Oldrich A. Vasicek

Finance, Economics, and Mathematics (eBook, ePUB)

• Format: ePub

Produktbeschreibung

The compiled works of the man behind the evolution of quantitative finance Finance, Economics, and Mathematics is the complete Vasicek reference work, including published and unpublished work and interviews with the man himself. The name Oldrich A. Vasicek is synonymous with cutting-edge research in the finance fields, and this book comes straight from the source to bring you the undiluted mother lode of quant wisdom from one of the founders of the field. From his early work in yield curve dynamics, to the mean-reverting short-rate model, to his thoughts on derivatives pricing, to his work on credit risk, to his most recent research on the economics of interest rates, this book represents the life's work of an industry leader. Going beyond the papers, you'll also find the more personal side inspirational as Vasicek talks about the academics and professionals who made lasting impressions and collaborated, debated, and ultimately helped spawn some of his greatest thinking. Oldrich Vasicek has won virtually every important award and prize for his groundbreaking research in quantitative finance. You've followed his work for years; this book puts it all in a single volume to give you the definitive reference you'll turn to again and again. * Explore Vasicek's insights on topics he helped create * Discover his research and ideas that have gone unpublished--until now * Understand yield curves and the Vasicek model from the source himself * Gain a reference collection of some of the most influential work in quantitative finance Vasicek's research is the foundation of one of the most important innovations in finance. Quants around the world have been influenced by his ideas, and his status as thought leader is cemented in the annals of finance history. Finance, Economics, and Mathematics is the definitive Vasicek reference every finance professional needs.

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 368
• Erscheinungstermin: 24. November 2015
• Englisch
• ISBN-13: 9781119186205
• Artikelnr.: 44242241

Autorenporträt

OLDRICH ALFONS VASICEK works in mathematical finance, particularly on the development of quantitative models of firms, financial instruments, and financial markets. He was a founding partner of KMV Corporation, a firm pioneering the use of structural models for credit valuation. He is an inductee into the Derivatives Strategy Hall of Fame, the Fixed Income Analysts Society Hall of Fame, and the Risk Magazine Hall of Fame.

Inhaltsangabe

Foreword (by Robert C. Merton) ix Preface xi PART ONE Efforts and Opinions
1 CHAPTER 1 Introduction to Part I 3 CHAPTER 2 Lifetime Achievement Award
(by Dwight Cass) 7 CHAPTER 3 One-on-One Interview with Oldrich Alfons
Vasicek (by Nina Mehta) 13 CHAPTER 4 Credit Superquant (by Robert Hunter)
21 PART TWO Term Structure of Interest Rates 27 CHAPTER 5 Introduction to
Part II 29 CHAPTER 6 An Equilibrium Characterization of the Term Structure
33 CHAPTER 7 The Liquidity Premium 45 CHAPTER 8 Term Structure Modeling
Using Exponential Splines (with Gifford Fong) 49 CHAPTER 9 The Heath,
Jarrow, Morton Model 63 PART THREE General Equilibrium 65 CHAPTER 10
Introduction to Part III 67 CHAPTER 11 The Economics of Interest Rates 71
CHAPTER 12 General Equilibrium with Heterogeneous Participants and Discrete
Consumption Times 89 CHAPTER 13 Independence of Production and Technology
Risks 107 CHAPTER 14 Risk-Neutral Economy and Zero Price of Risk 111 PART
FOUR Credit 125 CHAPTER 15 Introduction to Part IV 127 CHAPTER 16 Credit
Valuation 131 CHAPTER 17 Probability of Loss on Loan Portfolio 143 CHAPTER
18 Limiting Loan Loss Probability Distribution 147 CHAPTER 19 Loan
Portfolio Value 149 CHAPTER 20 The Empirical Test of the Distribution of
Loan Portfolio Losses 161 PART FIVE Markets, Portfolios, and Securities 163
CHAPTER 21 Introduction to Part V 165 CHAPTER 22 The Efficient Market Model
(with John A. McQuown) 169 CHAPTER 23 A Risk Minimizing Strategy for
Portfolio Immunization (with Gifford Fong) 195 CHAPTER 24 The Tradeoff
between Return and Risk in Immunized Portfolios (with Gifford Fong) 203
CHAPTER 25 Bond Performance: Analyzing Sources of Return (with Gifford Fong
and Charles J. Pearson) 213 CHAPTER 26 The Best-Return Strategy 223 CHAPTER
27 Volatility: Omission Impossible (with Gifford Fong and Daihyun Yoo) 237
CHAPTER 28 A Multidimensional Framework for Risk Analysis (with Gifford
Fong) 247 CHAPTER 29 Plugging into Electricity (with Hélyette Geman) 261
CHAPTER 30 Pricing of Energy Derivatives 277 PART SIX Probability Theory
and Statistics 281 CHAPTER 31 Introduction to Part VI 283 CHAPTER 32 A Note
on Using Cross-sectional Information in Bayesian Estimation of Security
Betas 287 CHAPTER 33 A Series Expansion for the Bivariate Normal Integral
297 CHAPTER 34 A Conditional Law of Large Numbers 305 CHAPTER 35 A Test for
Normality Based on Sample Entropy 315 CHAPTER 36 Monotone Measures of
Ergodicity for Markov Chains (with Julian Keilson) 325 CHAPTER 37 An
Inequality for the Variance of Waiting Time under a General Queueing
Discipline 333 About the Author 339 Index 341