Handbooks in Mathematical Finance
Handbooks in Mathematical Finance
J. Cvitanic, University of Southern California
Marek Musiela, Parisbas, London
£170.00
GBPThis 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 out open problems with an indication of what needs to be done in order to solve them. The primary audiences for the book are doctoral students, researchers and practitioners who already have some basic knowledge of mathematical finance. In sum, this is a comprehensive reference work for mathematical finance and will be indispensable to readers who need to find a quick introduction or reference to a specific topic, leading all the way to cutting edge material.
- Recent advances in a burgeoning field, by leading researchers
- Wide coverage
- Each chapter presents existing results and then leads towards unsolved problems
Reviews & endorsements
'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
Product details
July 2001Hardback
9780521792370
686 pages
244 × 170 × 37 mm
1.28kg
40 b/w illus. 60 tables
Available
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.
