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Editorial Reviews
Review
"The papers are of exceptionally high quality, and the book works on different levels--as an introduction to the field or its particular aspects, as a survey of existing theories, models and techniques, and as a source for getting insight about important new directions and unsolved problems." Jaksa Cvitani^D'c, Mathematical Reviews
Product Description
The papers in this volume address various aspects of financial derivatives that range from abstract financial theory to practical issues pertaining to the pricing and hedging of interest rate derivatives and exotic options in the market place. This broad and important collection will interest both academic scholars and financial engineers.
See all Editorial Reviews
"The papers are of exceptionally high quality, and the book works on different levels--as an introduction to the field or its particular aspects, as a survey of existing theories, models and techniques, and as a source for getting insight about important new directions and unsolved problems." Jaksa Cvitani^D'c, Mathematical Reviews
Product Description
The papers in this volume address various aspects of financial derivatives that range from abstract financial theory to practical issues pertaining to the pricing and hedging of interest rate derivatives and exotic options in the market place. This broad and important collection will interest both academic scholars and financial engineers.
See all Editorial Reviews
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Inside This Book Citations: This book cites 59 books | 58 books that cite this book Explore: Citations | Books on Related Topics | Concordance | Text Stats Key Phrases - SIPs: local risk minimizing strategy, tailed stack, perfect replicating strategy, extreme arbitrage opportunity, filtered prices (more) Key Phrases - CAPs: Monte Carlo, Journal of Finance, Bank of England, Journal of Financial Economics, Isaac Newton Institute (more) Browse Sample Pages: Front Cover | Copyright | Table of Contents | Excerpt | Back Cover | Surprise Me! |
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Inside This Book
(learn more)
First Sentence:
This book is one of several volumes of proceedings of the Mathematical Finance Programme held from January through June 1995 at the Isaac Newton Institute for Mathematical Sciences, Cambridge, England. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
local risk minimizing strategy, tailed stack, perfect replicating strategy, extreme arbitrage opportunity, filtered prices, low discrepancy algorithms, local risk minimization, diffusion state variable, extreme arbitrage opportunities, ten tranches, approximating chain, log discounts, hedge errors, bond price process, diff swap, computing high dimensional integrals, monthly errors, antithetic variables, replicating assets, numeraire portfolio, stock price evolves, rollover gains, discount bond prices, algorithm wins, roll hedge Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Journal of Finance, Bank of England, Journal of Financial Economics, Isaac Newton Institute, Review of Financial Studies, Black Scholes, Cumulative Errors, Cambridge University Press, New York, Springer Verlag, Journal of Business, Numerical Recipes, Academic Press, Annals of Applied Probability, Columbia University, Cumulative Hedge Errors, Stanford University, Capital Markets, North Holland, Proof of Lemma, Banque de France, Cornell University, Journal of&nbs
This book is one of several volumes of proceedings of the Mathematical Finance Programme held from January through June 1995 at the Isaac Newton Institute for Mathematical Sciences, Cambridge, England. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
local risk minimizing strategy, tailed stack, perfect replicating strategy, extreme arbitrage opportunity, filtered prices, low discrepancy algorithms, local risk minimization, diffusion state variable, extreme arbitrage opportunities, ten tranches, approximating chain, log discounts, hedge errors, bond price process, diff swap, computing high dimensional integrals, monthly errors, antithetic variables, replicating assets, numeraire portfolio, stock price evolves, rollover gains, discount bond prices, algorithm wins, roll hedge Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Journal of Finance, Bank of England, Journal of Financial Economics, Isaac Newton Institute, Review of Financial Studies, Black Scholes, Cumulative Errors, Cambridge University Press, New York, Springer Verlag, Journal of Business, Numerical Recipes, Academic Press, Annals of Applied Probability, Columbia University, Cumulative Hedge Errors, Stanford University, Capital Markets, North Holland, Proof of Lemma, Banque de France, Cornell University, Journal of&nbs