Encyclopedia of Quantitative Finance, IV Volume Set

Encyclopedia of Quantitative Finance, IV Volume Set

Released April 2010
Publisher(s): Wiley
ISBN: 9780470057568

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Book description

"What initially looked like an impossible undertaking has become a formidable achievement, stretching from the theoretical foundations to the most recent cutting edge methods. Mille bravos!"

—Dr Bruno Dupire (Bloomberg L.P.)

The Encyclopedia of Quantitative Finance is a major reference work designed to provide a comprehensive coverage of essential topics related to the quantitative modelling of financial markets, with authoritative contributions from leading academics and professionals.

Drawing on contributions from a wide spectrum of experts in fields including financial economics, econometrics, mathematical finance, operations research, numerical analysis, risk management and statistics, the Encyclopedia of Quantitative Finance faithful reflects the multidisciplinary nature of its subject.

With a pool of author comprising over 400 leading academics and professionals worldwide, the Encyclopedia provides a balanced view of theoretical and practical aspects of quantitative modelling in finance.

Topics covered in the Encyclopedia include

  • the historical development of quantitative modelling in finance, including biographies of influential figures

  • self-contained expositions of mathematical and statistical tools used in financial modelling

  • authoritative expositions on the foundations of financial theory and mathematical finance, including arbitrage pricing, asset pricing theory, option pricing and asset allocation

  • comprehensive reviews of various aspects of risk management: credit risk, market risk, operational risk, economic capital and Basel II with a detailed coverage of topics related to credit risk

  • up-to-date surveys of the state of the art in computational finance: Monte Carlo simulation, partial differential equations (PDEs), Fourier transform methods, model calibration

  • detailed entries on various types of financial derivatives and methods used for pricing and hedging them, including equity derivatives, credit derivatives, interest rate derivatives and foreign exchange derivatives

  • pedagogical surveys of econometric methods and models used in finance, including GARCH models, GMM, realized volatility, factor models, Mixed Data Sampling and high-frequency data

  • empirical and theoretical aspects of market microstructure and trade-level modelling

  • timely entries on new topics such as commodity risk, electricity derivatives, algorithmic trading and multi-fractals

  • quantitative methods in actuarial science, including insurance derivatives, catastrophe bonds , equity-linked life insurance and other topics at the interface of finance and insurance

All articles contain are cross-referenced to other relevant articles in the Encyclopedia and include detailed bibliographies for further reading.

The scope and breadth of the Encyclopedia will make it an invaluable resource for students and researchers in finance, quantitative analysts and developers, risk managers, portfolio managers, regulators, financial market analysts and anyone interested in the complexity of today's financial markets and products.

Table of contents

  1. Coverpage
  2. Titlepage
  3. Copyright
  4. Editorial Board
  5. Dedication
  6. Contents
  7. Contributors
  8. Foreword
  9. Preface
  10. Abbreviations and Acronyms
  11. Volume 1
    1. ABS Indices
    2. Accumulated Claims
    3. Actuarial Premium Principles
    4. Adverse Selection
    5. Affine Models
    6. Algorithmic Trading
    7. Alternating Direction Implicit (ADI) Method
    8. Altiplano Option
    9. Ambiguity
    10. American Options
    11. Arbitrage Bounds
    12. Arbitrage: Historical Perspectives
    13. Arbitrage Pricing Theory
    14. Arbitrage Strategy
    15. Arrow, Kenneth
    16. Arrow–Debreu Prices
    17. Asian Options
    18. Asset–Liability Management
    19. Atlas Option
    20. Autocall
    21. Automated Trading
    22. Autoregressive Moving Average (ARMA) Processes
    23. Average Strike Options
    24. Bachelier, Louis (1870–1946)
    25. Backtesting
    26. Backward Stochastic Differential Equations
    27. Backward Stochastic Differential Equations:Numerical Methods
    28. Barndorff-Nielsen and Shephard (BNS) Models
    29. Barrier Options
    30. Base Correlation
    31. Basket Default Swaps
    32. Basket Options
    33. Bates Model
    34. Behavioral Portfolio Selection
    35. Bermudan Options
    36. Bermudan Swaptions and Callable Libor Exotics
    37. Bernoulli, Jacob
    38. Bid–Ask Spreads
    39. Binomial Tree
    40. Black, Fischer
    41. Black–Litterman Approach
    42. Black–Scholes Formula
    43. Bond
    44. Bond Options
    45. Bubbles and Crashes
    46. Butterfly
    47. Call Auction Markets
    48. Call Options
    49. Call Spread
    50. Capital Asset Pricing Model
    51. Caps and Floors
    52. Catastrophe Bonds
    53. CDO Square
    54. CDO Tranches: Impact on Economic Capital
    55. Change of Numeraire
    56. Cliquet Options
    57. CMS Spread Products
    58. Collateralized Debt Obligation (CDO) Options
    59. Collateralized Debt Obligations (CDO)
    60. Commodities and Numéraire
    61. Commodity Forward Curve Modeling
    62. Commodity Price Models
    63. Commodity Risk
    64. Commodity Trading
    65. Compensators
    66. Complete Markets
    67. Conjugate Gradient Methods
    68. Constant Elasticity of Variance (CEV) Diffusion Model
    69. Constant Maturity Credit Default Swap
    70. Constant Maturity Swap
    71. Constant Proportion Portfolio Insurance
    72. Convertible Bonds
    73. Convex Duality
    74. Convex Risk Measures
    75. Convexity Adjustments
    76. Copulas: Estimation
    77. Copulas in Econometrics
    78. Copulas in Insurance
    79. Correlation Risk
    80. Correlation Swap
    81. Corridor Options
    82. Corridor Variance Swap
    83. Counterparty Credit Risk
    84. Cox–Ingersoll–Ross (CIR) Model
    85. Cramér–Lundberg Estimates
    86. Cramér’s Theorem
    87. Crank–Nicolson Scheme
    88. Credibility Theory
    89. Credit Default Swap (CDS) Indices
    90. Credit Default Swap Index Options
    91. Credit Default Swaps
    92. Credit Default Swaption
    93. Credit Migration Models
    94. Credit Portfolio Insurance
    95. Credit Portfolio Simulation
    96. Credit Rating
    97. Credit Risk
    98. CreditRisk+
    99. Credit Scoring
    100. Currency Forward Contracts
    101. Default Barrier Models
    102. Default Time Copulas
    103. Delta Hedging
    104. Discretely Monitored Options
    105. Dispersion Trading
    106. Diversification
    107. Dividend Modeling
    108. Doob–Meyer Decomposition
    109. Drawdown Minimization
    110. Duffie–Singleton Model
    111. Dupire Equation
    112. Duration Models
  12. Volume 2
    1. Early Exercise Options: Upper Bounds
    2. Econometrics of Diffusion Models
    3. Econometrics of Option Pricing
    4. Economic Capital
    5. Economic Capital Allocation
    6. Econophysics
    7. Efficient Market Hypothesis
    8. Efficient Markets Theory: Historical Perspectives
    9. Electricity Forward Contracts
    10. Electricity Markets
    11. Emissions Trading
    12. Employee Stock Options
    13. Entropy-based Estimation
    14. Equity–Credit Problem
    15. Equity Default Swaps
    16. Equity Swaps
    17. Equivalence of Probability Measures
    18. Equivalent Martingale Measures
    19. Esscher Transform
    20. Eurodollar Futures and Options
    21. Exchange Options
    22. Exchange-traded Funds (ETFs)
    23. Execution Costs
    24. Exercise Boundary Optimization Methods
    25. Expectations Hypothesis
    26. Expected Shortfall
    27. Expected Utility Maximization
    28. Expected Utility Maximization: Duality Methods
    29. Exponential Lévy Models
    30. Exposure to Default and Loss Given Default
    31. Extreme Value Theory
    32. Factor Models
    33. Filtering
    34. Filtrations
    35. Finite Difference Methods for Barrier Options
    36. Finite Difference Methods for Early Exercise Options
    37. Finite Element Methods
    38. Fisher, Irving
    39. Fixed Mix Strategy
    40. Foreign Exchange Basket Options
    41. Foreign Exchange Markets
    42. Foreign Exchange Options
    43. Foreign Exchange Options: Delta-and At-the-money Conventions
    44. Foreign Exchange Smile Interpolation
    45. Foreign Exchange Smiles
    46. Foreign Exchange Symmetries
    47. Forward and Swap Measures
    48. Forward–Backward Stochastic Differential Equations (SDEs)
    49. Forward-starting CDO Tranche
    50. Forwards and Futures
    51. Fourier Methods in Options Pricing
    52. Fourier Transform
    53. Fractional Brownian Motion
    54. Free Lunch
    55. Fundamental Theorem of Asset Pricing
    56. Gamma Hedging
    57. Gamma Swap
    58. GARCH Models
    59. Gaussian Copula Model
    60. Gaussian Interest-Rate Models
    61. Generalized Hyperbolic Models
    62. Generalized Method of Moments (GMM)
    63. Gerber–Shiu Function
    64. Glosten–Milgrom Models
    65. Good-deal Bounds
    66. Hazard Rate
    67. Heath–Jarrow–Morton Approach
    68. Heavy Tails
    69. Heavy Tails in Insurance
    70. Hedge Funds
    71. Hedging
    72. Hedging of Interest Rate Derivatives
    73. Heston Model
    74. High-frequency Data
    75. Himalayan Option
    76. Hull–White Stochastic Volatility Model
    77. Implied Volatility: Large Strike Asymptotics
    78. Implied Volatility: Long Maturity Behavior
    79. Implied Volatility: Market Models
    80. Implied Volatility in Stochastic Volatility Models
    81. Implied Volatility Surface
    82. Implied Volatility: Volvol Expansion
    83. Infinite Divisibility
    84. Inflation Derivatives
    85. Insurance Derivatives
    86. Insurance Risk Models
    87. Integral Equation Methods for Free Boundaries
    88. Intensity-based Credit Risk Models
    89. Intensity Gamma Model
    90. Internal-ratings-based Approach
    91. Intraday Price Efficiency
    92. Inventory Effects
    93. Itô, Kiyosi (1915–2008)
    94. Itô’s Formula
    95. Jarrow–Lando–Turnbull Model
    96. Jump-diffusion Models
    97. Jump Processes
  13. Volume 3
    1. Kelly Problem
    2. Kolmogorov, Andrei Nikolaevich
    3. Kou Model
    4. Kyle Model
    5. Large Deviations
    6. Large Pool Approximations
    7. Lattice Methods for Path-dependent Options
    8. Leveraged Super-senior Tranche
    9. LIBOR Market Model
    10. LIBOR Market Models: Simulation
    11. LIBOR Rate
    12. Life Insurance
    13. Limit Order Markets
    14. Liquidity
    15. Liquidity Premium
    16. Loan Valuation
    17. Local Correlation Model
    18. Local Times
    19. Local Volatility Model
    20. Lognormal Mixture Diffusion Model
    21. Long Range Dependence
    22. Long-Term Capital Management
    23. Lookback Options
    24. Lévy Copulas
    25. Lévy Processes
    26. Managed CDO
    27. Mandelbrot, Benoit
    28. Margrabe Formula
    29. Market Microstructure Effects
    30. Market Risk
    31. Market Transparency
    32. Markov Functional Models
    33. Markov Processes
    34. Markovian Term Structure Models
    35. Markowitz, Harry
    36. Martingale Representation Theorem
    37. Martingales
    38. Mean–Variance Hedging
    39. Measurements Errors
    40. Merton Problem
    41. Merton, Robert C.
    42. Method of Lines
    43. Minimal Entropy Martingale Measure
    44. Minimal Martingale Measure
    45. Mixed Data Sampling
    46. Mixture of Distribution Hypothesis
    47. Model Calibration
    48. Model Validation
    49. Modeling Correlation of Structured Instruments in a Portfolio Setting
    50. Models
    51. Modern Portfolio Theory
    52. Modigliani, Franco
    53. Modigliani–Miller Theorem
    54. Moment Explosions
    55. Monotone Schemes
    56. Monte Carlo Greeks
    57. Monte Carlo Simulation
    58. Monte Carlo Simulation for Stochastic Differential Equations
    59. Multifractals
    60. Multigrid Methods
    61. Multiname Reduced Form Models
    62. Multivariate Distributions
    63. Municipal Bonds
    64. Mutual Funds
    65. Nested Simulation
    66. Normal Inverse Gaussian Model
    67. Oil Market
    68. Operational Risk
    69. Optimization Methods
    70. Option Pricing: General Principles
    71. Option Pricing Theory: Historical Perspectives
    72. Options: Basic Definitions
    73. Order Flow
    74. Order Types
    75. Ornstein–Uhlenbeck Processes
    76. Parisian Option
    77. Partial Differential Equations
    78. Partial Integro-differential Equations (PIDEs)
    79. Passport Options
    80. Performance Measures
    81. Phase-type Distribution
    82. Point Processes
    83. Poisson Process
    84. Portfolio Credit Risk: Statistical Methods
    85. Predictability of Asset Prices
    86. Price Impact
    87. Pricing Formulae for Foreign Exchange Options
    88. Pricing Kernels
    89. Probability of Informed Trading
    90. Pseudorandom Number Generators
    91. Put–Call Parity
    92. Quadratic Gaussian Models
    93. Quadrature Methods
    94. Quantization Methods
    95. Quanto Options
    96. Quasi-Monte Carlo Methods
  14. Volume 4
    1. Random Factor Loading Model (for Portfolio Credit)
    2. Random Matrix Theory
    3. Rare-event Simulation
    4. Rating Transition Matrices
    5. Real Options
    6. Realized Volatility and Multipower Variation
    7. Realized Volatility Options
    8. Recovery Rate
    9. Recovery Swap
    10. Recursive Preferences
    11. Reduced Form Credit Risk Models
    12. Regime-switching Models
    13. Regulatory Capital
    14. Reinsurance
    15. Risk-adjusted Return on Capital (RAROC)
    16. Risk Aversion
    17. Risk Exposures
    18. Risk Management: Historical Perspectives
    19. Risk Measures: Statistical Estimation
    20. Risk Premia
    21. Risk-neutral Pricing
    22. Risk–Return Analysis
    23. Risk-sensitive Asset Management
    24. Robust Portfolio Optimization
    25. Roll Model
    26. Ross, Stephen
    27. Rubinstein, Edward Mark
    28. Ruin Models with Investment Income
    29. Ruin Theory
    30. SABR Model
    31. Saddlepoint Approximation
    32. Samuelson, Paul A.
    33. Second Fundamental Theorem of Asset Pricing
    34. Securitization
    35. Semimartingale
    36. Sensitivity Computations: Integration by Parts
    37. Sharpe Ratio
    38. Sharpe, William F.
    39. Simulation of Square-root Processes
    40. Simulation-based Estimation
    41. Skorokhod Embedding
    42. Solvency
    43. Sparse Grids
    44. Special-purpose Vehicle (SPV)
    45. Specialist Markets
    46. Spectral Measures of Risk
    47. Squared Bessel Processes
    48. Static Hedging
    49. Stochastic Control
    50. Stochastic Control in Insurance
    51. Stochastic Differential Equations with Jumps: Simulation
    52. Stochastic Differential Equations: Scenario Simulation
    53. Stochastic Discount Factors
    54. Stochastic Exponential
    55. Stochastic Integrals
    56. Stochastic Mesh Method
    57. Stochastic Taylor Expansions
    58. Stochastic Volatility Interest Rate Models
    59. Stochastic Volatility Models
    60. Stochastic Volatility Models: Extremal Behavior
    61. Stochastic Volatility Models: Foreign Exchange
    62. Stock Pinning
    63. Stress Testing
    64. Structural Default Risk Models
    65. Structured Finance Rating Methodologies
    66. Style Analysis
    67. Stylized Properties of Asset Returns
    68. Superhedging
    69. Swap Market Models
    70. Swaps
    71. Swing Options
    72. Tempered Stable Process
    73. Term Structure Models
    74. Thorp, Edward
    75. Tikhonov Regularization
    76. Time Change
    77. Time-changed Lévy Process
    78. Total Return Swap
    79. Transaction Costs
    80. Tree Methods
    81. Treynor, Lawrence Jack
    82. Trigger Swaps
    83. Uncertain Volatility Model
    84. Universal Portfolios
    85. Utility Function
    86. Utility Indifference Valuation
    87. Utility Theory: Historical Perspectives
    88. Value-at-Risk
    89. Vanna–Volga Pricing
    90. Variance-gamma Model
    91. Variance Reduction
    92. Variance Swap
    93. Volatility
    94. Volatility Index Options
    95. Volatility Swaps
    96. Volume-weighted Average Price (VWAP)
    97. Wavelet Galerkin Method
    98. Weather Derivatives
    99. Weighted Monte Carlo
    100. Weighted Variance Swap
    101. Wiener–Hopf Decomposition
    102. Yield Curve Construction

Product information

  • Title: Encyclopedia of Quantitative Finance, IV Volume Set
  • Author(s):
  • Release date: April 2010
  • Publisher(s): Wiley
  • ISBN: 9780470057568