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

Cambridge University Press
Edition: Illustrated, 7/19/2001
EAN 9780521792370, ISBN10: 0521792371

Hardcover, 686 pages, 24.4 x 17 x 3.8 cm
Language: English

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.

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.