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

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Overview

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

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Editorial Reviews

From the Publisher
'The blurb describes it as a 'handbook' and 'comprehensive reference work' and it will certainly be a useful reference work for people undertaking research in the area. I have to say also that it has been beautifully produced.' D. J. Hand, Short Book Reviews
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Product Details

  • ISBN-13: 9780521792370
  • Publisher: Cambridge University Press
  • Publication date: 7/28/2001
  • Pages: 686
  • Product dimensions: 6.85 (w) x 9.72 (h) x 1.46 (d)

Meet the Author

Elyès Jouini is Professor of Mathematics at the University of Paris IX Dauphine. He is Visiting Associate Professor of Finance at the Stern School of Business, New York University, and Head of the Finance and Insurance Laboratory at CREST-INSEE.

Jaksa Cvitanic is Professor of Mathematics at the University of Southern California.

Marek Musiela is Head of Quantitative Research at Paribas, London.

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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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