In der Finanzwelt ist der Einsatz von Finanzderivaten zu einem unentbehrlichen Hilfsmittel zur Absicherung von Risiken geworden. Dieses Buch richtet sich an Studierende der (Finanz-) Mathematik und der Wirtschaftswissenschaften im Hauptstudium, die mehr über Finanzderivate und ihre...

Presents the developments arising from the combination of mathematics, numerical analysis, and finance. This book covers a wide range of topics, from portfolio management and asset pricing, to performance, risk, debt and real option evaluation. It also presents applications of a variety of...

Valuing portfolios of options embedded in investment decisions is arguably one of the most important and challenging problems in real options and corporate ?nance in general. Although the problem is common and vitally important in the value creation process of almost any corporation, it has not...

Statistical analysis of stock markets and foreign exchange markets has demonstrated the intermittent nature of economic time series. A nonlinear model of business cycles is able to simulate intermittency arising from order-chaos and chaos-chaos transitions. This monograph introduces new concepts...

This book presents a macroeconomic dynamic model à la Solow-Swan, including the market for labor, in a discrete time structure. The model is expanded to include expenditure on RD and public expenditure on infrastructure. For each of the three models the results are shown in time series figures,...

Real Options in Theory and Practice -- Stochastic Models for the Term Structure of Interest Rates -- Real Options Valuation Tools in Corporate Finance -- Analysis of Various Real Options in Simulations and Backtesting -- Summary and Outlook

This book is the first comprehensive treatment of structural credit risk models for the simultaneous and consistent pricing of corporate securities. Through the development of a flexible economic framework based on the firm's EBIT, the reader is taken from the economic principles of firm value...

This book provides a modular pricing framework which allows the valuation of interest-rate derivatives in a general jump-diffusion setup. Starting with a comparison of three Fourier-style pricing methodologies, the book covers the derivation of Fourier-transform based solutions for different...

This book analyzes real options valuation for non-constant versus constant interest rates using simulation and historical backtesting. Several real options are investigated and combined with various pricing tools and stochastic term structure models. Interest rates for real options valuation are...

The focus of the work is twofold. First, it provides an introduction into fundamental structural and behavioral aspects of periodic review inventory systems. Second, it includes a comprehensive study on analytical and optimization aspects of a specific class of those systems. For the latter...