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| HANDBOOKS IN OPERATIONS RESEARCH AND MANAGEMENT SCIENCE: FINANCIAL ENGINEERING, 15
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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.
Included in series
Handbooks in Operations Research and Management Science,
Audience
Graduate students of finance, international business, and economics
Contents
I. Introduction
John Birge & Vadim Linetsky
Chapter 1. A Partial Introduction to Financial Asset Pricing Theory
Robert Jarrow & Philip
Protter
II. Derivative Securities: Models and Methods
Chapter 2. Jump-Diffusion Models
Steven Kou
Chapter 3. Modeling Financial Security
Returns Using Levy Processes
Liuren Wu
Chapter 4. Pricing with Wishart Risk Factors
Christian Gourieroux & Razvan Sufana
Chapter
5. Volatility Estimation
Federico Bandi and Jeff Russell
Chapter 6. Spectral Methods in Derivatives Pricing
Vadim Linetsky
Chapter
7. Variational Methods in Derivatives Pricing
Liming Feng, Pavlo Kovalov & Vadim Linetsky
Chapter 8. Discrete Path-Dependent Options
Steven Kou
III. Interest Rate and Credit Risk Models and Derivatives
Chapter 9. Topics in Interest Rate Theory
Tomas Bjork
Chapter
10. Calculating Portfolio Credit Risk
Paul Glasserman
Chapter 11. Valuation of Basket Credit Derivatives in the Credit Migrations Environment
Tomasz Bielecki, Stephane Crepey, Monique Jeanblanc & Marek Rutkowski
IV. Incomplete Markets
Chapter 12. Incomplete Markets
Jeremy
Staum
Chapter 13. Option Pricing: Real and Risk-Neutral Distributions
George Constantinides, Jens Jackwerth & Stylianos Perrakis
Chapter 14. Total Risk Minimization Using Monte Carlo Simulations
Thomas 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 Rosen
Chapters 17. Liquidity Risk and Option Pricing Theory
Robert Jarrow & Phillip Protter
Chapter 18. Financial Engineering: Applications in Insurance
Phelim Boyle & Mary Hardy,
VI. Portfolio
Optimization
Chapter 19. Dynamic Portfolio Choice and Risk Aversion
Costis Skiadas
Chapter 20. Optimization Methods in Portfolio
Management
John Birge
Chapter 21. Simulation Methods for Optimal Portfolios
Jerome Detemple, Rene Garcia & Marcel Rindisbacher
Chapter
22. Duality Theory and Approximate Dynamic Programming for Pricing American Options and Portfolio Optimization
Martin Haugh & Leonid
Kogan
Chapter 23. Asset Allocation with Multivariate Non-Gaussian Returns
Dilip Madan & Ju-Yi Yen
Chapter 24. Large Deviation Techniques
and Financial Applications
Phelim Boyle, Shui Feng & Weidong Tian
| Bibliographic details |
Hardbound, 1026 pages, publication date: OCT-2007
ISBN-13: 978-0-444-51781-4
ISBN-10: 0-444-51781-2
Imprint: ELSEVIER
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EUR 156.95
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Last update: 5 Sep 2009
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