Option pricing, interest rates and risk management /
This 2001 handbook surveys the state of practice, method and understanding in the field of mathematical finance. Every chapter has been written by leading researchers and each starts by briefly surveying the existing results for a given topic, then discusses more recent results and, finally, points...
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| Other Authors: | , , |
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| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge :
Cambridge University Press,
2001.
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| Subjects: | |
| Online Access: | CONNECT |
Table of Contents:
- Arbitrage theory / Yu. M. Kabanov
- Market models with frictions : arbitrage and pricing issues / E. Jouini and C. Napp
- American options : symmetry properties / J. Detemple
- Purely discontinuous asset price processes / D.B. Madan
- Latent variable models for stochastic discount factors / R. Garcia and É. Renault
- Monte Carlo methods for security pricing / P. Boyle, M. Broadie and P. Glasserman
- A geometric view of interest rate theory / T. Björk
- Towards a central interest rate model / A. Brace, T. Dun and G. Barton
- Infinite dimensional diffusions, Kolmogorov equations and interest rate models / B. Goldys and M. Musiela
- Modelling of forward Libor and swap rates / M. Rutkowski
- Credit risk modelling : intensity based approach / T.R. Bielecki and M. Rutkowski
- Towards a theory of volatility trading / P. Carr and D. Madan
- Shortfall risk in long-term hedging with short-term futures contracts / P. Glasserman
- Numerical comparison of local risk-minimisation and mean-variance hedging / D. Heath, E. Platen and M. Schweizer
- A guided tour through quadratic hedging approaches / M. Schweizer
- Theory of portfolio optimization in markets with frictions / J. Cvitanić
- Bayesian adaptive portfolio optimization / I. Karatzas and X. Zhao.
