During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

In the past three decades, we have witnessed the phenomenal growth in the trading of
financial derivatives and structured products in the financial markets around the globe and …

Since its introduction in the early 1980s, the risk-neutral valuation principle has proved to be
an important tool in the pricing and hedging of financial derivatives. Following the success of …

This article is a critical survey of models designed for pricing fixed-income securities and
their associated term structures of market yields. Our primary focus is on the interplay …

Written by one of the leading experts in the field, this book focuses on the interplay between
model specification, data collection, and econometric testing of dynamic asset pricing …

Offering a unique balance between applications and calculations, Monte Carlo Methods and
Models in Finance and Insurance incorporates the application background of finance and …

Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing is the
first book that applies advanced analytical and geometrical methods used in physics and …

I review how the theoretical modeling of the dynamics of forward rates in the context of
derivatives pricing has evolved over time. I review the theoretical developments from the …

The deep understanding of the forces that affect the valuation, risk and return of fixed income
securities and their derivatives has never been so important. As the world of fixed income …

Although traded as distinct products, caps and swaptions are linked by no‐arbitrage
relations through the correlation structure of interest rates. Using a string market model, we …