| Description |
1 online resource (1 volume) : illustrations |
| Contents |
Title Page; Copyright; Table of Contents; Foreword; Preface; Part One: Efforts and Opinions; Chapter 1: Introduction to Part I; Chapter 2: Lifetime Achievement Award; Inspiration; Pioneering; Chapter 3: One-on-One Interview with Oldrich Alfons Vasicek; Chapter 4: Credit Superquant; Good Company; Credit Is Due; Part Two: Term Structure of Interest Rates; Chapter 5: Introduction to Part II; Chapter 6: An Equilibrium Characterization of the Term Structure; Abstract; Introduction; Notation and Assumptions; The Term Structure Equation; Stochastic Representation of the Bond Price; A Specific Case |
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Introduction The Equilibrium Economy; Discrete Consumption Times; Proof of Convergence; Concluding Remarks; References; Chapter 13: Independence of Production and Technology Risks; References; Chapter 14: Risk-Neutral Economy and Zero Price of Risk; Abstract; Introduction; An Economy in Equilibrium; The Risk-Neutral Economy; An Economy with Zero Price of Risk; References; Part Four: Credit; Chapter 15: Introduction to Part IV; Chapter 16: Credit Valuation; The Approach; The Firm's Value; Loan Default; Debt Structure; Capital Flows; Loan Pricing; Portfolio Diversification; Summary |
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Chapter 17: Probability of Loss on Loan Portfolio Chapter 18: Limiting Loan Loss Probability Distribution; Chapter 19: Loan Portfolio Value; The Limiting Distribution of Portfolio Losses; Properties of the Loss Distribution; The Risk-Neutral Distribution; The Portfolio Market Value; Adjustment for Granularity; Summary; References; Chapter 20: The Empirical Test of the Distribution of Loan Portfolio Losses; Part Five: Markets, Portfolios, and Securities; Chapter 21: Introduction to Part V; Chapter 22: The Efficient Market Model; Introduction and Summary; Risk, Risk Aversion, and Compensation |
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Measurement of Risk and Return Efficient Market Hypothesis; The Role of the Portfolio in Risk Reduction; The Capital Asset Pricing Model; Generalization of the Model; Conclusion; References; Chapter 23: A Risk Minimizing Strategy for Portfolio Immunization; Abstract; Introduction; Immunization Risk; Appendix: Proof of the Theorem; References; Chapter 24: The Trade off between Return and Risk in Immunized Portfolios; Abstract; Introduction; Portfolio Value and Interest Rate Changes; Immunization Risk; Confidence Intervals; Risk and Return; References |
| 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 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 |
| Bibliography |
Includes bibliographical references and index |
| Notes |
Description based on print version record |
| Subject |
Finance.
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Economics.
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Economics, Mathematical.
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Economics
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finance.
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economics.
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Economics
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Economics, Mathematical
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Finance
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| Form |
Electronic book
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