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Finance, economics and mathematics : the essential Vasicek

Author: Oldrich Alfons Vasicek
Publisher: Singapore ; Hoboken, NJ : John Wiley & Sons, [2015]
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:

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finance Finance, Economics, and Mathematics is the complete Vasicek reference work, including published and unpublished work and  Read more...

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Genre/Form: Electronic books
Additional Physical Format: Print version:
Vasicek, Oldrich Alfons, 1941-
Finance, economics and mathematics.
Singapore ; Hoboken, NJ : John Wiley & Sons, [2015]
(DLC) 2015026777
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Oldrich Alfons Vasicek
ISBN: 9781119186205 111918620X 9781119186212 1119186218 9781119186229 1119186226 1119122201 9781119122203
OCLC Number: 914256861
Description: 1 online resource
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.
Other Titles: Essays.
Responsibility: Oldrich Alfons Vasicek.

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