New Directions in Mathematical Finance
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- Wiley
More About This Title New Directions in Mathematical Finance
English
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.
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.
English
PAUL WILMOTT is a leading protagonist in quantitative finance. He has published many landmark books including Paul Wilmott on Quantitative Finance and Paul Wilmott Introduces Quantitative Finance (both published by John Wiley & Sons Ltd). If you want to learn more about him, try his quantitative finace e-zine.
HENRIK RASMUSSEN is a quantitative analyst at Schroder Salomon Smith Barney (Citigroup) in London, developing models and pricing tools for traders of exotic fixed-income and hybrid derivatives. He holds a Ph.D from the University of Cambridge and has held post-doctorate positions at universities in Britain, France and Italy. Currently, he is a visiting research fellow at the Oxford Centre for Industrial and Applied Mathematics (OCIAM), Mathematical Institute, University of Oxford.
HENRIK RASMUSSEN is a quantitative analyst at Schroder Salomon Smith Barney (Citigroup) in London, developing models and pricing tools for traders of exotic fixed-income and hybrid derivatives. He holds a Ph.D from the University of Cambridge and has held post-doctorate positions at universities in Britain, France and Italy. Currently, he is a visiting research fellow at the Oxford Centre for Industrial and Applied Mathematics (OCIAM), Mathematical Institute, University of Oxford.
English
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? (Henriëtte Prast)
Further Reading
Author Biographies
Index
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? (Henriëtte Prast)
Further Reading
Author Biographies
Index
