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 ...

Market-conform valuation of options

Table of Contents: Introduction * Construction of Arbitrage-Free Implied Trees: A New Approach * Market-Conform Option Valuation: An Empirical Assessment of Alternative Approaches * Market-Conform Valuation of American-Style Options via Monte Carlo Simulation * Synopsis.

Fortune's Formula

the untold story of the scientific betting system that beat the casinos and Wall Street

In 1956 two Bell Labs scientists discovered the scientific formula for getting rich. One was the mathematician Claude Shannon, neurotic father of our digital age, whose genius is ranked with Einstein's. The other was John L. Kelly, Jr., a gun-toting Texas-born physicist. Together they ...

Fundamentos de álgebra

En esta introducción al álgebra, el autor parte de ideas sencillas de lógica y de la notación e ideas básicas de la teoría de conjuntos, para después estudiar relaciones y funciones, conceptos fundamentales en matemáticas. Finalmente, usando el lenguaje y las ideas anteriores, estudia las ...

Contando la geometría

Introducing game theory and its applications

Cálculo de probabilidades 2

Introducción a MATLAB y a la creación de interfaces gráficas

Sixto Cámara

biografía de un matemático

Mathemathics for finance

an introduction to financial engineering

Designed to form the basis of an undergraduate course in mathematical finance, this book builds on mathematical models of bond and stock prices and covers three major areas of mathematical finance that all have an enormous impact on the way modern financial markets operate, namely ...

Dynamics stochastic optimization

This volume considers optimal stochastic decision processes from the viewpoint of stochastic programming. It focuses on theoretical properties and on approximate or numerical solution techniques for time-dependent optimization problems with random parameters (multistage stochastic programs, optimal stochastic decision processes). Methods for finding approximate solutions of ...

Vector optimization

theory,applications,and extensions

This book presents fundamentals and important results of vector optimization in a general setting. The theory developed includes scalarization, existence theorems, a generalized Lagrange multiplier rule and duality results. Applications to vector approximation, cooperative game theory and multiobjective optimization are described. The theory is extended ...

Unsolved problems in mathematical systems and control theory

This book provides clear presentations of more than sixty important unsolved problems in mathematical systems and control theory. Each of the problems included here is proposed by a leading expert and set forth in an accessible manner. Covering a wide range of areas, the book ...

Putting auction theory to work

This book provides a comprehensive introduction to modern auction theory and its important new applications. It is written by a leading economic theorist whose suggestions guided the creation of the new spectrum auction designs. Aimed at graduate students and professionals in economics, the book gives ...

Stochastic optimization in continuous time

Most of the current books on stochastic control theory are written for students in mathematics or finance. This introduction is designed, however, for those interested in the relevance and applications of the theory's mathematical principles to economics. Therefore, mathematical methods are discussed intuitively and ...

Risk and financial management

mathematical and computational methods

Financial risk management has become a popular practice amongst financial institutions to protect against the adverse effects of uncertainty caused by fluctuations in interest rates, exchange rates, commodity prices, and equity prices. New financial instruments and mathematical techniques are continuously developed and introduced in financial ...

Levy processes in finance

pricing financial derivatives

Financial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry. In parallel, the theory of Lévy processes has also seen many exciting developments. These powerful modelling tools allow the user to model more complex phenomena, and are commonly applied ...

Economics as an agent-based complex system

toward agent-based social systems sciences

In agent-based modeling the focus is very much on agent-based simulation, as simulation is a very important tool for agent-based modeling. We also use agent-based simulation in this book with a stress on the mathematical foundation of agent-based modeling. We introduce two original mathematical frameworks ...

Un matemático invierte en bolsa

John Allen Paulos sintió a finales de los años noventa, en pleno auge de las empresas «punto com», la irresistible atracción del mundo de la Bolsa. Invirtió dinero, especuló con acciones, se arriesgó cada vez más y... ¡perdió!, tal vez al igual que muchos de ...

Cálculo

Este material se ha concebido, no para un lucimiento personal de quienes lo escriben,sino pensando única y exclusivamente en el alumno y en el alumno y en que aproveche al máximo el tiempo que le dedica a la asignatura.Siendo el Cálculo uno de ...