Strategic asset allocation in fixed-income markets

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Joseph A. Herriges and Catherine L. Kling

"This volume analyzes revealed preference approaches to modeling the demand for recreational resources. It presents one of the most thorough treatments of methods that rely on observed behavior to estimate the value of environmental amenities." "This volume will be essential reading for those interested in 'tooling up' on revealed preference approaches. For long-term practitioners, the papers provide an invaluable reference on recent developments in their field."--BOOK JACKET.

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Marek Musiela, Marek Rutkowski

This book provides a comprehensive, self-contained and up-to-date treatment of the main topics in the theory of option pricing. The first part of the text starts with discrete-time models of financial markets, including the Cox-Ross-Rubinstein binomial model. The passage from discrete- to continuous-time models, done in the Black-Scholes model setting, assumes familiarity with basic ideas and results from stochastic calculus. However, an Appendix containing all the necessary results is included. This model setting is later generalized to cover standard and exotic options involving several assets and/or currencies. An outline of the general theory of arbitrage pricing is presented. The second part of the text is devoted to the term structure modelling and the pricing of interest-rate derivatives. The main emphasis is on models that can be made consistent with market pricing practice. In the 2nd edition, some sections of the former Part I are omitted for better readability, and a brand new chapter is devoted to volatility risk. In the 3rd printing of the 2nd edition, the second Chapter on discrete-time markets has been extensively revised. Proofs of several results are simplified and completely new sections on optimal stopping problems and Dynkin games are added. Applications to the valuation and hedging of American-style and game options are presented in some detail. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with constant volatility. Part II of the book has been revised fundamentally. The theme of volatility risk appears systematically. Much more detailed analysis of the various interest-rate models is available. The authors' perspective throughout is that the choice of a model should be based on the reality of how a particular sector of the financial market functions. In particular, it should concentrate on defining liquid primary and derivative assets and identifying the relevant sources of trading risk. This long-awaited new edition of an outstandingly successful, well-established book, concentrating on the most pertinent and widely accepted modelling approaches, provides the reader with a text focused on the practical rather than the theoretical aspects of financial modelling.

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Patrick L. Anderson

"Business Economics and Finance: Using MATLAB, GIS, and Simulation Models takes recent theoretical advances in Finance and Economics and shows how they can be implemented in the real world. It presents tactics for using mathematical and simulation models to solve complex tasks of forecasting income, valuing businesses, predicting retail sales, evaluating markets, and solving tax and regulatory problems." "This is the first book to fully explore the capabilities of MATLAB in the field of business economics. Some techniques, such as fuzzy logic, retail sales, economic and fiscal impact models, and other MATLAB and Simulink models are described here for the first time in print. The sections on business income and value break new ground by directly incorporating uncertainty, "real option" value, and prediction of variables using Ito and "jump" processes."--BOOK JACKET.

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Atle Seierstad and Knut Sydsæter

This book serves not only as an introduction, but also as an advanced text and reference source in the field of deterministic optimal control systems governed by ordinary differential equations. It also includes an introduction to the classical calculus of variations. An important feature of the book is the inclusion of a large number of examples, in which the theory is applied to a wide variety of economics problems. The presentation of simple models helps illuminate pertinent qualitative and analytic points, useful when confronted with a more complex reality. These models cover: economic growth in both open and closed economies, exploitation of (non- ) renewable resources, pollution control, behaviour of firms, and differential games. A great emphasis on precision pervades the book, setting it apart from the bulk of literature in this area. The rigorous techniques presented should help the reader avoid errors which often recur in the application of control theory within economics.