Option pricing, interest rates and risk management

Elyès Jouini, Jaska Cvitanic, Marek Musiela

670 pages, parution le 01/07/2001

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Résumé

This handbook presents the current 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.

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.

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	PAPIER
Éditeur(s)	Cambridge University Press
Auteur(s)	Elyès Jouini, Jaska Cvitanic, Marek Musiela
Parution	01/07/2001
Nb. de pages	670
Format	17,6 x 25,4
Couverture	Relié
Poids	1550g
Intérieur	Noir et Blanc
EAN13	9780521792370

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Option pricing, interest rates and risk management

Résumé

L'auteur - Elyès Jouini

Autres livres de Elyès Jouini

Caractéristiques techniques

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