Book description
The compiled works of the man behind the evolution of quantitative financeFinance, Economics, and Mathematics is the complete Vasicek reference work, including published and unpublished work and interviews with the man himself.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 cuttingedge 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 meanreverting shortrate 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 Discover his research and ideas that have gone unpublished—until now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.
Table of contents
 Title Page
 Copyright
 Foreword
 Preface
 Part One: Efforts and Opinions
 Part Two: Term Structure of Interest Rates
 Part Three: General Equilibrium
 Part Four: Credit

Part Five: Markets, Portfolios, and Securities
 Chapter 21: Introduction to Part V
 Chapter 22: The Efficient Market Model
 Chapter 23: A Risk Minimizing Strategy for Portfolio Immunization
 Chapter 24: The Tradeoff between Return and Risk in Immunized Portfolios
 Chapter 25: Bond Performance: Analyzing Sources of Return
 Chapter 26: The BestReturn Strategy
 Chapter 27: Volatility: Omission Impossible
 Chapter 28: A Multidimensional Framework for Risk Analysis

Chapter 29: Plugging into Electricity
 Forward and Futures Contracts on Nonstorable Commodities: The Case of Electricity
 Forward, Futures, and Option Pricing in a Diffusion Setting
 Examples
 Expectations and Risk Premia
 Energy Price Spikes
 The spot price
 Conclusion
 Appendix A: Pricing of Futures, Forwards, and Options
 Appendix B: Spot Price Spikes
 Note
 References
 Chapter 30: Pricing of Energy Derivatives

Part Six: Probability Theory and Statistics
 Chapter 31: Introduction to Part VI
 Chapter 32: A Note on Using Crosssectional Information in Bayesian Estimation of Security Betas
 Chapter 33: A Series Expansion for the Bivariate Normal Integral
 Chapter 34: A Conditional Law of Large Numbers
 Chapter 35: A Test for Normality Based on Sample Entropy
 Chapter 36: Monotone Measures of Ergodicity for Markov Chains
 Chapter 37: An Inequality for the Variance of Waiting Time under a General Queueing Discipline
 About the Author
 Index
 End User License Agreement
Product information
 Title: Finance, Economics, and Mathematics
 Author(s):
 Release date: December 2015
 Publisher(s): Wiley
 ISBN: 9781119122203
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