Jean-Pierre Fouque

Thomas B. Fomby

Knut Solna

Covers credit risk and credit derivatives. This book offers several points of view on credit risk when looked at from the perspective of Econometrics and Financial Mathematics. It addresses the challenge of modeling defaults and their correlations, and results on copula, reduced form and structural models, and the top-down approach.

Econometrics and Risk Management

The NATO Advanced Study Institute on Diffuse Waves in Complex Media was held at the "Centre de Physique des Houches" in France from March 17 to 27, 1998. The Schools' scientific content, wave propagation in heterogeneous me dia, has covered many areas of fundamental and applied research. On the one hand, the understanding of wave propagation has considerably improved during the last thirty years. New developments and concepts such as, speckle correlations, weak and strong localization, time reversal, near-field propagation are under active research. On the other hand, wave propagation in random media is now being investigated in many different fields such as applied mathematics, acoustics, optics, atomic physics, geo physics or medical sciences. Each community often uses its own langage to describe the same phenomena. The aim of the School was to gather worldwide specialists to illuminate various aspects of wave propagation in random media. This volume presents fourteen expository articles corresponding to courses and seminars given during the School. They are arranged as follows. The first three articles deal with the phenomena of localization of waves: B. van Tiggelen (p. 1) gives a critical review of the physics of localization, J. Lacroix (p. 61) presents the mathematical theory and A. Klein (p. 73) describes recent results for randomized periodic media.

Diffuse Waves in Complex Media

Joseph A. Langsam

Experts in the field provide an introduction to the multifaceted aspects of this critically important topic.

Handbook on Systemic Risk

George Papanicolaou

Professor Jean-Pierre Fouque

K. Ronnie Sircar

This book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market volatility.

Jean-Pierre Fouque

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