HOME > Detail View

Detail View

New directions in mathematical finance

New directions in mathematical finance (Loan 1 times)

Material type
단행본
Personal Author
Wilmott, Paul. Rasmussen, Henrik O. , 1966-
Title Statement
New directions in mathematical finance / edited by Paul Wilmott and Henrik Rasmussen.
Publication, Distribution, etc
Chichester, West Sussex, England ;   New York, NY, USA :   J. Wiley & Sons ,   c2002.  
Physical Medium
xii, 192 p. : ill., maps ; 25 cm.
Series Statement
Wiley finance
ISBN
0471498173 (acid-free paper)
Bibliography, Etc. Note
Includes bibliographical references and index.
Subject Added Entry-Topical Term
Securities -- Mathematical models. Investments -- Mathematical models. Risk management -- Mathematical models.
000 01113camuu22003014a 4500
001 000045367501
005 20070703094620
008 011029s2002 enka b 001 0 eng
010 ▼a 2001055797
020 ▼a 0471498173 (acid-free paper)
035 ▼a (KERIS)BIB000008309723
040 ▼a DLC ▼c DLC ▼d DLC ▼d 211064 ▼d 211064 ▼d 244002
042 ▼a pcc
050 0 0 ▼a HG4515.2 ▼b .N49 2002
082 0 0 ▼a 332.6015118 ▼2 22
090 ▼a 332.6015118 ▼b N532
245 0 0 ▼a New directions in mathematical finance / ▼c edited by Paul Wilmott and Henrik Rasmussen.
260 ▼a Chichester, West Sussex, England ; ▼a New York, NY, USA : ▼b J. Wiley & Sons , ▼c c2002.
300 ▼a xii, 192 p. : ▼b ill., maps ; ▼c 25 cm.
490 1 ▼a Wiley finance
504 ▼a Includes bibliographical references and index.
650 0 ▼a Securities ▼x Mathematical models.
650 0 ▼a Investments ▼x Mathematical models.
650 0 ▼a Risk management ▼x Mathematical models.
700 1 ▼a Wilmott, Paul.
700 1 ▼a Rasmussen, Henrik O. , ▼d 1966-
830 0 ▼a Wiley finance series.

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Sejong Academic Information Center/Social Science/ Call Number 332.6015118 N532 Accession No. 151233298 Availability Available Due Date Make a Reservation Service C

Contents information

Table of Contents


CONTENTS
Preface = xi
1 The quantitative finance timeline / Paul Wilmott = 1
 1827 Brown = 1
 1900 Bachelier = 1
 1905 Einstein = 1
 1923 Wiener = 1
 1950s Samuelson = 1
 1951 It$$\hat o$$ = 2
 1952 Markowitz = 2
 1963 Sharpe, Lintner and Mossin = 3
 1966 Fama = 3
 1960s Sobol', Faure, Hammersley, Haselgrove, Halton... = 3
 1968 Thorp = 4
 1973 Black, Scholes and Merton = 4
 1977 Boyle = 5
 1977 Vasicek = 5
 1979 Cox, Ross, Rubinstein = 6
 1979-81 Harrison, Kreps, Pliska = 6
 1986 Ho and Lee = 7
 1992 Heath, Jarrow and Morton = 7
 1990s Credit risk = 7
 1990s Cheyette, Barrett, Moore, Wilmoltt = 7
 1994 Dupire, Rubinstein, Derman and Kani = 8
 1996 Avellaneda and Par$$\acute a$$s = 8
 And the Nobel Prize for Economics goes to... = 9
 Bibliography = 9
Part One New Directions in Equity Modelling = 11
 2 Introduction = 13
  Chapters 3 to 6 = 14
   Asymptotic analysis of stochastic volatility models = 14
   Passport options : a review = 15
   Equity dividend models = 15
   Isoperimetry, log-concavity and elasticity of option prices = 16
  Models needed = 16
  Bibliography = 17
 3 Asymptotic analysis of stochastic volatility models / Henrik Rasmussen ; Paul Wilmott = 19
  Introduction = 19
  Conditions on the models = 20
  Examples of models = 21
   Scott's model = 21
   The Heston/Ball-Roma model = 22
  Notation = 22
  Asymptotic analysis = 23
  Vanilla options : asymptotics for values = 26
  Vanilla options : implied volatilities = 28
  Acknowledgement = 31
  References = 31
 4 Passport options : a review / Antony Penaud = 33
  Introduction = 33
  The vanilla passport option = 34
   The stochastic control approach = 34
   The martingale approach = 36
   Utility of trading passport = 37
  Exotic passport options = 42
   Multi-asset passport option = 42
   Discrete trading constraints = 44
   Vacation calls and vacation puts = 47
   Miscellaneous exotic = 49
  Conclusion = 51
  References = 52
 5 Equity dividend models / David Bakstein ; Paul Wilmott = 55
  Introduction = 55
  Effects of dividends on asset prices = 56
   Frictionless markets = 56
   Market frictions = 57
  Non-stochastic dividend models = 58
   Known dividends = 58
   Non-Markovian models = 61
   Non-linear models = 62
  Stochastic dividend models = 66
   Diffusive dividend processes = 66
   Random jump processes = 68
  Criteria for model choice and summary = 69
   Sensitivity ratios = 70
   Time to expiry = 70
   Computational cost = 70
   Type of instrument = 70
  References = 71
 6 Isoperimetry, log-concavity and elasticity of option prices / Christer Borell = 73
  Introduction = 73
  A brief review of isoperimetry in option pricing = 73
  Log-concavity = 76
  Log-concavity applied to option pricing = 84
  References = 91
Part Two New Directions in Interest Rate Modelling = 93
 7 Introduction = 95
  Chapters 8 and 9 = 96
   Dynamic, deterministic and static optimal portfolio strategies in a mean-variance framework under stochastic interest rates = 96
   Pricing bond options in a worst-case scenario = 97
  Models needed = 98
  Bibliography = 99
 8 Dynamic, deterministic and static optimal portfolio strategies in a mean-variance framework under stochastic interest rates / Isabelle Bajeux-Besnainou ; Roland Portait = 101
  Introduction = 101
  The framework = 102
  Mean-variance efficient strategies when stochastic rebalancing is allowed = 104
  Predetermined weights : deterministic mean-variance dynamic efficiency = 105
  Buy-and-hold strategies = 106
  Simulations and comparison of the different cases = 107
  Appendix A = 108
  Appendix B = 113
  Notes = 114
  References = 114
 9 Pricing bond options in a worst-case scenario / David Epstein ; Paul Wilmott = 117
  Introduction = 117
  A worst-case scenario valuation = 118
  The pricing problem with optionality = 119
   Pricing a European option on a zero-coupon bond = 119
   Hedging the European option with the underlying zero-coupon bond = 121
   Hedging the European option with other instruments = 123
   Pricing and hedging American options = 128
  Conclusion = 131
  References = 132
Part Three New Directions in Risk Management = 135
 10 Introduction = 137
  Chapters 11 to 13 = 137
   Implementing VaR by historical simulation = 137
   CrashMetrics = 138
   Herding in financial markets : a role for psychology in explaining investor behaviour? = 138
  Models needed = 138
  Bibliography = 139
 11 Implementing VaR by historical simulation / Aldo Nassigh ; Andrea Piazzetta ; Ferdinando Samaria = 141
  Introduction = 141
  Historical simulation : the partial revaluation approach = 141
  Implementing Value at Risk : a practical example = 144
  Conclusion = 151
  References = 151
 12 CrashMetrics / Philip Hua ; Paul Wilmott = 153
  Introduction = 153
  Why do banks go broke? = 153
  Market crashes = 153
  CrashMetrics = 154
  CrashMetrics for one stock = 155
   Portfolio optimisation and the Platinum Hedge = 157
  The multi-asset/single-index model = 157
   Portfolio optimisation and the Platinum Hedge in the multi-asset model = 161
  The multi-index model = 162
  Crash dispersion = 163
  Bias effects = 163
  Analysis of data = 164
  Margin calls and margin hedging = 165
   What is margin? = 165
   Modelling margin = 165
  Counterparty risk = 166
  Simple extensions to CrashMetrics = 166
  The CrashMetrics Index = 166
  Summary = 167
  Further reading = 167
 13 Herding in financial markets : a role for psychology in explaining investor behaviour? / Henri$$\ddot e$$tte Prast = 169
  Introduction = 169
  Herding in economic theory = 169
  Psychology in finance : existing research = 172
  The psychology of crowd behaviour : the theory of cognitive dissonance = 174
   Principle of congruity = 174
   The theory of cognitive dissonance = 174
  Conclusions = 177
  Notes = 178
  References = 179
Further reading = 181
Author biographies = 183
Index = 187


New Arrivals Books in Related Fields

Vague, Richard (2022)