Handbooks in Mathematical Finance: Option Pricing, Interest Rates and Risk Management

Handbooks in Mathematical Finance: Option Pricing, Interest Rates and Risk Management

by E. Jouini
     
 

ISBN-10: 0521792371

ISBN-13: 9780521792370

Pub. Date: 04/28/2012

Publisher: Cambridge University Press

This handbook presents the current state of practice, method and understanding in the field of mathematical finance. Each chapter, written by leading researchers, starts by briefly surveying the existing results for a given topic, then discusses more recent results and, finally, points out open problems with outlines for possible solutions. The primary audiences for

Overview

This handbook presents the current state of practice, method and understanding in the field of mathematical finance. Each chapter, written by leading researchers, starts by briefly surveying the existing results for a given topic, then discusses more recent results and, finally, points out open problems with outlines for possible solutions. The primary audiences for the book are doctoral students, researchers and practitioners who already have some basic knowledge of mathematical finance. This comprehensive reference work will be indispensable to readers who need a quick introduction or references to specific topics within this cutting-edge material.

Product Details

ISBN-13:
9780521792370
Publisher:
Cambridge University Press
Publication date:
04/28/2012
Pages:
686
Product dimensions:
6.85(w) x 9.72(h) x 1.46(d)

Table of Contents

Introduction; Part I. Option Pricing: Theory and Practice: 1. Arbitrage theory Yu. M. Kabanov; 2. Market models with frictions: arbitrage and pricing issues E. Jouini and C. Napp; 3. American options: symmetry properties J. Detemple; 4. Purely discontinuous asset price processes D. Madan; 5. Latent variable models for stochastic discount factors R. Garcia and É. Renault; 6. Monte Carlo methods for security pricing P. Boyle, M. Broadie and P. Glasserman; Part II. Interest Rate Modeling: 7. A geometric view of interest rate theory T. Bjork; 8. Towards a central interest rate model A. Brace, T. Dun and G. Barton; 9. Infinite dimensional diffusions, Kolmogorov equations and interest rate models B. Goldys and M. Musiela; 10. Libor market model with semimartingales F. Jamshidian; 11. Modeling of forward Libor and swap rates M. Rutkowski; Part III. Risk Management and Hedging: 12. Credit risk modeling, intensity based approach T. Bielecki and M. Rutkowski; 13. Towards a theory of volatility trading P. Carr and D. Madan; 14. Shortfall risk in long-term hedging with short-term futures contracts P. Glasserman; 15. Numerical comparison and local risk-minimisation and mean-variance hedging D. Heath, E. Platen and M. Schweizer; 16. A guided tour through quadratic hedging approaches M. Schweizer; Part IV. Utility Maximization: 17. Theory of portfolio optimization in markets with frictions J. Cvitanic; 18. Bayesian adaptive portfolio optimization I. Karatzas and X. Zhao.

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