This handbook presents the current state of practice, method and understanding in the field of mathematical finance. Each chapter, written by leading researchers, starts by briefly surveying the existing results for a given topic, then discusses more recent results and, finally, points out open problems with outlines for possible solutions. The primary audiences for the book are doctoral students, researchers and practitioners who already have some basic knowledge of mathematical finance. This comprehensive reference work will be indispensable to readers who need a quick introduction or references to specific topics within this cutting-edge material.
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'The blurb describes it as a 'handbook' and 'comprehensive reference work' and it will certainly be a useful reference work for people undertaking research in the area. I have to say also that it has been beautifully produced.' D. J. Hand, Short Book Reviews
Book Description
During the last twenty five years, research in mathematical finance has been very intense; much work has been done towards clarifying the foundations and what new directions need to be developed. The aim of this book is to present the current state of our understanding in the field of mathematical finance, as seen by leading researchers in the field. Each article surveys the area in question, discusses new results and points out open problems. As such it will be invaluable for graduate students and professionals in all areas of finance.
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Inside This Book
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First Sentence:
We shall consider models where an investor, acting on a financial market with random price movements and having T as his time horizon, transforms the initial endowment into a certain resulting wealth; let RT denote the set of all final wealth corresponding to possible investment strategies. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
multibeta model, log arrival rates, occupation time derivatives, forward swap measure, jth swaption, symmetric contract, forward payer swap, infinite arrival rate, forward swaption, swaption delta, auxiliary economy, asymptotic arbitrage, corridor variance, imperfect market models, optimal exercise time, variance gamma process, spot martingale measure, swaption formula, transaction costs coefficients, squared costs, vol approx, swaption maturity, defaultable claim, forward rate equation, arbitrage intervals Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, New York, Journal of Finance, Review of Financial Studies, Cambridge University Press, Annals of Applied Probability, Management Science, Journal of Financial Economics, Operations Research, Proof Let, Journal of Business, Journal of Computational Finance, Journal of Economic Theory, Séminaire de Probabilités, University of New South Wales, Annals of Probability, Henri Poincaré, Journal of Derivatives, Financial Analysts Journal, Mathematics of Derivative Securities, Risk Publications, Strike Model, Journal of Political Economy, New Jersey, Princeton University Press New!
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We shall consider models where an investor, acting on a financial market with random price movements and having T as his time horizon, transforms the initial endowment into a certain resulting wealth; let RT denote the set of all final wealth corresponding to possible investment strategies. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
multibeta model, log arrival rates, occupation time derivatives, forward swap measure, jth swaption, symmetric contract, forward payer swap, infinite arrival rate, forward swaption, swaption delta, auxiliary economy, asymptotic arbitrage, corridor variance, imperfect market models, optimal exercise time, variance gamma process, spot martingale measure, swaption formula, transaction costs coefficients, squared costs, vol approx, swaption maturity, defaultable claim, forward rate equation, arbitrage intervals Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, New York, Journal of Finance, Review of Financial Studies, Cambridge University Press, Annals of Applied Probability, Management Science, Journal of Financial Economics, Operations Research, Proof Let, Journal of Business, Journal of Computational Finance, Journal of Economic Theory, Séminaire de Probabilités, University of New South Wales, Annals of Probability, Henri Poincaré, Journal of Derivatives, Financial Analysts Journal, Mathematics of Derivative Securities, Risk Publications, Strike Model, Journal of Political Economy, New Jersey, Princeton University Press New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Front Flap | Table of Contents | First Pages | Back Flap | Back Cover | Surprise Me!
Citations (learn more)
This book cites 71
books:
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- Mathematics of Derivative Securities (Publications of the Newton Institute) by Michael A. H. Dempster on 6 pages
- Mathematical Finance (The IMA Volumes in Mathematics and its Applications) by Mark H.A. Davis on 5 pages
- Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics) by Ioannis Karatzas on 5 pages
- Convex Analysis (Princeton Landmarks in Mathematics and Physics) by Ralph Tyrell Rockafellar on page 41, page 631, and page 668
- Martingale Methods in Financial Modelling (Stochastic Modelling and Applied Probability) by Marek Musiela on page 313, page 394, and page 457
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