Handbooks in Operations Research and Management Science: Financial Engineering

Edited by

John Birge, Robert R. McCormick School of Engineering, Northwestern University, Evanston, IL, U.S.A.
Vadim Linetsky, Department of Industrial Engineering, Northwestern University, Evanston, IL, U.S.A.

Audience
Graduate students of finance, international business, and economics

Included in series
Handbooks in Operations Research and Management Science

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Hardbound, 1026 Pages

Published: October 2007

Imprint: Elsevier

ISBN: 978-0-444-51781-4

I. IntroductionJohn Birge & Vadim LinetskyChapter 1. A Partial Introduction to Financial Asset Pricing Theory Robert Jarrow & Philip ProtterII. Derivative Securities: Models and MethodsChapter 2. Jump-Diffusion ModelsSteven Kou Chapter 3. Modeling Financial Security Returns Using Levy ProcessesLiuren Wu Chapter 4. Pricing with Wishart Risk Factors Christian Gourieroux & Razvan SufanaChapter 5. Volatility EstimationFederico Bandi and Jeff Russell Chapter 6. Spectral Methods in Derivatives PricingVadim LinetskyChapter 7. Variational Methods in Derivatives Pricing Liming Feng, Pavlo Kovalov & Vadim Linetsky Chapter 8. Discrete Path-Dependent OptionsSteven Kou III. Interest Rate and Credit Risk Models and Derivatives Chapter 9. Topics in Interest Rate TheoryTomas Bjork Chapter 10. Calculating Portfolio Credit RiskPaul GlassermanChapter 11. Valuation of Basket Credit Derivatives in the Credit Migrations EnvironmentTomasz Bielecki, Stephane Crepey, Monique Jeanblanc & Marek Rutkowski IV. Incomplete Markets Chapter 12. Incomplete MarketsJeremy StaumChapter 13. Option Pricing: Real and Risk-Neutral Distributions George Constantinides, Jens Jackwerth & Stylianos PerrakisChapter 14. Total Risk Minimization Using Monte Carlo SimulationsThomas Coleman, Yuying Li & Maria-Cristina Patron Chapter 15. Queuing-Theoretic Approaches to Financial Price Fluctuations Erhan Bayraktar, Ulrich Horst & Ronnie Sircar V. Risk Management Chapter 16. Economic Credit Capital Allocation and Risk Contributions Helmut Mausser & Dan RosenChapters 17. Liquidity Risk and Option Pricing Theory Robert Jarrow & Phillip Protter Chapter 18. Financial Engineering: Applications in InsurancePhelim Boyle & Mary Hardy, VI. Portfolio Optimization Chapter 19. Dynamic Portfolio Choice and Risk Aversion Costis Skiadas Chapter 20. Optimization Methods in Portfolio ManagementJohn BirgeChapter 21. Simulation Methods for Optimal PortfoliosJerome Detemple, Rene Garcia & Marcel RindisbacherChapter 22. Duality Theory and Approximate Dynamic Programming for Pricing American Options and Portfolio OptimizationMartin Haugh & Leonid Kogan Chapter 23. Asset Allocation with Multivariate Non-Gaussian Returns Dilip Madan & Ju-Yi YenChapter 24. Large Deviation Techniques and Financial Applications Phelim Boyle, Shui Feng & Weidong Tian

Handbooks in Operations Research and Management Science: Financial Engineering

Contents