Paul Wilmott / Henrik Rasmussen (Hgg.)

New Directions in Mathematical Finance

Mitarbeit: Wilmott, Paul; Rasmussen, Henrik

• Buch mit Leinen-Einband

Produktbeschreibung

New ideas in quantitative finance are always welcome, especially so in recent years as new techniques have steadily gained in popularity and old techniques have become more sophisticated.This book features new contributions from many highly regarded individuals, collected together by Paul Wilmott and Henrik Rasmussen. Subjects featured include new techniques for: Risk Management Equity Modelling Interest Rate ModellingThis book is a worthy addition to the canon of literature on quantitative finance.

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"New Directions in Mathematical Finance" ist eine Sammlung von Beiträgen der im Dezember 1999 in Mailand abgehaltenen Konferenz zum Thema Finanzmodelle. An der Konferenz nahmen führende Vertreter des Bereichs 'Quantitative Finance' teil, um aktuelle Techniken zur Modellbildung in verschiedenen Bereichen der Finanztechnik zu diskutieren. Mit Beiträgen von renommierten Experten, wie z.B. David Bakstein, Isabelle Bajeux, Christer Borell, David Epstein, Aldo Nassigh und Henriette Prast. Herausgeber dieses Bandes sind Paul Wilmott und Henrik Rasmussen; sie sind für das einführende Kapitel und die Themenübersicht verantwortlich. Eine interessante und hochaktuelle Lektüre zu ausgewählten Themen der Finanztechnik.

Produktdetails

• Wiley Finance Series
• Verlag: Wiley & Sons
• 1. Auflage
• Seitenzahl: 208
• Erscheinungstermin: 15. März 2002
• Englisch
• Abmessung: 260mm x 183mm x 16mm
• Gewicht: 541g
• ISBN-13: 9780471498179
• ISBN-10: 0471498173
• Artikelnr.: 09547286

Autorenporträt

Paul Wilmott studied mathematics at St Catherine's College, Oxford, where he also received his D.Phil. He is the author of Paul Wilmott Introduces Quantitative Finance (Wiley 2007), Paul Wilmott On Quantitative Finance (Wiley 2006), Frequently Asked Questions in Quantitative Finance (Wiley 2009), The Money Formula (with David Orrell) (Wiley 2017) and other financial textbooks. He has written over 100 research articles on finance and mathematics. Paul Wilmott was a founding partner of the volatility arbitrage hedge fund Caissa Capital which managed $170 million. His responsibilities included forecasting, derivatives pricing, and risk management. Paul is the proprietor of www.wilmott.com, the popular quantitative finance community website, and the quant magazine Wilmott. He is the creator of the Certificate in Quantitative Finance, cqf.com, and the President of the CQF Institute, cqfinstitute.org. Paul Wilmott has been called "cult derivatives lecturer" by the Financial Times and "financial mathematics guru" by the BBC.

Inhaltsangabe

Preface The Quantitative Finance Timeline (Paul Wilmott) Part I. New
Directions in Equity Modelling Introduction Asymptotic analysis of
stochastic volatility models (Henrik Rasmussen and Paul Wilmott) Passport
options, a review (Antony Penaud) Equity Dividend Models (David Bakstein
and Paul Wilmott) Isoperimetry, log-concavity and elasticity of option
prices (Christer Borell) Part II. New Directions in Interest Rate Modelling
Introduction Dynamic, deterministic and static optimal portfolio strategies
in a mean-variance framework under stochastic interest rates (Isabelle
Bajeux-Besnainou and Roland Portrait) Pricing bond options in a worst-case
scenario (David Epstein and Paul Wilmott) Part III. New Directions in Risk
Management Introduction Implementing VaR by Historical Simulation (Aldo
Nassigh, Andrea Piazzetta and Ferdinando Samaria) CrashMetrics (Philip Hua
and Paul Wilmott) Herding in financial markets: a role for psychology in
explaining investor behaviour? (Henriëtte Prast) Further Reading Author
Biographies Index