New directions in mathematical finance:
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Chichester
Wiley
2002
|
| Series: | Wiley finance
|
| Subjects: | |
| Online Access: | Publisher description Table of contents Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | XII, 192 S. Ill., graph. Darst. |
| ISBN: | 0471498173 |
Staff View
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| 245 | 1 | 0 | |a New directions in mathematical finance |c ed. by Paul Wilmott and Henrik Rasmussen |
| 264 | 1 | |a Chichester |b Wiley |c 2002 | |
| 300 | |a XII, 192 S. |b Ill., graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Wiley finance | |
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| 650 | 7 | |a Bedrijfsfinanciën |2 gtt | |
| 650 | 7 | |a Gestion des risques |2 rasuqam | |
| 650 | 7 | |a Marché des actions |2 rasuqam | |
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| 650 | 7 | |a Placement financier |2 rasuqam | |
| 650 | 7 | |a Risque financier |2 rasuqam | |
| 650 | 7 | |a Taux d'intérêt |2 rasuqam | |
| 650 | 7 | |a Valeur mobilière |2 rasuqam | |
| 650 | 7 | |a Valeur à risque |2 rasuqam | |
| 650 | 7 | |a Wiskundige modellen |2 gtt | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Securities -- Mathematical models | |
| 650 | 4 | |a Investments -- Mathematical models | |
| 650 | 4 | |a Risk management -- Mathematical models | |
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Contents Preface xi
1 The quantitative finance timeline 1
Paul Wilmott
1827 Brown 1
1900 Bachelier 1
1905 Einstein 1
1923 Wiener 1
1950s Samuelson 1
1951 Ito 2
1952 Markowitz 2
1963 Sharpe, Lintner and Mossin 3
1966 Fama 3
1960s Sobol , Faure, Hammersley, Haselgrove, Halton... 3
1968 Thorp 4
1973 Black, Scholes and Merton 4
1977 Boyle 5
1977 Vasicek 5
1979 Cox, Ross, Rubinstein 6
1979 81 Harrison, Kreps, Pliska 6
1986 Ho and Lee 7
1992 Heath, Jarrow and Morton 7
1990s Credit risk 7
1990s Cheyette, Barrett, Moore, Wilmott 7
1994 Dupire, Rubinstein, Derman and Kani 8
1996 Avellaneda and Paras 8
And the Nobel Prize for Economics goes to ... 9
Bibliography 9
vi Contents
Part One New Directions in Equity Modelling 11
2 Introduction 13
Chapters 3 to 6 14
Asymptotic analysis of stochastic volatility models 14
Passport options: a review 15
Equity dividend models 15
Isoperimetry, log concavity and elasticity of option prices 16
Models needed 16
Bibliography 17
3 Asymptotic analysis of stochastic volatility models 19
Henrik Rasmussen and Paul Wilmott
Introduction 19
Conditions on the models 20
Examples of models 21
Scott s model 21
The Heston/Ball Roma model 22
Notation 22
Asymptotic analysis 23
Vanilla options: asymptotics for values 26
Vanilla options: implied volatilities 28
Acknowledgement 31
References 31
4 Passport options: a review 33
Antony Penaud
Introduction 33
The vanilla passport option 34
The stochastic control approach 34
The martingale approach 36
Utility of trading passport 37
Exotic passport options 42
Multi asset passport option 42
Discrete trading constraints 44
Vacation calls and vacation puts 47
Miscellaneous exotic 49
Conclusion 51
References 52
5 Equity dividend models 55
David Bakstein and Paul Wilmott
Introduction 55
Effects of dividends on asset prices 56
Frictionless markets 56
Market frictions 57
Contents vii
Non stochastic dividend models 58
Known dividends 58
Non Markovian models 61
, Non linear models 62
Stochastic dividend models 66
Diffusive dividend processes 66
Random jump processes 68
Criteria for model choice and summary 69
Sensitivity ratios 70
Time to expiry 70
Computational cost 70
Type of instrument 70
References 71
6 Isoperimetry, log concavity and elasticity of option prices 73
Christer Borell
Introduction 73
A brief review of isoperimetry in option pricing 73
Log concavity 76
Log concavity applied to option pricing 84
References 91
Part Two New Directions in Interest Rate Modelling 93
7 Introduction 95
Chapters 8 and 9 96
Dynamic, deterministic and static optimal portfolio strategies in a
mean variance framework under stochastic interest rates 96
Pricing bond options in a worst case scenario 97
Models needed 98
Bibliography 99
8 Dynamic, deterministic and static optimal portfolio strategies
in a mean variance framework under stochastic interest rates 101
Isabelle Bajeux Besnainou and Roland Portait
Introduction 101
The framework 102
Mean variance efficient strategies when stochastic
rebalancing is allowed 104
Predetermined weights: deterministic mean variance
dynamic efficiency 105
Buy and hold strategies 06
Simulations and comparison of the different cases 107
Appendix A 108
Appendix B 113
Notes 114
References U4
viii Contents
9 Pricing bond options in a worst case scenario 117
David Epstein and Paul Wilmott
Introduction 117
A worst case scenario valuation 118
The pricing problem with optionality 119
Pricing a European option on a zero coupon bond 119
Hedging the European option with the underlying zero coupon bond 121
Hedging the European option with other instruments 123
Pricing and hedging American options 128
Conclusion 131
References 132
Part Three New Directions in Risk Management 135
10 Introduction 137
Chapters 11 to 13 137
Implementing VaR by historical simulation 137
CrashMetrics 138
Herding in financial markets: a role for psychology in explaining
investor behaviour? 138
Models needed 138
Bibliography 139
11 Implementing VaR by historical simulation 141
Aldo Nassigh, Andrea Piazzetta and Ferdinando Samaria
Introduction 141
Historical simulation: the partial revaluation approach 141
Implementing Value at Risk: a practical example 144
Conclusion 151
References 151
12 CrashMetrics 153
Philip Hua and Paul Wilmott
Introduction 153
Why do banks go broke? 153
Market crashes 153
CrashMetrics 154
CrashMetrics for one stock 155
Portfolio optimisation and the Platinum Hedge 157
The multi asset/single index model 157
Portfolio optimisation and the Platinum Hedge in the
multi asset model 161
The multi index model 162
Crash dispersion 163
Bias effects I63
Analysis of data 164
Contents ix
Margin calls and margin hedging 165
What is margin? 165
Modelling margin 165
Counterparty risk 166
Simple extensions to CrashMetrics 166
The CrashMetrics Index 166
Summary 167
Further reading 167
13 Herding in financial markets: a role for psychology in
explaining investor behaviour? 169
Henriette Prast
Introduction 169
Herding in economic theory 169
Psychology in finance: existing research 172
The psychology of crowd behaviour: the theory of
cognitive dissonance 174
Principle of congruity 174
The theory of cognitive dissonance 174
Conclusions 177
Notes 178
References 179
Further reading 181
Author biographies 183
Index 187
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| spelling | New directions in mathematical finance ed. by Paul Wilmott and Henrik Rasmussen Chichester Wiley 2002 XII, 192 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance Includes bibliographical references and index Bedrijfsfinanciën gtt Gestion des risques rasuqam Marché des actions rasuqam Modèle mathématique rasuqam Placement financier rasuqam Risque financier rasuqam Taux d'intérêt rasuqam Valeur mobilière rasuqam Valeur à risque rasuqam Wiskundige modellen gtt Mathematisches Modell Securities -- Mathematical models Investments -- Mathematical models Risk management -- Mathematical models Finanzmathematik (DE-588)4017195-4 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Finanzmathematik (DE-588)4017195-4 s DE-604 Wilmott, Paul Sonstige oth Rasmussen, Henrik Sonstige oth http://www.loc.gov/catdir/description/wiley035/2001055797.html Publisher description http://www.loc.gov/catdir/toc/wiley021/2001055797.html Table of contents HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009878752&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | New directions in mathematical finance Bedrijfsfinanciën gtt Gestion des risques rasuqam Marché des actions rasuqam Modèle mathématique rasuqam Placement financier rasuqam Risque financier rasuqam Taux d'intérêt rasuqam Valeur mobilière rasuqam Valeur à risque rasuqam Wiskundige modellen gtt Mathematisches Modell Securities -- Mathematical models Investments -- Mathematical models Risk management -- Mathematical models Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4143413-4 |
| title | New directions in mathematical finance |
| title_auth | New directions in mathematical finance |
| title_exact_search | New directions in mathematical finance |
| title_full | New directions in mathematical finance ed. by Paul Wilmott and Henrik Rasmussen |
| title_fullStr | New directions in mathematical finance ed. by Paul Wilmott and Henrik Rasmussen |
| title_full_unstemmed | New directions in mathematical finance ed. by Paul Wilmott and Henrik Rasmussen |
| title_short | New directions in mathematical finance |
| title_sort | new directions in mathematical finance |
| topic | Bedrijfsfinanciën gtt Gestion des risques rasuqam Marché des actions rasuqam Modèle mathématique rasuqam Placement financier rasuqam Risque financier rasuqam Taux d'intérêt rasuqam Valeur mobilière rasuqam Valeur à risque rasuqam Wiskundige modellen gtt Mathematisches Modell Securities -- Mathematical models Investments -- Mathematical models Risk management -- Mathematical models Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Bedrijfsfinanciën Gestion des risques Marché des actions Modèle mathématique Placement financier Risque financier Taux d'intérêt Valeur mobilière Valeur à risque Wiskundige modellen Mathematisches Modell Securities -- Mathematical models Investments -- Mathematical models Risk management -- Mathematical models Finanzmathematik Aufsatzsammlung |
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