An overview of today's energy markets from a multi-commodity perspective As global
warming takes center stage in the public and private sectors, new debates on the future of …

This paper gives a brief overview of the nonparametric techniques that are useful for
financial econometric problems. The problems include estimation and inference for …

Lévy processes are the natural continuous-time analogue of random walks and form a rich
class of stochastic processes around which a robust mathematical theory exists. Their …

The third edition of this popular introduction to the classical underpinnings of the
mathematics behind finance continues to combine sound mathematical principles with …

5 Stochastic Differential Equations Page 1 5 Stochastic Differential Equations 5.1 Examples
and Some Solution Methods We now return to the possible solutions Xt(ω) of the stochastic …

This book provides the most comprehensive treatment of the theoretical concepts and
modelling techniques of quantitative risk management. Whether you are a financial risk …

Stochastic Processes for Insurance and Finance offers a thorough yet accessible reference
for researchers and practitioners of insurance mathematics. Building on recent and rapid …

The story of modelling financial markets with stochastic processes began in 1900 with the
study of Bachelier (1900). He modelled stocks as a Brownian motion with drift. However, the …

Mathematical finance has grown into a huge area of research which requires a lot of care
and a large number of sophisticated mathematical tools. The subject draws upon quite …

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 …