New Directions in Mathematical Finance

ISBN-13: 9780471498179 / Angielski / Twarda / 2002 / 208 str.

Paul Wilmott; Paul Wilmott; Henrik Rasmussen

Opis

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.

Spis treści

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

O autorze

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.

Blurb

New ideas in quantitative finance are always welcome, especially so in recent years as new techniques have steadily gained in popularity and old techniques have become more sophisticated.

This book features new contributions from many highly regarded individuals, collected together by Paul Wilmott and Henrik Rasmussen. Subjects featured include new techniques for:
∗ Risk Management
∗ Equity Modelling
∗ Interest Rate Modelling
This book is a worthy addition to the canon of literature on quantitative finance.