Description
Book SynopsisThe 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finance Finance, Economics, and Mathematics is the complete Vasicek reference work, including published and unpublished work and interviews with the man himself.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 think
Table of Contents
Foreword (by Robert C. Merton) ix
Preface xi
PART ONE Efforts and Opinions 1
CHAPTER 1 Introduction to Part I 3
CHAPTER 2 Lifetime Achievement Award (by Dwight Cass) 7
CHAPTER 3 One-on-One Interview with Oldrich Alfons Vasicek (by Nina Mehta) 13
CHAPTER 4 Credit Superquant (by Robert Hunter) 21
PART TWO Term Structure of Interest Rates 27
CHAPTER 5 Introduction to Part II 29
CHAPTER 6 An Equilibrium Characterization of the Term Structure 33
CHAPTER 7 The Liquidity Premium 45
CHAPTER 8 Term Structure Modeling Using Exponential Splines (with Gifford Fong) 49
CHAPTER 9 The Heath, Jarrow, Morton Model 63
PART THREE General Equilibrium 65
CHAPTER 10 Introduction to Part III 67
CHAPTER 11 The Economics of Interest Rates 71
CHAPTER 12 General Equilibrium with Heterogeneous Participants and Discrete Consumption Times 89
CHAPTER 13 Independence of Production and Technology Risks 107
CHAPTER 14 Risk-Neutral Economy and Zero Price of Risk 111
PART FOUR Credit 125
CHAPTER 15 Introduction to Part IV 127
CHAPTER 16 Credit Valuation 131
CHAPTER 17 Probability of Loss on Loan Portfolio 143
CHAPTER 18 Limiting Loan Loss Probability Distribution 147
CHAPTER 19 Loan Portfolio Value 149
CHAPTER 20 The Empirical Test of the Distribution of Loan Portfolio Losses 161
PART FIVE Markets, Portfolios, and Securities 163
CHAPTER 21 Introduction to Part V 165
CHAPTER 22 The Efficient Market Model (with John A. McQuown) 169
CHAPTER 23 A Risk Minimizing Strategy for Portfolio Immunization (with Gifford Fong) 195
CHAPTER 24 The Tradeoff between Return and Risk in Immunized Portfolios (with Gifford Fong) 203
CHAPTER 25 Bond Performance: Analyzing Sources of Return (with Gifford Fong and Charles J. Pearson) 213
CHAPTER 26 The Best-Return Strategy 223
CHAPTER 27 Volatility: Omission Impossible (with Gifford Fong and Daihyun Yoo) 237
CHAPTER 28 A Multidimensional Framework for Risk Analysis (with Gifford Fong) 247
CHAPTER 29 Plugging into Electricity (with Hélyette Geman) 261
CHAPTER 30 Pricing of Energy Derivatives 277
PART SIX Probability Theory and Statistics 281
CHAPTER 31 Introduction to Part VI 283
CHAPTER 32 A Note on Using Cross-sectional Information in Bayesian Estimation of Security Betas 287
CHAPTER 33 A Series Expansion for the Bivariate Normal Integral 297
CHAPTER 34 A Conditional Law of Large Numbers 305
CHAPTER 35 A Test for Normality Based on Sample Entropy 315
CHAPTER 36 Monotone Measures of Ergodicity for Markov Chains (with Julian Keilson) 325
CHAPTER 37 An Inequality for the Variance of Waiting Time under a General Queueing Discipline 333
About the Author 339
Index 341
