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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
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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.
See all Editorial Reviews
'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
Product Description
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.
See all Editorial Reviews
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Inside This Book Citations: This book cites 71 books Explore: Citations | Books on Related Topics | Concordance | Text Stats Key Phrases - SIPs: multibeta model, log arrival rates, occupation time derivatives, forward swap measure, jth swaption (more) Key Phrases - CAPs: Monte Carlo, New York, Journal of Finance, Review of Financial Studies, Cambridge University Press (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:
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 | Copyright | Table of Contents | Excerpt | Back Cover | Surprise Me!
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 | Copyright | Table of Contents | Excerpt | Back Cover | Surprise Me!
Citations (learn more)
This book cites 71
books:
- 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
- Brown