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9780470355398

New Directions in Mathematical Finance

by ;
  • ISBN13:

    9780470355398

  • ISBN10:

    0470355395

  • Format: eBook
  • Copyright: 2008-05-01
  • Publisher: Wiley
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Summary

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.

Table of Contents

Preface
The Quantitative Finance Timeline
New Directions in Equity Modelling
Introduction
Asymptotic analysis of stochastic volatility models
Passport options, a review
Equity Dividend Models
Isoperimetry, log-concavity and elasticity of option prices
New Directions in Interest Rate Modelling
Introduction
Dynamic, deterministic and static optimal portfolio strategies in a mean-variance framework under stochastic interest rates
Pricing bond options in a worst-case scenario
New Directions in Risk Management
Introduction
Implementing VaR by Historical Simulation
CrashMetrics
Herding in financial markets: a role for psychology in explaining investor behaviour?
Further reading
Author Biographies
Index
Table of Contents provided by Publisher. All Rights Reserved.

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