Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon
Professional Master's program in Computational Finance. The content of this book has been …

This paper aims at serving as a critical analysis of Real Options (RO) methodologies that
have so far been applied to the flexible evaluation of smart grid developments and as a …

The credit derivatives market is booming and, for the first time, expanding into the banking
sector which previously has had very little exposure to quantitative modeling. This …

The chapter gives a broad outline of the central themes of credit risk modeling starting with
the modeling of default probabilities, ratings and recovery. We present the two main …

The world of quantitative finance (QF) is one of the fastest growing areas of research and its
practical applications to derivatives pricing problem. Since the discovery of the famous Black …

Universitext is a series of textbooks that presents material from a wide variety of
mathematical disciplines at master's level and beyond. The books, often well classtested by …

The last decades have seen the development of a profusion of theoretical models of the term
structure of interest rates. The aim of this survey is to provide a comprehensive review of …

In the energy markets, in particular the electricity and natural gas markets, many contracts
incorporate flexibility-of-delivery options known as “swing” or “take-or-pay” options. Subject …

We present a subclass of Langetieg's (1980). linear Gaussian models of the term structure.
The bond price is derived in terms of a finite set of state variables with correlated …

We examine the quantitative impact of the Federal Reserve's mortgage-backed securities
(MBS) purchase program. We focus on how much of the recent decline in mortgage interest …