This book is intended for readers who are quite familiar with probability and stochastic
processes but know little or nothing about finance. It is written in the definition/theorem/proof …

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

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 …

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 …

The field of financial mathematics has developed tremendously over the past thirty years,
and the underlying models that have taken shape in interest rate markets and bond markets …

The paper presents a review of interest–rate term structure modelling from the early short–
rate–based models to the current developments. The emphasis of the paper is on the use of …

This paper confirms a version of a conjecture by Fischer Black regarding consol rate models
for the term structure of interest rates. A consol rate model is one in which the stochastic …

Financial management requires a systematic approach for generating scenarios of future
capital markets. Today's global environment demands that the scenarios link the economies …

Other publications that exist on this topic, are mainly focused on the general aspects and
methodologies of the field and do not refer extensively to bank ALM. On the other hand the …

This study proposes a method to infer the parameters of the constant elasticity of variance
(CEV) model from the market values of stock after the extension from the asset process of …