Normal view MARC view

Encyclopedia of quantitative finance

Author: Cont, Rama Publisher: Wiley, 2010.Language: EnglishDescription: Graphs ; 26 cm.ISBN: 9780470057568Type of document: BookBibliography/Index: Includes bibliographical referencesContents Note: Vol.1 "A-D", 506 p. ; Vol.2 "E-J", 488 p. ; Vol.3 "K-Q", 478 p. ; Vol.4 "R-Z", 565 p.
Item type Current location Collection Call number Status Date due Barcode Item holds
Book Europe Campus
Main Collection
Print HG106 .E63 2010 Vol.2
(Browse shelf)
001272963
Available 001272963
Book Europe Campus
Main Collection
Print HG106 .E63 2010 Vol.1
(Browse shelf)
001272956
Available 001272956
Book Europe Campus
Main Collection
Print HG106 .E63 2010 Vol.3
(Browse shelf)
001272932
Available 001272932
Book Europe Campus
Main Collection
Print HG106 .E63 2010 Vol.4
(Browse shelf)
001272949
Available 001272949
Total holds: 0

Includes bibliographical references

Vol.1 "A-D", 506 p. ; Vol.2 "E-J", 488 p. ; Vol.3 "K-Q", 478 p. ; Vol.4 "R-Z", 565 p.

Digitized

Encyclopedia of Quantitative Finance Volume 1 A-D Contents VOLUME 1 ABS Indices Accumulated Claims Actuarial Premium Principles Adverse Selection Affine Models Algorithmic Trading Alternating Direction Implicit (ADI) Method Altiplano Option Ambiguity American Options Arbitrage Bounds Arbitrage: Historical Perspectives Arbitrage Pricing Theory Arbitrage Strategy Arrow, Kenneth Arrow­Debreu Prices Asian Options Asset­Liability Management Atlas Option Autocall Automated Trading Autoregressive Moving Average (ARMA) Processes Average Strike Options Bachelier, Louis (1870 ­1946) Backtesting Backward Stochastic Differential Equations Backward Stochastic Differential Equations: Numerical Methods Barndorff-Nielsen and Shephard (BNS) Models Barrier Options Base Correlation Basket Default Swaps 1 4 7 13 16 20 30 37 39 44 53 61 71 74 76 82 87 91 107 108 111 114 120 123 127 134 Basket Options Bates Model Behavioral Portfolio Selection Bermudan Options Bermudan Swaptions and Callable Libor Exotics Bernoulli, Jacob Bid­Ask Spreads Binomial Tree Black, Fischer Black­Litterman Approach Black­Scholes Formula Bond Bond Options Bubbles and Crashes Butterfly Call Auction Markets Call Options Call Spread Capital Asset Pricing Model Caps and Floors Catastrophe Bonds CDO Square CDO Tranches: Impact on Economic Capital Change of Numeraire Cliquet Options CMS Spread Products Collateralized Debt Obligation (CDO) Options Collateralized Debt Obligations (CDO) Commodities and Numéraire Commodity Forward Curve Modeling Commodity Price Models Commodity Risk Commodity Trading Compensators Complete Markets 164 166 168 175 177 181 184 190 194 196 199 207 212 216 230 233 236 239 241 250 253 255 257 264 268 269 273 278 284 291 298 303 308 314 317 145 152 155 158 161 Conjugate Gradient Methods Constant Elasticity of Variance (CEV) Diffusion Model Constant Maturity Credit Default Swap Constant Maturity Swap Constant Proportion Portfolio Insurance Convertible Bonds Convex Duality Convex Risk Measures Convexity Adjustments Copulas: Estimation Copulas in Econometrics Copulas in Insurance Correlation Risk Correlation Swap Corridor Options Corridor Variance Swap Counterparty Credit Risk Cox­Ingersoll­Ross (CIR) Model Cramér­Lundberg Estimates Cramér's Theorem Crank­Nicolson Scheme Credibility Theory Credit Default Swap (CDS) Indices Credit Default Swap Index Options Credit Default Swaps Credit Default Swaption Credit Migration Models Credit Portfolio Insurance Credit Portfolio Simulation Credit Rating Credit Risk CreditRisk+ Credit Scoring Currency Forward Contracts Default Barrier Models Default Time Copulas Delta Hedging Discretely Monitored Options Dispersion Trading Diversification Dividend Modeling Doob­Meyer Decomposition Drawdown Minimization Duffie­Singleton Model Dupire Equation Duration Models 324 328 334 338 344 347 350 355 363 368 375 379 382 386 387 392 393 401 404 407 410 414 420 422 424 431 434 441 447 450 456 459 462 467 475 479 482 484 486 487 489 493 495 499 501 504 VOLUME 2 Early Exercise Options: Upper Bounds Econometrics of Diffusion Models Econometrics of Option Pricing Economic Capital Economic Capital Allocation Econophysics Efficient Market Hypothesis Efficient Markets Theory: Historical Perspectives Electricity Forward Contracts Electricity Markets Emissions Trading Employee Stock Options Entropy-based Estimation Equity­Credit Problem Equity Default Swaps Equity Swaps Equivalence of Probability Measures Equivalent Martingale Measures Esscher Transform Eurodollar Futures and Options Exchange Options Exchange-traded Funds (ETFs) Execution Costs Exercise Boundary Optimization Methods Expectations Hypothesis Expected Shortfall Expected Utility Maximization Expected Utility Maximization: Duality Methods Exponential Lévy Models Exposure to Default and Loss Given Default Extreme Value Theory Factor Models Filtering Filtrations Finite Difference Methods for Barrier Options Finite Difference Methods for Early Exercise Options Finite Element Methods Fisher, Irving Fixed Mix Strategy Foreign Exchange Basket Options 507 512 518 528 531 535 538 542 546 549 555 561 567 571 575 577 580 583 589 592 594 611 612 617 621 630 634 638 646 651 657 669 674 683 687 695 704 711 714 717 Foreign Exchange Markets Foreign Exchange Options Foreign Exchange Options: Deltaand At-the-money Conventions Foreign Exchange Smile Interpolation Foreign Exchange Smiles Foreign Exchange Symmetries Forward and Swap Measures Forward­Backward Stochastic Differential Equations (SDEs) Forward-starting CDO Tranche Forwards and Futures Fourier Methods in Options Pricing Fourier Transform Fractional Brownian Motion Free Lunch Fondamental Theorem of Asset Pricing Gamma Hedging Gamma Swap GARCH Models Gaussian Copula Model Gaussian Interest-Rate Models Generalized Hyperbolic Models Generalized Method of Moments (GMM) Gerber­Shiu Function Glosten­Milgrom Models Good-deal Bounds Hazard Rate Heath­Jarrow­Morton Approach Heavy Tails Heavy Tails in Insurance Hedge Fonds Hedging Hedging of Interest Rate Derivatives Heston Model High-frequency Data Himalayan Option Hull­White Stochastic Volatility Model Implied Volatility: Large Strike Asymptotics Implied Volatility: Long Maturity Behavior 722 727 731 742 745 752 760 763 770 773 778 782 787 790 792 803 807 809 820 828 833 836 841 842 846 853 856 860 873 875 881 884 889 898 904 905 Implied Volatility: Market Models Implied Volatility in Stochastic Volatility Models Implied Volatility Surface Implied Volatility: Volvol Expansion Infinite Divisibility Inflation Derivatives Insurance Derivatives Insurance Risk Models Integral Equation Methods for Free Boundaries Intensity-based Credit Risk Models Intensity Gamma Model Internal-ratings-based Approach Intraday Price Efficiency Inventory Effects Itô, Kiyosi (1915-2008) Itô's Formula Jarrow­Lando­Turnbull Model Jump-diffusion Models Jump Processes 916 920 926 931 935 938 948 952 956 963 966 968 973 976 979 981 985 987 990 VOLUME 3 Kelly Problem Kolmogorov, Andrei Nikolaevich Kou Model Kyle Model Large Deviations Large Pool Approximations 1017 Lattice Methods for Path-dependent Options Leveraged Super-senior Tranche LIBOR Market Model LIBOR Market Models: Simulation LIBOR Rate Life Insurance Limit Order Markets Liquidity Liquidity Premium Loan Valuation Local Correlation Model Local Times Local Volatility Model 1080 Lognormal Mixture Diffusion Model Long Range Dependence Long-Term Capital Management Lookback Options 995 998 999 1005 1009 1022 1027 1031 1036 1041 1042 1057 1062 1066 1071 1075 1078 1086 1088 1091 1096 909 913 Lévy Copulas Lévy Processes Managed CDO Mandelbrot, Benoit Margrabe Formula Market Microstructure Effects Market Risk Market Transparency Markov Functional Models Markov Processes Markovian Term Structure Models Markowitz, Harry Martingale Representation Theorem Martingales Mean­Variance Hedging Measurements Errors Merton Problem Merton, Robert C. Method of Lines Minimal Entropy Martingale Measure Minimal Martingale Measure Mixed Data Sampling Mixture of Distribution Hypothesis Model Calibration Model Validation Modeling Correlation of Structured Instruments in a Portfolio Setting Models Modem Portfolio Theory Modigliani, Franco Modigliani­Miller Theorem Moment Explosions Monotone Schemes Monte Carlo Greeks Monte Carlo Simulation Monte Carlo Simulation for Stochastic Differential Equations Multifractals Multigrid Methods Multiname Reduced Form Models Multivariate Distributions Municipal Bonds Mutual Funds Nested Simulation Normal Inverse Gaussian Model 1104 1108 1113 1115 1118 1120 1123 1131 1138 1142 1159 1164 1166 1171 1177 1181 1184 1188 1191 1195 1200 1204 1207 1210 1219 1220 1226 1232 1239 1241 1247 1253 1263 1266 1271 1278 1283 1288 1296 1300 1304 1307 1311 Oil Market Operational Risk Optimization Methods Option Pricing: General Principles Option Pricing Theory: Historical Perspectives Options: Basic Definitions Order Flow Order Types Omstein­Uhlenbeck Processes Parisian Option Partial Differential Equations Partial Integro-differential Equations (PIDEs) Passport Options Performance Measures Phase-type Distribution Point Processes Poisson Process Portfolio Credit Risk: Statistical Methods Predictability of Asset Prices Price Impact Pricing Formulae for Foreign Exchange Options Pricing Kernels Probability of Informed Trading Pseudorandom Number Generators Put­Call Parity Quadratic Gaussian Models Quadrature Methods Quantization Methods Quanto Options Quasi-Monte Carlo Methods 1315 1319 1322 1327 1331 1341 1344 1349 1352 1355 1357 1363 1368 1372 1375 1376 1380 1384 1387 1402 1408 1418 1428 1431 1437 1441 1444 1451 1455 1460 VOLUME 4 Random Factor Loading Model (for Portfolio Credit) Random Matrix Theory Rare-event Simulation Rating Transition Matrices Real Options Realized Volatility and Multipower Variation Realized Volatility Options Recovery Rate Recovery Swap 1473 1476 1481 1484 1488 1494 1500 1505 1507 Recursive Preferences Reduced Form Credit Risk Models Regime-switching Models Regulatory Capital Reinsurance Risk-adjusted Return on Capital (RAROC) Risk Aversion Risk Exposures Risk Management: Historical Perspectives Risk Measures: Statistical Estimation Risk Premia Risk-neutral Pricing Risk­Return Analysis Risk-sensitive Asset Management Robust Portfolio Optimization Roll Model Ross, Stephen Rubinstein, Edward Mark Ruin Models with Investment Income Ruin Theory SABR Model Saddlepoint Approximation Samuelson, Paul A. Second Fundamental Theorem of Asset Pricing Securitization Semimartingale Sensitivity Computations: Integration by Parts Sharpe Ratio Sharpe, William F. Simulation of Square-root Processes Simulation-based Estimation Skorokhod Embedding Solvency Sparse Grids Special-purpose Vehicle (SPV) Specialist Markets Spectral Measures of Risk Squared Bessel Processes Static Hedging Stochastic Control Stochastic Control in Insurance 1509 1517 1522 1525 1539 1544 1546 1554 1558 1563 1574 1581 1585 1589 1593 1597 1599 1601 1603 1607 1611 1614 1619 1623 1629 1633 1636 1639 1640 1642 1649 1653 1658 1661 1667 1670 1674 1678 1680 1682 1689 Stochastic Differential Equations with Jumps: Simulation Stochastic Differential Equations: Scenario Simulation Stochastic Discount Factors Stochastic Exponential Stochastic Integrals Stochastic Mesh Method Stochastic Taylor Expansions Stochastic Volatility Interest Rate Models Stochastic Volatility Models Stochastic Volatility Models: Extremal Behavior Stochastic Volatility Models: Foreign Exchange Stock Pinning Stress Testing Structural Default Risk Models Structured Finance Rating Methodologies Style Analysis Stylized Properties of Asset Returns Superhedging Swap Market Models Swaps Swing Options Tempered Stable Process Term Structure Models Thorp, Edward Tikhonov Regularization Time Change Time-changed Lévy Process Total Return Swap Transaction Costs Tree Methods Treynor, Lawrence Jack Trigger Swaps Uncertain Volatility Model Universal Portfolios Utility Function Utility Indifference Valuation Utility Theory: Historical Perspectives Value-at-Risk Vanna­Volga Pricing Variance-gamma Model 1693 1697 1706 1714 1717 1726 1731 1734 1737 1741 1748 1754 1759 1764 1772 1775 1777 1783 1787 1790 1791 1799 1802 1805 1807 1812 1816 1823 1824 1829 1835 1837 1841 1845 1848 1854 1860 1863 1867 1875 Variance Reduction Variance Swap Volatility Volatility Index Options Volatility Swaps Volume-weighted Average Price (VWAP) 1882 1895 1898 1902 1905 1906 Wavelet Galerkin Method Weather Derivatives Weighted Monte Carlo Weighted Variance Swap Wiener­Hopf Decomposition Yield Curve Construction 1909 1916 1919 1924 1927 1935

There are no comments for this item.

Log in to your account to post a comment.
Koha 18.11 - INSEAD Catalogue
Home | Contact Us | What's Koha?