This clearly structured and well-written reference work examines the consequences of speculative trading based on private information about financial asset markets. It presents an extensive and thorough discussion of theoretical and empirical methods used in previous studies on sequential trade...

This book presents a factor-based model of the stochastic evolution of the implied volatility surface. The model allows for the integrated and consistent pricing and hedging, risk management, and trading of equity index derivatives as well as volatility derivatives. In the first part, the book...

Due to the scarcity of reliable data, the existing literature on default risk still displays an imbalance between theoretical and empirical contributions. Consequently, the focus of this book is on empirical work. Within an intensity based modelling framework a broad range of promising...