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- Product code: 14832
- ISBN: 0471498173,
ISBN13: 9780471498179,
hardback
Published by John Wiley & Sons, 1st edition, 2002
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Description of New Directions in Mathematical Finance |
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 consists of many new and stimulating ideas on the subject, often challenging conventionally held views. Many interesting models are discussed on a wide variety of subjects, including:
- risk management
- equity modelling
- interest rate modelling
- mean-variance strategies
- Value at Risk
Collected together by best-selling author on quantitative finance, Paul Wilmott and quantitative analyst Henrik Rasmussen, many experts in the field have contributed to this book, including:
- David Epstein
- Roland Portrait
- Andrea Piazzetta
- David Bakstein
- Christer Borell
...plus many others. This book is a worthy edition to the canon of literature on quantitative finance.
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Contents of New Directions in Mathematical Finance |
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? (Henriktte Prast)
Further Reading
Author Biographies
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