and anxiety, social contact, and incentive salence and addiction. Examining the evolutionary origins of CRF, its diverse endocrine and neural functions, this book provides insights into CRF that will be of interest to students and researchers in the biological, medical and behavioral sciences."--Page 4 of cover.
Quantitative Risk Management
This book provides the most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management. Whether you are a financial risk analyst, actuary, regulator or student of quantitative finance, Quantitative Risk Management gives you the practical tools you need to solve real-world problems. Describing the latest advances in the field, Quantitative Risk Management covers the methods for market, credit and operational risk modelling. It places standard industry approaches on a more formal footing and explores key concepts such as loss distributions, risk measures and risk aggregation and allocation principles. The book's methodology draws on diverse qua...
