Finance, economics and mathematics : the essential Vasicek /

Finance, economics and mathematics : the essential Vasicek /

Bibliographic Details
Main Author: Vasicek, Oldrich Alfons, 1941- (Author)
Format: eBook
Language:English
Published: Singapore ; Hoboken, NJ : John Wiley & Sons, [2015]
Subjects:
Finance.
Economics.
Economics, Mathematical.
BUSINESS & ECONOMICS / Finance
Electronic books.
Online Access:Full Text via HEAL-Link
Table of Contents:
  • Part One: Efforts and Opinions
  • Part One: Efforts and Opinions. Introduction to Part I
  • Lifetime Achievement Award / Dwight Cass
  • One-on-One Interview with Oldrich Alfons Vasicek / Nina Mehta
  • Credit Superquant / Robert Hunter
  • Part Two: Term Structure of Interest Rates
  • Part Two: Term Structure of Interest Rates. Introduction to Part II
  • An Equilibrium Characterization of the Term Structure
  • The Liquidity Premium
  • Term Structure Modeling Using Exponential Splines / Oldrich A Vasicek, H Gifford Fong
  • The Heath, Jarrow, Morton Model
  • Part Three: General Equilibrium
  • Part Three: General Equilibrium. Introduction to Part III
  • The Economics of Interest Rates
  • General Equilibrium with Heterogeneous Participants and Discrete Consumption Times
  • Independence of Production and Technology Risks
  • Risk-Neutral Economy and Zero Price of Risk
  • Part Four: Credit
  • Part Four: Credit. Introduction to Part IV
  • Credit Valuation
  • Probability of Loss on Loan Portfolio
  • Limiting Loan Loss Probability Distribution
  • Loan Portfolio Value
  • The Empirical Test of the Distribution of Loan Portfolio Losses
  • Part Five: Markets, Portfolios, and Securities
  • Part Five: Markets, Portfolios, and Securities. Introduction to Part V
  • The Efficient Market Model / Oldrich A Vasicek, John A McQuown
  • A Risk Minimizing Strategy for Portfolio Immunization / H Gifford Fong, Oldrich A Vasicek
  • The Tradeoff between Return and Risk in Immunized Portfolios / H Gifford Fong, Oldrich Vasicek
  • Bond Performance: Analyzing Sources of Return / Gifford Fong, Charles Pearson, Oldrich Vasicek
  • The Best-Return Strategy
  • Volatility: Omission Impossible / Gifford Fong, Oldrich Vasicek, Daihyun Yoo
  • A Multidimensional Framework for Risk Analysis / Gifford Fong, Oldrich A Vasicek
  • Plugging into Electricity / Hélyette Geman, Oldrich Vasicek
  • Pricing of Energy Derivatives
  • Part Six: Probability Theory and Statistics
  • Part Six: Probability Theory and Statistics. Introduction to Part VI
  • A Note on Using Cross-sectional Information in Bayesian Estimation of Security Betas
  • A Series Expansion for the Bivariate Normal Integral
  • A Conditional Law of Large Numbers
  • A Test for Normality Based on Sample Entropy
  • Monotone Measures of Ergodicity for Markov Chains / Julian Keilson, Oldrich Vasicek
  • An Inequality for the Variance of Waiting Time under a General Queueing Discipline.

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