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Books in Mathematical economics and game theory

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    • Portfolio Diversification

      • 1st Edition
      • September 1, 2017
      • Francois-Serge Lhabitant
      • English
      • Hardback
        9 7 8 1 7 8 5 4 8 1 9 1 8
      • eBook
        9 7 8 0 0 8 1 0 1 7 8 6 9
      Portfolio Diversification provides an update on the practice of combining several risky investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book, readers will find a comprehensive introduction and analysis of various dimensions of portfolio diversification (assets, maturities, industries, countries, etc.), along with time diversification strategies (long term vs. short term diversification) and diversification using other risk measures than variance. Several tools to quantify and implement optimal diversification are discussed and illustrated.

    • Stress Testing and Risk Integration in Banks

      • 1st Edition
      • November 2, 2016
      • Tiziano Bellini
      • English
      • Hardback
        9 7 8 0 1 2 8 0 3 5 9 0 0
      • eBook
        9 7 8 0 1 2 8 0 3 6 1 1 2
      Stress Testing and Risk Integration in Banks provides a comprehensive view of the risk management activity by means of the stress testing process. An introduction to multivariate time series modeling paves the way to scenario analysis in order to assess a bank resilience against adverse macroeconomic conditions. Assets and liabilities are jointly studied to highlight the key issues that a risk manager needs to face. A multi-national bank prototype is used all over the book for diving into market, credit, and operational stress testing. Interest rate, liquidity and other major risks are also studied together with the former to outline how to implement a fully integrated risk management toolkit. Examples, business cases, and exercises worked in Matlab and R facilitate readers to develop their own models and methodologies.

    • Stochastic Models of Financial Mathematics

      • 1st Edition
      • October 12, 2016
      • Vigirdas Mackevicius
      • English
      • Hardback
        9 7 8 1 7 8 5 4 8 1 9 8 7
      • eBook
        9 7 8 0 0 8 1 0 2 0 8 6 9
      This book presents a short introduction to continuous-time financial models. An overview of the basics of stochastic analysis precedes a focus on the Black–Scholes and interest rate models. Other topics covered include self-financing strategies, option pricing, exotic options and risk-neutral probabilities. Vasicek, Cox−Ingersoll−Ross, and Heath–Jarrow–Morton interest rate models are also explored.The author presents practitioners with a basic introduction, with more rigorous information provided for mathematicians. The reader is assumed to be familiar with the basics of probability theory. Some basic knowledge of stochastic integration and differential equations theory is preferable, although all preliminary information is given in the first part of the book. Some relatively simple theoretical exercises are also provided.

    • Fractional Calculus and Fractional Processes with Applications to Financial Economics

      • 1st Edition
      • September 22, 2016
      • Hasan Fallahgoul + 2 more
      • English
      • Hardback
        9 7 8 0 1 2 8 0 4 2 4 8 9
      • eBook
        9 7 8 0 1 2 8 0 4 2 8 4 7
      Fractional Calculus and Fractional Processes with Applications to Financial Economics presents the theory and application of fractional calculus and fractional processes to financial data. Fractional calculus dates back to 1695 when Gottfried Wilhelm Leibniz first suggested the possibility of fractional derivatives. Research on fractional calculus started in full earnest in the second half of the twentieth century. The fractional paradigm applies not only to calculus, but also to stochastic processes, used in many applications in financial economics such as modelling volatility, interest rates, and modelling high-frequency data. The key features of fractional processes that make them interesting are long-range memory, path-dependence, non-Markovian properties, self-similarity, fractal paths, and anomalous diffusion behaviour. In this book, the authors discuss how fractional calculus and fractional processes are used in financial modelling and finance economic theory. It provides a practical guide that can be useful for students, researchers, and quantitative asset and risk managers interested in applying fractional calculus and fractional processes to asset pricing, financial time-series analysis, stochastic volatility modelling, and portfolio optimization.

    • Adaptive Processes in Economic Systems

      • 1st Edition
      • June 3, 2016
      • Roy E. Murphy
      • Richard Bellman
      • English
      • Paperback
        9 7 8 1 4 8 3 2 5 3 4 2 8
      • eBook
        9 7 8 1 4 8 3 2 6 4 0 7 3
      Mathematics in Science and Engineering, Volume 20, Adaptive Processes in Economic Systems demonstrates the usefulness of communications theory, self-adaptive control theory, and thermodynamic theory to certain economic processes. This book discusses the common properties of adaptive processes, role of the decision maker, and mixed adaptive processes of the first and second kind. The economic environmental processes, concept of entropy time, and stochastic dynamic economic process are also elaborated. This text likewise covers the investment model with full liquidity, adaptive capital allocation process, and concept of an economic state space. Other topics include the stochastic equilibrium in the market and individual adaptive behavior. This volume is suitable for engineers, economists, and specialists of disciplines related to economic systems.

    • Financial Mathematics

      • 1st Edition
      • January 25, 2016
      • Yuliya Mishura
      • English
      • Hardback
        9 7 8 1 7 8 5 4 8 0 4 6 1
      • eBook
        9 7 8 0 0 8 1 0 0 4 8 8 3
      Finance Mathematics is devoted to financial markets both with discrete and continuous time, exploring how to make the transition from discrete to continuous time in option pricing. This book features a detailed dynamic model of financial markets with discrete time, for application in real-world environments, along with Martingale measures and martingale criterion and the proven absence of arbitrage. With a focus on portfolio optimization, fair pricing, investment risk, and self-finance, the authors provide numerical methods for solutions and practical financial models, enabling you to solve problems both from mathematical and from financial point of view.

    • Hazardous Forecasts and Crisis Scenario Generator

      • 1st Edition
      • September 25, 2015
      • Arnaud Clément-Grandcourt + 1 more
      • English
      • Hardback
        9 7 8 1 7 8 5 4 8 0 2 8 7
      • eBook
        9 7 8 0 0 8 1 0 0 7 7 7 8
      This book presents a crisis scenario generator with black swans, black butterflies and worst case scenarios. It is the most useful scenario generator that can be used to manage assets in a crisis-prone period, offering more reliable values for Value at Risk (VaR), Conditional Value at Risk (CVaR) and Tail Value at Risk (TVaR). Hazardous Forecasts and Crisis Scenario Generator questions how to manage assets when crisis probability increases, enabling you to adopt a process for using generators in order to be well prepared for handling crises.

    • Stochastic Calculus for Quantitative Finance

      • 1st Edition
      • August 19, 2015
      • Alexander A Gushchin
      • English
      • Hardback
        9 7 8 1 7 8 5 4 8 0 3 4 8
      • eBook
        9 7 8 0 0 8 1 0 0 4 7 6 0
      In 1994 and 1998 F. Delbaen and W. Schachermayer published two breakthrough papers where they proved continuous-time versions of the Fundamental Theorem of Asset Pricing. This is one of the most remarkable achievements in modern Mathematical Finance which led to intensive investigations in many applications of the arbitrage theory on a mathematically rigorous basis of stochastic calculus.Mathematica... Basis for Finance: Stochastic Calculus for Finance provides detailed knowledge of all necessary attributes in stochastic calculus that are required for applications of the theory of stochastic integration in Mathematical Finance, in particular, the arbitrage theory. The exposition follows the traditions of the Strasbourg school. This book covers the general theory of stochastic processes, local martingales and processes of bounded variation, the theory of stochastic integration, definition and properties of the stochastic exponential; a part of the theory of Lévy processes. Finally, the reader gets acquainted with some facts concerning stochastic differential equations.

    • Contagion Phenomena with Applications in Finance

      • 1st Edition
      • August 19, 2015
      • Serge Darolles + 1 more
      • English
      • Hardback
        9 7 8 1 7 8 5 4 8 0 3 5 5
      • eBook
        9 7 8 0 0 8 1 0 0 4 7 8 4
      Much research into financial contagion and systematic risks has been motivated by the finding that cross-market correlations (resp. coexceedances) between asset returns increase significantly during crisis periods. Is this increase due to an exogenous shock common to all markets (interdependence) or due to certain types of transmission of shocks between markets (contagion)? Darolles and Gourieroux explain that an attempt to convey contagion and causality in a static framework can be flawed due to identification problems; they provide a more precise definition of the notion of shock to strengthen the solution within a dynamic framework.This book covers the standard practice for defining shocks in SVAR models, impulse response functions, identitification issues, static and dynamic models, leading to the challenges of measurement of systematic risk and contagion, with interpretations of hedge fund survival and market liquidity risks

    • Handbook of Game Theory

      • 1st Edition
      • Volume 4
      • September 3, 2014
      • Petyon Young + 1 more
      • English
      • Hardback
        9 7 8 0 4 4 4 5 3 7 6 6 9
      • eBook
        9 7 8 0 4 4 4 5 3 7 6 7 6
      The ability to understand and predict behavior in strategic situations, in which an individual’s success in making choices depends on the choices of others, has been the domain of game theory since the 1950s. Developing the theories at the heart of game theory has resulted in 8 Nobel Prizes and insights that researchers in many fields continue to develop. In Volume 4, top scholars synthesize and analyze mainstream scholarship on games and economic behavior, providing an updated account of developments in game theory since the 2002 publication of Volume 3, which only covers work through the mid 1990s.