New directions in mathematical finance
著者
書誌事項
New directions in mathematical finance
John Wiley & Sons, c2002
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注記
Includes bibliographies and index
内容説明・目次
内容説明
A compilation of the most respected authorities in financial engineering
Based around a conference on financial modeling held in Milan in December 1999, New Directions in Mathematical Finance brings together the leading names in quantitative finance to discuss the most current modeling techniques in a variety of areas of financial engineering. The contributions featured in this volume are all new items, based on each speaker's topic of presentation at the convention. Editors Paul Wilmott and Henrik Rasmussen include an introduction which pulls together the themes of the book.
目次
Preface
The Quantitative Finance Timeline (Paul Wilmott)
Part I. New Directions in Equity Modelling
Introduction
Asymptotic analysis of stochastic volatility models (Henrik Rasmussen and Paul Wilmott)
Passport options, a review (Antony Penaud)
Equity Dividend Models (David Bakstein and Paul Wilmott)
Isoperimetry, log-concavity and elasticity of option prices (Christer Borell)
Part II. New Directions in Interest Rate Modelling
Introduction
Dynamic, deterministic and static optimal portfolio strategies in a mean-variance framework under stochastic interest rates (Isabelle Bajeux-Besnainou and Roland Portrait)
Pricing bond options in a worst-case scenario (David Epstein and Paul Wilmott)
Part III. New Directions in Risk Management
Introduction
Implementing VaR by Historical Simulation (Aldo Nassigh, Andrea Piazzetta and Ferdinando Samaria)
CrashMetrics (Philip Hua and Paul Wilmott)
Herding in financial markets: a role for psychology in explaining investor behaviour? (Henriette Prast)
Further Reading
Author Biographies
Index
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