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Handbooks in Mathematical Finance
Option Pricing, Interest Rates and Risk Management

£170.00

Editors:
E. Jouini, Université Paris IX Dauphine and CREST
J. Cvitanic, University of Southern California
Marek Musiela, Parisbas, London

Yu. M. Kabanov, E. Jouini, C. Napp, J. Detemple, D. Madan, R. Garcia, É. Renault, P. Boyle, M. Broadie, P. Glasserman, T. Björk, A. Brace, T. Dun, G. Barton, B. Goldys, M. Musiela, F. Jamshidian, M. Rutkowski, T. Bielecki, P. Carr, P. Glasserman, D. Heath, E. Platen, M. Schweizer, J. Cvitanic, I. Karatzas, X. Zhao

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Date Published: July 2001
availability: Available
format: Hardback
isbn: 9780521792370

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About the Authors

This 2001 handbook surveys the state of practice, method and understanding in the field of mathematical finance. Every chapter has been written by leading researchers and each starts by briefly surveying the existing results for a given topic, then discusses more recent results and, finally, points out open problems with an indication of what needs to be done in order to solve them. The primary audiences for the book are doctoral students, researchers and practitioners who already have some basic knowledge of mathematical finance. In sum, this is a comprehensive reference work for mathematical finance and will be indispensable to readers who need to find a quick introduction or reference to a specific topic, leading all the way to cutting edge material.
- Recent advances in a burgeoning field, by leading researchers
- Wide coverage
- Each chapter presents existing results and then leads towards unsolved problems
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Reviews & endorsements
'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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Product details
- Date Published: July 2001
- format: Hardback
- isbn: 9780521792370
- length: 686 pages
- dimensions: 244 x 170 x 37 mm
- weight: 1.28kg
- contains: 40 b/w illus. 60 tables
- availability: Available
Table of Contents
Introduction
Part I. Option Pricing: Theory and Practice:
1. Arbitrage theory Yu. M. Kabanov
2. Market models with frictions: arbitrage and pricing issues E. Jouini and C. Napp
3. American options: symmetry properties J. Detemple
4. Purely discontinuous asset price processes D. Madan
5. Latent variable models for stochastic discount factors R. Garcia and É. Renault
6. Monte Carlo methods for security pricing P. Boyle, M. Broadie and P. Glasserman
Part II. Interest Rate Modeling:
7. A geometric view of interest rate theory T. Bjork
8. Towards a central interest rate model A. Brace, T. Dun and G. Barton
9. Infinite dimensional diffusions, Kolmogorov equations and interest rate models B. Goldys and M. Musiela
10. Libor market model with semimartingales F. Jamshidian
11. Modeling of forward Libor and swap rates M. Rutkowski
Part III. Risk Management and Hedging:
12. Credit risk modeling, intensity based approach T. Bielecki and M. Rutkowski
13. Towards a theory of volatility trading P. Carr and D. Madan
14. Shortfall risk in long-term hedging with short-term futures contracts P. Glasserman
15. Numerical comparison and local risk-minimisation and mean-variance hedging D. Heath, E. Platen and M. Schweizer
16. A guided tour through quadratic hedging approaches M. Schweizer
Part IV. Utility Maximization:
17. Theory of portfolio optimization in markets with frictions J. Cvitanic
18. Bayesian adaptive portfolio optimization I. Karatzas and X. Zhao.
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Editors
E. Jouini, Université Paris IX Dauphine and CREST
Elyès Jouini is Professor of Mathematics at the University of Paris IX Dauphine. He is Visiting Associate Professor of Finance at the Stern School of Business, New York University, and Head of the Finance and Insurance Laboratory at CREST-INSEE.
J. Cvitanic, University of Southern California
Jaksa Cvitanic is Professor of Mathematics at the University of Southern California.
Marek Musiela, Parisbas, London
Marek Musiela is Head of Quantitative Research at Paribas, London.
Contributors
Yu. M. Kabanov, E. Jouini, C. Napp, J. Detemple, D. Madan, R. Garcia, É. Renault, P. Boyle, M. Broadie, P. Glasserman, T. Björk, A. Brace, T. Dun, G. Barton, B. Goldys, M. Musiela, F. Jamshidian, M. Rutkowski, T. Bielecki, P. Carr, P. Glasserman, D. Heath, E. Platen, M. Schweizer, J. Cvitanic, I. Karatzas, X. Zhao