Walter Schachermayer's Books

Lectures on Probability Theory and Statistics

Ecole d'Eté de Probabilités de Saint-Flour XXX - 2000

By: Sergio Albeverio,Walter Schachermayer

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Lectures on Probability Theory and Statistics

Ecole d'Eté de Probabilités de Saint-Flour XXX - 2000

By: Sergio Albeverio,Walter Schachermayer

In World Mathematical Year 2000 the traditional St. Flour Summer School was hosted jointly with the European Mathematical Society. Sergio Albeverio reviews the theory of Dirichlet forms, and gives applications including partial differential equations, stochastic dynamics of quantum systems, quantum fields and the geometry of loop spaces. The second text, by Walter Schachermayer, is an introduction to the basic concepts of mathematical finance, including the Bachelier and Black-Scholes models. The fundamental theorem of asset pricing is discussed in detail. Finally Michel Talagrand, gives an overview of the mean field models for spin glasses. This text is a major contribution towards the proof of certain results from physics, and includes a discussion of the Sherrington-Kirkpatrick and the p-spin interaction models.

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Page Count

294

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3540403353

ISBN 13

9783540403357

The Mathematics of Arbitrage

By: Freddy Delbaen,Walter Schachermayer

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The Mathematics of Arbitrage

By: Freddy Delbaen,Walter Schachermayer

Proof of the "Fundamental Theorem of Asset Pricing" in its general form by Delbaen and Schachermayer was a milestone in the history of modern mathematical finance and now forms the cornerstone of this book. Puts into book format a series of major results due mostly to the authors of this book. Embeds highest-level research results into a treatment amenable to graduate students, with introductory, explanatory background. Awaited in the quantitative finance community.

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Page Count

371

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3540312994

ISBN 13

9783540312994

Copula Methods in Finance

By: Umberto Cherubini,Elisa Luciano,Walter Vecchiato

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Copula Methods in Finance

By: Umberto Cherubini,Elisa Luciano,Walter Vecchiato

Copula Methods in Finance is the first book to address the mathematics of copula functions illustrated with finance applications. It explains copulas by means of applications to major topics in derivative pricing and credit risk analysis. Examples include pricing of the main exotic derivatives (barrier, basket, rainbow options) as well as risk management issues. Particular focus is given to the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions.

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Page Count

310

Publisher

John Wiley & Sons

Published Date

ISBN 10

0470863455

ISBN 13

9780470863459

Local Analysis for the Odd Order Theorem

By: Helmut Bender,George Glauberman,Walter Carlip

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Local Analysis for the Odd Order Theorem

By: Helmut Bender,George Glauberman,Walter Carlip

The book presents a new version of the local analysis section of the Feit-Thompson theorem.

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Page Count

188

Publisher

Cambridge University Press

Published Date

ISBN 10

0521457165

ISBN 13

9780521457163

Mathematical Problems in Semiconductor Physics

Lectures given at the C.I.M.E. Summer School held in Cetraro, Italy, June 15-22, 1998

By: Angelo Marcello Anile,Walter Allegretto,Christian Ringhofer

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Mathematical Problems in Semiconductor Physics

Lectures given at the C.I.M.E. Summer School held in Cetraro, Italy, June 15-22, 1998

By: Angelo Marcello Anile,Walter Allegretto,Christian Ringhofer

On the the mathematical aspects of the theory of carrier transport in semiconductor devices. The subjects covered include hydrodynamical models for semiconductors based on the maximum entropy principle of extended thermodynamics, mathematical theory of drift-diffusion equations with applications, and the methods of asymptotic analysis.

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Page Count

164

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3540408029

ISBN 13

9783540408024

Operator-Valued Measures and Integrals for Cone-Valued Functions

By: Walter Roth

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Operator-Valued Measures and Integrals for Cone-Valued Functions

By: Walter Roth

Integration theory deals with extended real-valued, vector-valued, or operator-valued measures and functions, but different approaches are used for each case. This book develops a general theory of integration that simultaneously deals with all three cases.

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Page Count

370

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3540875646

ISBN 13

9783540875642

The Mathematics of Arbitrage

By: Freddy Delbaen,Walter Schachermayer

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The Mathematics of Arbitrage

By: Freddy Delbaen,Walter Schachermayer

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Page Count

371

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3540312994

ISBN 13

9783540312994

Stochastic Methods in Finance

Lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003

By: Kerry Back,Tomasz R. Bielecki,Christian Hipp,Shige Peng,Walter Schachermayer

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Stochastic Methods in Finance

Lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003

By: Kerry Back,Tomasz R. Bielecki,Christian Hipp,Shige Peng,Walter Schachermayer

This volume includes the five lecture courses given at the CIME-EMS School on "Stochastic Methods in Finance" held in Bressanone/Brixen, Italy 2003. It deals with innovative methods, mainly from stochastic analysis, that play a fundamental role in the mathematical modelling of finance and insurance: the theory of stochastic processes, optimal and stochastic control, stochastic differential equations, convex analysis and duality theory. Five topics are treated in detail: Utility maximization in incomplete markets; the theory of nonlinear expectations and its relationship with the theory of risk measures in a dynamic setting; credit risk modelling; the interplay between finance and insurance; incomplete information in the context of economic equilibrium and insider trading.

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Page Count

317

Publisher

Springer

Published Date

ISBN 10

3540446443

ISBN 13

9783540446446

Lectures on Probability Theory and Statistics

Ecole d'Eté de Probabilités de Saint-Flour XXX - 2000

By: Sergio Albeverio,Walter Schachermayer

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Lectures on Probability Theory and Statistics

Ecole d'Eté de Probabilités de Saint-Flour XXX - 2000

By: Sergio Albeverio,Walter Schachermayer

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Page Count

298

Publisher

Springer

Published Date

ISBN 10

3662174464

ISBN 13

9783662174463

Lectures on Probability Theory and Statistics

Ecole d'Eté de Probabilités de Saint-Flour XXX - 2000

By: Sergio Albeverio,Walter Schachermayer

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Lectures on Probability Theory and Statistics

Ecole d'Eté de Probabilités de Saint-Flour XXX - 2000

By: Sergio Albeverio,Walter Schachermayer

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Solve jigsaw puzzle

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Page Count

294

Publisher

Springer

Published Date

ISBN 10

3540449221

ISBN 13

9783540449225

Book's by Walter Schachermayer

Lectures on Probability Theory and Statistics

Lectures on Probability Theory and Statistics

The Mathematics of Arbitrage

The Mathematics of Arbitrage

Copula Methods in Finance

Copula Methods in Finance

Local Analysis for the Odd Order Theorem

Local Analysis for the Odd Order Theorem

Mathematical Problems in Semiconductor Physics

Mathematical Problems in Semiconductor Physics

Operator-Valued Measures and Integrals for Cone-Valued Functions

Operator-Valued Measures and Integrals for Cone-Valued Functions

The Mathematics of Arbitrage

The Mathematics of Arbitrage

Stochastic Methods in Finance

Stochastic Methods in Finance

Lectures on Probability Theory and Statistics

Lectures on Probability Theory and Statistics

Lectures on Probability Theory and Statistics

Lectures on Probability Theory and Statistics

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