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New Directions in Mathematical Finance

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Description

"New Directions in Mathematical Finance" is based on a conference held in Milan in December 1999 on the theme of financial modelling. The conference gathered together leading names from the world of quantitative finance to discuss modelling techniques in a wide variety of areas of financial engineering. The contributions featured in this volume are all new items that are based on each leading speaker's presentation topic at the conference. The themes covered in each chapter entry include: dynamic, deterministic and static optimal portfolio strategies in a mean-variance framework under stochastic interest rates; equity dividend bonds; pricing bond options in a worst-case scenario; a role for psychology in explaining investor behaviour; log-concavity and elasticity of option prices.

Author Biography:

PAUL WILMOTT is a leading protagonist in quantitative finance. He has published many landmark books including Paul Wilmott on Quantitative Finance and Paul Wilmott Introduces Quantitative Finance (both published by John Wiley & Sons Ltd). If you want to learn more about him, try his quantitative finace e-zine. HENRIK RASMUSSEN is a quantitative analyst at Schroder Salomon Smith Barney (Citigroup) in London, developing models and pricing tools for traders of exotic fixed-income and hybrid derivatives. He holds a Ph.D from the University of Cambridge and has held post-doctorate positions at universities in Britain, France and Italy. Currently, he is a visiting research fellow at the Oxford Centre for Industrial and Applied Mathematics (OCIAM), Mathematical Institute, University of Oxford.
Release date Australia
February 19th, 2002
Audience
  • Professional & Vocational
Contributors
  • Edited by Henrik Rasmussen
  • Edited by Paul Wilmott
Pages
208
Dimensions
177x251x19
ISBN-13
9780471498179
Product ID
3081569

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