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

doi:10.1017/CBO9780511569708

This 2001 handbook surveys the 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.

‘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 Source: Short Book Reviews

- Aa Reduce text
- Aa Enlarge text

View selected items
Save to my bookmarks
Export citations
Download PDF (zip)
Save to Kindle
Save to Dropbox
Save to Google Drive
Save content to
To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to .

To save content items to your Kindle, first ensure no-reply@cambridge.org is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your Amazon account. Then enter the ‘name’ part of your Kindle email address below. Find out more about saving to your Kindle.

Note you can select to save to either the @free.kindle.com or @kindle.com variations. ‘@free.kindle.com’ emails are free but can only be saved to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply.

Find out more about the Kindle Personal Document Service.

Please be advised that item(s) you selected are not available.
You are about to save
Your Kindle email address

Please provide your Kindle email.

@free.kindle.com @kindle.com (service fees apply)

By using this service, you agree that you will only keep content for personal use, and will not openly distribute them via Dropbox, Google Drive or other file sharing services

Contents

Frontmatter
pp i-iv
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

Contents
pp v-vi
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

List of Contributors
pp vii-viii
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

Introduction
pp ix-xvi
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

Part one - Option Pricing: Theory and Practice
pp 1-2
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

1 - Arbitrage Theory
pp 3-42
- By YU. M. Kabanov
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

2 - Market Models with Frictions: Arbitrage and Pricing Issues
pp 43-66
- By E. Jouini, C. Napp
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

3 - American Options: Symmetry Properties
pp 67-104
- By J. Detemple
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

4 - Purely Discontinuous Asset Price Processes
pp 105-153
- By D. B. Madan
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

5 - Latent Variable Models for Stochastic Discount Factors
pp 154-184
- By R. Garcia, E. Renault
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

6 - Monte Carlo Methods for Security Pricing
pp 185-238
- By P. Boyle, M. Broadie, P. Glasserman
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

Part two - Interest Rate Modeling
pp 239-240
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

7 - A Geometric View of Interest Rate Theory
pp 241-277
- By T. Björk
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

8 - Towards a Central Interest Rate Model
pp 278-313
- By A. Brace, T. Dun, G. Barton
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

9 - Infinite Dimensional Diffusions, Kolmogorov Equations and Interest Rate Models
pp 314-335
- By B. Goldys, M. Musiela
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

10 - Modelling of Forward Libor and Swap Rates
pp 336-396
- By M. Rutkowski
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

Part three - Risk Management and Hedging
pp 397-398
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

11 - Credit Risk Modelling: Intensity Based Approach
pp 399-457
- By T. R. Bielecki, M. Rutkowski
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

12 - Towards a Theory of Volatility Trading
pp 458-476
- By P. Carr, D. Madan
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

13 - Shortfall Risk in Long-Term Hedging with Short-Term Futures Contracts
pp 477-508
- By P. Glasserman
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

14 - Numerical Comparison of Local Risk-Minimisation and Mean-Variance Hedging
pp 509-537
- By D. Heath, E. Platen, M. Schweizer
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

15 - A Guided Tour through Quadratic Hedging Approaches
pp 538-574
- By M. Schweizer
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

Part four - Utility Maximization
pp 575-576
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

16 - Theory of Portfolio Optimization in Markets with Frictions
pp 577-631
- By J. Cvitanić
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

17 - Bayesian Adaptive Portfolio Optimization
pp 632-669
- By I. Karatzas, X. Zhao
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

Metrics

Altmetric attention score

Total number of HTML views: 0

Total number of PDF views: 0 *

Loading metrics...

Total views: 0 *

Loading metrics...

* Views captured on Cambridge Core between #date#. This data will be updated every 24 hours.

Usage data cannot currently be displayed.

Why this information is here

This section outlines the accessibility features of this content - including support for screen readers, full keyboard navigation and high-contrast display options. This may not be relevant for you.

Accessibility Information

Accessibility compliance for the PDF of this book is currently unknown and may be updated in the future.

Handbooks in Mathematical Finance

Option Pricing, Interest Rates and Risk Management

This Book has been cited by the following publications. This list is generated based on data provided by Crossref.

Book description

Reviews

Refine List

Actions for selected content:

Contents

Frontmatter
pp i-iv

Contents
pp v-vi

List of Contributors
pp vii-viii

Introduction
pp ix-xvi

Part one - Option Pricing: Theory and Practice
pp 1-2

1 - Arbitrage Theory
pp 3-42

2 - Market Models with Frictions: Arbitrage and Pricing Issues
pp 43-66

3 - American Options: Symmetry Properties
pp 67-104

4 - Purely Discontinuous Asset Price Processes
pp 105-153

5 - Latent Variable Models for Stochastic Discount Factors
pp 154-184

6 - Monte Carlo Methods for Security Pricing
pp 185-238

Part two - Interest Rate Modeling
pp 239-240

7 - A Geometric View of Interest Rate Theory
pp 241-277

8 - Towards a Central Interest Rate Model
pp 278-313

9 - Infinite Dimensional Diffusions, Kolmogorov Equations and Interest Rate Models
pp 314-335

10 - Modelling of Forward Libor and Swap Rates
pp 336-396

Part three - Risk Management and Hedging
pp 397-398

11 - Credit Risk Modelling: Intensity Based Approach
pp 399-457

12 - Towards a Theory of Volatility Trading
pp 458-476

13 - Shortfall Risk in Long-Term Hedging with Short-Term Futures Contracts
pp 477-508

14 - Numerical Comparison of Local Risk-Minimisation and Mean-Variance Hedging
pp 509-537

15 - A Guided Tour through Quadratic Hedging Approaches
pp 538-574

Part four - Utility Maximization
pp 575-576

16 - Theory of Portfolio Optimization in Markets with Frictions
pp 577-631

17 - Bayesian Adaptive Portfolio Optimization
pp 632-669

Metrics

Altmetric attention score

Full text views

Book summary page views

Accessibility standard: Unknown

Why this information is here

Accessibility Information

Handbooks in Mathematical Finance

Option Pricing, Interest Rates and Risk Management

Book description

Reviews

Refine List

Actions for selected content:

Save Search

Contents

Metrics

Altmetric attention score

Full text views

Book summary page views

Accessibility standard: Unknown

Why this information is here

Accessibility Information