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quantitative financeFinance, Economics, and Mathematics is the complete Vasicek reference work, including published and unpublished work and interviews with the man himself.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 cutting-edge 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 mean-reverting short-rate 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- Discover his research and ideas that have gone unpublished—until now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 Best-Return 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 Cross-sectional 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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