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Recent revolutions in the world of finance have created a need for
the expertise of research mathematicians in solving problems. The
articles in this volume are based on recent research in methods in
mathematical finance.
Recent revolutions in the world of finance have created a need for
the expertise of research mathematicians in solving problems. The
articles in this volume are based on recent research in methods in
mathematical finance.
In recent years the finance industry has mushroomed to become an
important part of modern economies, and many science and
engineering graduates have joined the industry as quantitative
analysts, with mathematical and computational skills that are
needed to solve complex problems of asset valuation and risk
management. An important parallel story exists of scientific
endeavour. Between 1965-1995, insightful ideas in economics about
asset valuation were turned into a mathematical 'theory of
arbitrage', an enterprise whose first achievement was the famous
1973 Black-Scholes formula, followed by extensive investigations
using all the resources of modern analysis and probability. The
growth of the finance industry proceeded hand-in-hand with these
developments. Now new challenges arise to deal with the fallout
from the 2008 financial crisis and to take advantage of new
technology, which has revolutionized the practice of trading. This
Very Short Introduction introduces readers with no previous
background in this area to arbitrage theory and why it works the
way it does. Illuminating pricing theory, Mark Davis explains its
applications to interest rates, credit trading, fund management and
risk management. He concludes with a survey of the most pressing
issues in mathematical finance today. ABOUT THE SERIES: The Very
Short Introductions series from Oxford University Press contains
hundreds of titles in almost every subject area. These pocket-sized
books are the perfect way to get ahead in a new subject quickly.
Our expert authors combine facts, analysis, perspective, new ideas,
and enthusiasm to make interesting and challenging topics highly
readable.
'Dennis BuchananaEURO (TM)s text clearly shows how an understanding
of the complementary disciplines of geoscience, conventional
engineering and advanced financial engineering is essential to
making the right decisions concerning how to appraise a resource or
project and how to structure the funding of natural resources
assets in order to mitigate technical and financial risk and to
maximise value for owners. Crucially, the book also looks at how
other sources of capital, such as limited recourse lenders,
appraise metals and energy assets. Such an understanding is
essential to optimising the capital structure and valuation of
natural resources assets ... The advanced methodologies revealed in
Dennis BuchananaEURO (TM)s book will have great value to those
working in the technical and financial functions, or to those
spanning both functions, of the natural resources industry.
'Mineral EconomicsGiven the design component it involves, financial
engineering should be considered equal to conventional engineering.
By adopting this complementary approach, financial models can be
used to identify how and why timing is critical in optimizing
return on investment and to demonstrate how financial engineering
can enhance returns to investors. Metals and Energy Finance
capitalizes on this approach, and identifies and examines the
investment opportunities offered across the extractive industry's
cycle, from exploration through evaluation, pre-production
development, development and production. The textbook also
addresses the similarities of a range of natural resource projects,
whether minerals or petroleum, while at the same time identifying
their key differences.This new edition has been comprehensively
revised with a new chapter on Quantitative Finance and three
additional case studies. Contemporary themes in the revised edition
include the current focus on the transition from open pit to
underground mining as well as the role of real option valuations
applied to marginal projects that may have value in the future.This
innovative textbook is clear and concise in its approach. Both
authors have extensive experience within the academic environment
at a senior level as well as track records of hands-on
participation in projects within the natural resources and
financial services sectors. Metals and Energy Finance will be
invaluable to both professionals and graduate students working in
the field of mineral and petroleum business management.
'Dennis BuchananaEURO (TM)s text clearly shows how an understanding
of the complementary disciplines of geoscience, conventional
engineering and advanced financial engineering is essential to
making the right decisions concerning how to appraise a resource or
project and how to structure the funding of natural resources
assets in order to mitigate technical and financial risk and to
maximise value for owners. Crucially, the book also looks at how
other sources of capital, such as limited recourse lenders,
appraise metals and energy assets. Such an understanding is
essential to optimising the capital structure and valuation of
natural resources assets ... The advanced methodologies revealed in
Dennis BuchananaEURO (TM)s book will have great value to those
working in the technical and financial functions, or to those
spanning both functions, of the natural resources industry.
'Mineral EconomicsGiven the design component it involves, financial
engineering should be considered equal to conventional engineering.
By adopting this complementary approach, financial models can be
used to identify how and why timing is critical in optimizing
return on investment and to demonstrate how financial engineering
can enhance returns to investors. Metals and Energy Finance
capitalizes on this approach, and identifies and examines the
investment opportunities offered across the extractive industry's
cycle, from exploration through evaluation, pre-production
development, development and production. The textbook also
addresses the similarities of a range of natural resource projects,
whether minerals or petroleum, while at the same time identifying
their key differences.This new edition has been comprehensively
revised with a new chapter on Quantitative Finance and three
additional case studies. Contemporary themes in the revised edition
include the current focus on the transition from open pit to
underground mining as well as the role of real option valuations
applied to marginal projects that may have value in the future.This
innovative textbook is clear and concise in its approach. Both
authors have extensive experience within the academic environment
at a senior level as well as track records of hands-on
participation in projects within the natural resources and
financial services sectors. Metals and Energy Finance will be
invaluable to both professionals and graduate students working in
the field of mineral and petroleum business management.
Over the last two decades, risk-sensitive control has evolved into
an innovative and successful framework for solving dynamically a
wide range of practical investment management problems.This book
shows how to use risk-sensitive investment management to manage
portfolios against an investment benchmark, with constraints, and
with assets and liabilities. It also addresses model implementation
issues in parameter estimation and numerical methods. Most
importantly, it shows how to integrate jump-diffusion processes
which are crucial to model market crashes.With its emphasis on the
interconnection between mathematical techniques and real-world
problems, this book will be of interest to both academic
researchers and money managers. Risk-sensitive investment
management links stochastic control and portfolio management.
Because of its distinct emphasis on integrating advanced
theoretical concepts into practical dynamic investment management
tools, this book stands out from the existing literature in
fundamental ways. It goes beyond mainstream research in portfolio
management in a traditional static setting. The theoretical
developments build on contemporary research in stochastic control
theory, but are informed throughout by the need to construct an
effective and practical framework for dynamic portfolio
management.This book fills a gap in the literature by connecting
mathematical techniques with the real world of investment
management. Readers seeking to solve key problems such as
benchmarked asset management or asset and liability management will
certainly find it useful.
Over the last two decades, risk-sensitive control has evolved into
an innovative and successful framework for solving dynamically a
wide range of practical investment management problems.This book
shows how to use risk-sensitive investment management to manage
portfolios against an investment benchmark, with constraints, and
with assets and liabilities. It also addresses model implementation
issues in parameter estimation and numerical methods. Most
importantly, it shows how to integrate jump-diffusion processes
which are crucial to model market crashes.With its emphasis on the
interconnection between mathematical techniques and real-world
problems, this book will be of interest to both academic
researchers and money managers. Risk-sensitive investment
management links stochastic control and portfolio management.
Because of its distinct emphasis on integrating advanced
theoretical concepts into practical dynamic investment management
tools, this book stands out from the existing literature in
fundamental ways. It goes beyond mainstream research in portfolio
management in a traditional static setting. The theoretical
developments build on contemporary research in stochastic control
theory, but are informed throughout by the need to construct an
effective and practical framework for dynamic portfolio
management.This book fills a gap in the literature by connecting
mathematical techniques with the real world of investment
management. Readers seeking to solve key problems such as
benchmarked asset management or asset and liability management will
certainly find it useful.
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