Finance Economics and Mathematics 1st Edition by Oldrich Vasicek, Robert Merton ISBN 1119122201 978-1119122203

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Product details: 

ISBN 10:  1119122201

ISBN 13:  978-1119122203

Author: Oldrich A. Vasicek, Robert C. Merton

The compiled works of the man behind the evolution of quantitative finance
Finance, Economics, and Mathematics is the complete Vasicek reference work, including published and unpublished work and interviews with the man himself. The name Oldrich A. Vasicek is synonymous with cutting-edge research in the finance fields, and this book comes straight from the source to bring you the undiluted mother lode of quant wisdom from one of the founders of the field. From his early work in yield curve dynamics, to the mean-reverting short-rate model, to his thoughts on derivatives pricing, to his work on credit risk, to his most recent research on the economics of interest rates, this book represents the life’s work of an industry leader. Going beyond the papers, you’ll also find the more personal side inspirational as Vasicek talks about the academics and professionals who made lasting impressions and collaborated, debated, and ultimately helped spawn some of his greatest thinking.

Oldrich Vasicek has won virtually every important award and prize for his groundbreaking research in quantitative finance. You’ve followed his work for years; this book puts it all in a single volume to give you the definitive reference you’ll turn to again and again.

Explore Vasicek’s insights on topics he helped create
Discover his research and ideas that have gone unpublished―until now
Understand yield curves and the Vasicek model from the source himself
Gain a reference collection of some of the most influential work in quantitative finance
Vasicek’s research is the foundation of one of the most important innovations in finance. Quants around the world have been influenced by his ideas, and his status as thought leader is cemented in the annals of finance history. Finance, Economics, and Mathematics is the definitive Vasicek reference every finance professional needs.

Table of contents: 

PART ONE Efforts and Opinions
1 Introduction to Part I
2 Lifetime Achievement Award (by Dwight Cass)
3 One-on-One Interview with Oldrich Alfons Vasicek (by Nina Mehta)
4 Credit Superquant (by Robert Hunter)

PART TWO Term Structure of Interest Rates
5 Introduction to Part II
6 An Equilibrium Characterization of the Term Structure
7 The Liquidity Premium
8 Term Structure Modeling Using Exponential Splines (with Gifford Fong)
9 The Heath, Jarrow, Morton Model

PART THREE General Equilibrium
10 Introduction to Part III
11 The Economics of Interest Rates
12 General Equilibrium with Heterogeneous Participants and Discrete Consumption Times
13 Independence of Production and Technology Risks
14 Risk-Neutral Economy and Zero Price of Risk

PART FOUR Credit
15 Introduction to Part IV
16 Credit Valuation
17 Probability of Loss on Loan Portfolio
18 Limiting Loan Loss Probability Distribution
19 Loan Portfolio Value
20 The Empirical Test of the Distribution of Loan Portfolio Losses

PART FIVE Markets, Portfolios, and Securities
21 Introduction to Part V
22 The Efficient Market Model (with John A. McQuown)
23 A Risk Minimizing Strategy for Portfolio Immunization (with Gifford Fong)
24 The Tradeoff between Return and Risk in Immunized Portfolios (with Gifford Fong)
25 Bond Performance: Analyzing Sources of Return (with Gifford Fong and Charles J. Pearson)
26 The Best-Return Strategy
27 Volatility: Omission Impossible (with Gifford Fong and Daihyun Yoo)
28 A Multidimensional Framework for Risk Analysis (with Gifford Fong)
29 Plugging into Electricity (with Hélyette Geman)
30 Pricing of Energy Derivatives

PART SIX Probability Theory and Statistics
31 Introduction to Part VI
32 A Note on Using Cross-sectional Information in Bayesian Estimation of Security Betas
33 A Series Expansion for the Bivariate Normal Integral
34 A Conditional Law of Large Numbers
35 A Test for Normality Based on Sample Entropy
36 Monotone Measures of Ergodicity for Markov Chains (with Julian Keilson)
37 An Inequality for the Variance of Waiting Time under a General Queueing Discipline

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Tags: Oldrich Vasicek, Robert Merton, Finance Economics