Changing interest rates constitute one of the major risk sources for banks, insurance
companies, and other financial institutions. Modeling the term-structure movements of …

The last decades have seen the development of a profusion of theoretical models of the term
structure of interest rates. The aim of this survey is to provide a comprehensive review of …

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 …

This book provides the reader with the principal concepts and results related to differential
properties of measures on infinite dimensional spaces. In the finite dimensional case such …

This is the first book about the emerging field of utility indifference pricing for valuing
derivatives in incomplete markets. René Carmona brings together a who's who of leading …

There are textbooks and there are research monographs. Some believe that a research
monograph is supposed to bore rather than batter. The following quotation is attributed to …

Using the large deviation principle (LDP) for a rescaled fractional Brownian motion B^H_t,
where the rate function is defined via the reproducing kernel Hilbert space, we compute …

Continuous-Time Asset Pricing Theory Page 1 Springer Finance Textbook Robert A. Jarrow
Continuous-Time Asset Pricing Theory A Martingale-Based Approach Second Edition Page 2 …

In this book, we study stochastic volatility models and methods of pricing, hedging, and
estimation. Among models, we will study models with heavy tails and long memory or long …

Many mathematical assumptions on which classical derivative pricing methods are based
have come under scrutiny in recent years. The present volume offers an introduction to …