An introduction to Markov Processes

This book provides a rigorous but elementary introduction to the theory of Markov Processes on a countable state space. It should be accessible to students with a solid undergraduate background in mathematics, including students from engineering, economics, physics, and biology. Topics covered are: Doeblin's ...

The mathematics of arbitrage

This long-awaited book aims at a rigorous mathematical treatment of the theory of pricing and hedging of derivative securities by the principle of 'no arbitrage'. The first part presents a relatively elementary introduction, restricting itself to the case of finite probability spaces. The second part ...

Foundations of dynamic economic analysis

optimal control theory and applications

Foundations of Dynamic Economic Analysis presents a modern and thorough exposition of the fundamental mathematical formalism used to study optimal control theory, i.e., continuous time dynamic economic processes, and to interpret dynamic economic behavior. The style of presentation, with its continual emphasis on the ...

The economics of financial markets

The Economics of Financial Markets presents a concise overview of capital markets, suitable for advanced undergraduates and for beginning graduate students in financial economics. Following a brief overview of financial markets - their microstructure and the randomness of stock market prices - this textbook explores how the ...

New tools of economic dynamics

New Tools of Economic Dynamics gives an introduction and overview of recently developed methods and tools, most of them developed outside economics, to deal with the qualitative analysis of economic dynamics. It reports the results of a three-year research project by a European and Latin ...

Nonlinear dynamics and heterogeneous interacting agents

Economic application of nonlinear dynamics, microscopic agent-based modelling, and the use of artificial intelligence techniques as learning devices of boundedly rational actors are among the most exciting interdisciplinary ventures of economic theory over the past decade. This volume provides us with a most fascinating series ...

Dynamical sistems

examples of complex behaviour

This book presents a survey of the field of dynamical systems and its significance for research in complex systems and other fields, based on a careful analysis of specific important examples. It also explains the fundamental underlying mathematical concepts, with a particular focus on invariants ...

Economic growth, material flows and the environment

new applications of structural decomposition analysis and physical input-output tables

Rutger Hoekstra examines the complex relationship between the monetary economy and the materials flows that are extracted and emitted by economic activities. These physical flows are responsible for many important environmental problems such as unsustainable resource depletion, waste production and climate change. This book discusses ...

Risk and asset alloction

This encyclopedic, detailed exposition spans all the steps of one- period allocation from the foundations to the most advanced developments. Multivariate estimation methods are analyzed in depth, including non- parametric, maximum-likelihood under non-normal hypotheses, shrinkage, robust, and very general Bayesian techniques. Evaluation methods such as ...

Measuring market risk

Fully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&A ...

Real analysis

measure theory, integration, & Hilbert spaces

Real Analysis is the third volume in the Princeton Lectures in Analysis, a series of four textbooks that aim to present, in an integrated manner, the core areas of analysis. Here the focus is on the development of measure and integration theory, differentiation and integration ...

Actuarial theory for dependent risks

measures, orders and models

The increasing complexity of insurance and reinsurance products has seen a growing interest amongst actuaries in the modelling of dependent risks. For efficient risk management, actuaries need to be able to answer fundamental questions such as: Is the correlation structure dangerous? And, if yes, to ...

Models in cooperative Game Theory

crisp, fuzzy, and multi-choice games

This book investigates models in cooperative game theory in which the players have the possibility to cooperate partially. In a crisp game the agents are either fully involved or not involved at all in coperation with some other agents, while in a fuzzy game players ...

Consumption structure and macroeconomics

structural change and the relationship between inequality and growth

This book offers a novel perspective that allows to incorporate changing consumption and production structure into models of economic growth. Starting from the empirical observation that income and consumption structure are closely related, it develops a tractable theoretical framework which enables to analyze macroeconomic models ...

Topics in Dynamic Model Analysis

advanced Matrix Methods and unit-root econometrics representation theorems

This monograph provides an insightful analysis of dynamic modelling in econometrics by bridging the unit-root gap between structural and time series approaches and focusing on representation theorems of (co) integrated processes.The book starts by providing a self-contained, rigorous as well as innovative, analytical setting ...

Asset price dynamics, volatility, and prediction

This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent ...

Principles of network economics

Network problems are manifold and extremely complex. Many problems result from engineering details or mathematical difficulties, others are caused by disregarding economic principles and imperfections of markets. The text provides a fairly integrated approach of transportation related "network problems" and their "solutions" with emphasis on ...

Classical and nonclassical logics

an introduction to the mathematics of propositions

So-called classical logic--the logic developed in the early twentieth century by Gottlob Frege, Bertrand Russell, and others--is computationally the simplest of the major logics, and it is adequate for the needs of most mathematicians. But it is just one of the many kinds of reasoning ...

Mathematical and economic theory of road pricing

This book provides the most recent methodological advances in applying advanced modeling techniques to road pricing. Distinguished from other monographs that have focused on the empirical aspects, policy experiences, and environmental issues of road congestion and road pricing, most studies presented in the book are ...

Extreme financial risks

from dependence to risk management

Portfolio analysis and optimization, together with the associated risk assessment and management, require knowledge of the likely distributions of returns at different time scales and insights into the nature and properties of dependences between the different assets. This book offers an original and thorough treatment ...