Description
I. Introduction John Birge & Vadim Linetsky Chapter 1. A Partial Introduction to Financial Asset Pricing Theory Robert Jarrow & Philip Protter II. Derivative Securities: Models and Methods Chapter 2. Jump-Diffusion Models Steven Kou Chapter 3. Modeling Financial Security Returns Using Levy Processes Liuren Wu Chapter 4. Pricing with Wishart Risk Factors Christian Gourieroux & Razvan Sufana Chapter 5. Volatility Estimation Federico Bandi and Jeff Russell Chapter 6. Spectral Methods in Derivatives Pricing Vadim Linetsky Chapter 7. Variational Methods in Derivatives Pricing Liming Feng, Pavlo Kovalov & Vadim Linetsky Chapter 8. Discrete Path-Dependent Options Steven Kou III. Interest Rate and Credit Risk Models and Derivatives Chapter 9. Topics in Interest Rate Theory Tomas Bjork Chapter 10. Calculating Portfolio Credit Risk Paul Glasserman Chapter 11. Valuation of Basket Credit Derivatives in the Credit Migrations Environment Tomasz Bielecki, Stephane Crepey, Monique Jeanblanc & Marek Rutkowski IV. Incomplete Markets Chapter 12. Incomplete Markets Jeremy Staum Chapter 13. Option Pricing: Real and Risk-Neutral Distributions George Constantinides, Jens Jackwerth & Stylianos Perrakis Chapter 14. Total Risk Minimization Using Monte Carlo Simulations Thomas Coleman, Yuying Li & Maria-Cristina Patron Chapter 15. Queuing-Theoretic Approaches to Financial Price Fluctuations Erhan Bayraktar, Ulrich Horst & Ronnie Sircar V. Risk Management Chapter 16. Economic Credit Capital Allocation and Risk Contributions Helmut Mausser & Dan Rosen Chapters 17. Liquidity Risk and Option Pricing Theory Robert Jarrow & Phillip Protter Chapter 18. Financial Engineering: Applications in Insurance Phelim Boyle & Mary Hardy, VI. Portfolio Optimization Chapter 19. Dynamic Portfolio Choice and Risk Aversion Costis Skiadas Chapter 20. Optimization Methods in Portfolio Management John Birge Chapter 21. Simulation Methods for Optimal Portfolios Jerome Detemple, Rene Garcia & Marcel Rindisbacher Chapter 22. Duality Theory and Approximate Dynamic Programming for Pricing American Options and Portfolio Optimization Martin Haugh & Leonid Kogan Chapter 23. Asset Allocation with Multivariate Non-Gaussian Returns Dilip Madan & Ju-Yi Yen Chapter 24. Large Deviation Techniques and Financial Applications Phelim Boyle, Shui Feng & Weidong Tian
