Finance, economics, and mathematics
The 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finance Finance, Economics, and Mathematics is the complete Vasicek reference work, including published and unpublished work and interviews with the man himself.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...
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| Format: | eBook |
| Language: | English |
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Hoboken, New Jersey
John Wiley & Sons
2016
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| Collection: | O'Reilly - Collection details see MPG.ReNa |
Table of Contents:
- Chapter 17: Probability of Loss on Loan Portfolio Chapter 18: Limiting Loan Loss Probability Distribution; Chapter 19: Loan Portfolio Value; The Limiting Distribution of Portfolio Losses; Properties of the Loss Distribution; The Risk-Neutral Distribution; The Portfolio Market Value; Adjustment for Granularity; Summary; References; Chapter 20: The Empirical Test of the Distribution of Loan Portfolio Losses; Part Five: Markets, Portfolios, and Securities; Chapter 21: Introduction to Part V; Chapter 22: The Efficient Market Model; Introduction and Summary; Risk, Risk Aversion, and Compensation
- Title Page; Copyright; Table of Contents; Foreword; Preface; Part One: Efforts and Opinions; Chapter 1: Introduction to Part I; Chapter 2: Lifetime Achievement Award; Inspiration; Pioneering; Chapter 3: One-on-One Interview with Oldrich Alfons Vasicek; Chapter 4: Credit Superquant; Good Company; Credit Is Due; Part Two: Term Structure of Interest Rates; Chapter 5: Introduction to Part II; Chapter 6: An Equilibrium Characterization of the Term Structure; Abstract; Introduction; Notation and Assumptions; The Term Structure Equation; Stochastic Representation of the Bond Price; A Specific Case
- Includes bibliographical references and index
- Introduction The Equilibrium Economy; Discrete Consumption Times; Proof of Convergence; Concluding Remarks; References; Chapter 13: Independence of Production and Technology Risks; References; Chapter 14: Risk-Neutral Economy and Zero Price of Risk; Abstract; Introduction; An Economy in Equilibrium; The Risk-Neutral Economy; An Economy with Zero Price of Risk; References; Part Four: Credit; Chapter 15: Introduction to Part IV; Chapter 16: Credit Valuation; The Approach; The Firm's Value; Loan Default; Debt Structure; Capital Flows; Loan Pricing; Portfolio Diversification; Summary
- Measurement of Risk and Return Efficient Market Hypothesis; The Role of the Portfolio in Risk Reduction; The Capital Asset Pricing Model; Generalization of the Model; Conclusion; References; Chapter 23: A Risk Minimizing Strategy for Portfolio Immunization; Abstract; Introduction; Immunization Risk; Appendix: Proof of the Theorem; References; Chapter 24: The Trade off between Return and Risk in Immunized Portfolios; Abstract; Introduction; Portfolio Value and Interest Rate Changes; Immunization Risk; Confidence Intervals; Risk and Return; References