Table of Contents
Foreword Robert C. Marton ix
Preface xi
Part 1 Efforts and Opinions 1
Chapter 1 Introduction to Part I 3
Chapter 2 Lifetime Achievement Award Dwight Cass 7
Chapter 3 One-on-One Interview with Oldrich Allons Vasicek Nina Mehta 13
Chapter 4 Credit Superquant Robert Hunter 21
Part 2 Term Structure of Interest Rates 27
Chapter 5 Introduction to Part II 29
Chapter 6 An Equilibrium Characterization of the Term Structure 33
Chapter 7 The Liquidity Premium 45
Chapter 8 Term Structure Modeling Using Exponential Spines Gilford Fong 49
Chapter 9 The Heath, Jarrow, Morton Model 63
Part 3 General Equilibrium 65
Chapter 10 Introduction to Part III 67
Chapter 11 The Economics of Interest Rates 71
Chapter 12 General Equilibrium with Heterogeneous Participants and Discrete Consumption Times 89
Chapter 13 Independence of Production and Technology Risks 107
Chapter 14 Risk-Neutral Economy and Zero Price of Risk 111
Part 4 Credit 125
Chapter 15 Introduction to Part IV 127
Chapter 16 Credit Valuation 131
Chapter 17 Probability of Loss on Loan Portfolio 143
Chapter 18 Limiting Loan Loss Probability Distribution 147
Chapter 19 Loan Portfolio Value 149
Chapter 20 The Empirical Test of the Distribution of Loan Portfolio Losses 161
Part 5 Markets, Portfolios, and Securities 163
Chapter 21 Introduction to Part V 165
Chapter 22 The Efficient Market Model John A. McQuown 169
Chapter 23 A Risk Minimizing strategy for Portfolio Immunization Gilford Fong 195
Chapter 24 The Tradeoff between Return and Risk in Immunized Portfolios Gilford Fong 203
Chapter 25 Bond Performance: Analyzing Sources of Return Gilford Fong Charles J. Pearson 213
Chapter 26 The Best-Return Strategy 223
Chapter 27 Volatility: Omission Impossible Gifford Fong Dathyun Yoo 237
Chapter 28 A Multidimensional Framework for Risk Analysis Gilford Fong 247
Chapter 29 Plugging into Electricity Hélyette Geman 261
Chapter 30 Pricing of Energy Derivatives 277
Part 6 Probability Theory end Statistics 281
Chapter 31 Introduction to Part VI 283
Chapter 32 A Note on Using Cross-sectional information in Bayestan Estimation of Security Betas 287
Chapter 33 A Series Expansion for the Bivariate Normal Integral 297
Chapter 34 A Conditional Law of Large Numbers 305
Chapter 35 A Test for Normality Based on Sample Entropy 315
Chapter 36 Monotone Measures of Epgodicity for Markov Chains (with Julian Kelison 325
Chapter 37 An Inequality for the variance of Waiting Time under a General Queueing Discipline 333
About the Author 339
Index 341
