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Handbooks in Mathematical Finance

Handbooks in Mathematical Finance
Option Pricing, Interest Rates and Risk Management

Yu. M. Kabanov, E. Jouini, C. Napp, J. Detemple, D. Madan, R. Garcia, É. Renault, P. Boyle, M. Broadie, P. Glasserman, T. Björk, A. Brace, T. Dun, G. Barton, B. Goldys, M. Musiela, F. Jamshidian, M. Rutkowski, T. Bielecki, P. Carr, P. Glasserman, D. Heath, E. Platen, M. Schweizer, J. Cvitanic, I. Karatzas, X. Zhao
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  • Date Published: July 2001
  • availability: Available
  • format: Hardback
  • isbn: 9780521792370

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  • This handbook presents the current state of practice, method and understanding in the field of mathematical finance. Each chapter, written by leading researchers, starts by briefly surveying the existing results for a given topic, then discusses more recent results and, finally, points out open problems with outlines for possible solutions. The primary audiences for the book are doctoral students, researchers and practitioners who already have some basic knowledge of mathematical finance. This comprehensive reference work will be indispensable to readers who need a quick introduction or references to specific topics within this 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
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    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

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    Product details

    • Date Published: July 2001
    • format: Hardback
    • isbn: 9780521792370
    • length: 686 pages
    • dimensions: 244 x 170 x 37 mm
    • weight: 1.28kg
    • contains: 40 b/w illus. 60 tables
    • availability: 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.

  • Editors

    E. Jouini, Université Paris IX Dauphine and CREST
    Elyès Jouini is Professor of Mathematics at the University of Paris IX Dauphine. He is Visiting Associate Professor of Finance at the Stern School of Business, New York University, and Head of the Finance and Insurance Laboratory at CREST-INSEE.

    J. Cvitanic, University of Southern California
    Jaksa Cvitanic is Professor of Mathematics at the University of Southern California.

    Marek Musiela, Parisbas, London
    Marek Musiela is Head of Quantitative Research at Paribas, London.

    Contributors

    Yu. M. Kabanov, E. Jouini, C. Napp, J. Detemple, D. Madan, R. Garcia, É. Renault, P. Boyle, M. Broadie, P. Glasserman, T. Björk, A. Brace, T. Dun, G. Barton, B. Goldys, M. Musiela, F. Jamshidian, M. Rutkowski, T. Bielecki, P. Carr, P. Glasserman, D. Heath, E. Platen, M. Schweizer, J. Cvitanic, I. Karatzas, X. Zhao

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