{"product_id":"finance-economics-and-mathematics-isbn-9781119122203","title":"Finance, Economics, and Mathematics","description":"\u003cb\u003eThe compiled works of the man behind the evolution of quantitative finance\u003c\/b\u003e \u003cp\u003e\u003ci\u003eFinance, Economics, and Mathematics\u003c\/i\u003e is the complete Vasicek reference work, including published and unpublished work and interviews with the man himself.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 thinking. \u003c\/p\u003e\u003cp\u003eOldrich Vasicek has won virtually every important award and prize for his groundbreaking research in quantitative finance. You've followed his work for years; this book puts it all in a single volume to give you the definitive reference you'll turn to again and again. \u003c\/p\u003e\u003cul\u003e \u003cli\u003eExplore Vasicek's insights on topics he helped create\u003c\/li\u003e \u003cli\u003eDiscover his research and ideas that have gone unpublished—until now\u003c\/li\u003e \u003cli\u003eUnderstand yield curves and the Vasicek model from the source himself\u003c\/li\u003e \u003cli\u003eGain a reference collection of some of the most influential work in quantitative finance\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eVasicek's research is the foundation of one of the most important innovations in finance. Quants around the world have been influenced by his ideas, and his status as thought leader is cemented in the annals of finance history. \u003ci\u003eFinance, Economics, and Mathematics\u003c\/i\u003e is the definitive Vasicek reference every finance professional needs. Foreword (by Robert C. Merton) ix \u003c\/p\u003e\u003cp\u003ePreface xi\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART ONE Efforts and Opinions 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 1 Introduction to Part I 3\u003c\/p\u003e \u003cp\u003eCHAPTER 2 Lifetime Achievement Award (by Dwight Cass) 7\u003c\/p\u003e \u003cp\u003eCHAPTER 3 One-on-One Interview with Oldrich Alfons Vasicek (by Nina Mehta) 13\u003c\/p\u003e \u003cp\u003eCHAPTER 4 Credit Superquant (by Robert Hunter) 21\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART TWO Term Structure of Interest Rates 27\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 5 Introduction to Part II 29\u003c\/p\u003e \u003cp\u003eCHAPTER 6 An Equilibrium Characterization of the Term Structure 33\u003c\/p\u003e \u003cp\u003eCHAPTER 7 The Liquidity Premium 45\u003c\/p\u003e \u003cp\u003eCHAPTER 8 Term Structure Modeling Using Exponential Splines (with Gifford Fong) 49\u003c\/p\u003e \u003cp\u003eCHAPTER 9 The Heath, Jarrow, Morton Model 63\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART THREE General Equilibrium 65\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 10 Introduction to Part III 67\u003c\/p\u003e \u003cp\u003eCHAPTER 11 The Economics of Interest Rates 71\u003c\/p\u003e \u003cp\u003eCHAPTER 12 General Equilibrium with Heterogeneous Participants and Discrete Consumption Times 89\u003c\/p\u003e \u003cp\u003eCHAPTER 13 Independence of Production and Technology Risks 107\u003c\/p\u003e \u003cp\u003eCHAPTER 14 Risk-Neutral Economy and Zero Price of Risk 111\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART FOUR Credit 125\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 15 Introduction to Part IV 127\u003c\/p\u003e \u003cp\u003eCHAPTER 16 Credit Valuation 131\u003c\/p\u003e \u003cp\u003eCHAPTER 17 Probability of Loss on Loan Portfolio 143\u003c\/p\u003e \u003cp\u003eCHAPTER 18 Limiting Loan Loss Probability Distribution 147\u003c\/p\u003e \u003cp\u003eCHAPTER 19 Loan Portfolio Value 149\u003c\/p\u003e \u003cp\u003eCHAPTER 20 The Empirical Test of the Distribution of Loan Portfolio Losses 161\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART FIVE Markets, Portfolios, and Securities 163\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 21 Introduction to Part V 165\u003c\/p\u003e \u003cp\u003eCHAPTER 22 The Efficient Market Model (with John A. McQuown) 169\u003c\/p\u003e \u003cp\u003eCHAPTER 23 A Risk Minimizing Strategy for Portfolio Immunization (with Gifford Fong) 195\u003c\/p\u003e \u003cp\u003eCHAPTER 24 The Tradeoff between Return and Risk in Immunized Portfolios (with Gifford Fong) 203\u003c\/p\u003e \u003cp\u003eCHAPTER 25 Bond Performance: Analyzing Sources of Return (with Gifford Fong and Charles J. Pearson) 213\u003c\/p\u003e \u003cp\u003eCHAPTER 26 The Best-Return Strategy 223\u003c\/p\u003e \u003cp\u003eCHAPTER 27 Volatility: Omission Impossible (with Gifford Fong and Daihyun Yoo) 237\u003c\/p\u003e \u003cp\u003eCHAPTER 28 A Multidimensional Framework for Risk Analysis (with Gifford Fong) 247\u003c\/p\u003e \u003cp\u003eCHAPTER 29 Plugging into Electricity (with Hélyette Geman) 261\u003c\/p\u003e \u003cp\u003eCHAPTER 30 Pricing of Energy Derivatives 277\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART SIX Probability Theory and Statistics 281\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 31 Introduction to Part VI 283\u003c\/p\u003e \u003cp\u003eCHAPTER 32 A Note on Using Cross-sectional Information in Bayesian Estimation of Security Betas 287\u003c\/p\u003e \u003cp\u003eCHAPTER 33 A Series Expansion for the Bivariate Normal Integral 297\u003c\/p\u003e \u003cp\u003eCHAPTER 34 A Conditional Law of Large Numbers 305\u003c\/p\u003e \u003cp\u003eCHAPTER 35 A Test for Normality Based on Sample Entropy 315\u003c\/p\u003e \u003cp\u003eCHAPTER 36 Monotone Measures of Ergodicity for Markov Chains (with Julian Keilson) 325\u003c\/p\u003e \u003cp\u003eCHAPTER 37 An Inequality for the Variance of Waiting Time under a General Queueing Discipline 333\u003c\/p\u003e \u003cp\u003eAbout the Author 339\u003c\/p\u003e \u003cp\u003eIndex 341\u003c\/p\u003e \u003cp\u003e\u003cb\u003eOLDRICH ALFONS VASICEK\u003c\/b\u003e works in mathematical finance, particularly on the development of quantitative models of firms, financial instruments, and financial markets. He was a founding partner of KMV Corporation, a firm pioneering the use of structural models for credit valuation. He is an inductee into the Derivatives Strategy Hall of Fame, the Fixed Income Analysts Society Hall of Fame, and the Risk Magazine Hall of Fame.\u003c\/p\u003e  \u003cp\u003eOldrich Vasicek began his career in economics in the late 1960s as part of a uniquely gifted team of thinkers who pushed the boundaries of financial theory at Wells Fargo Bank in San Francisco. In 1977, he published his breakthrough paper describing the dynamics of the yield curve as a mean-reverting short-rate model, which now is known as the Vasicek model. Oldrich continues to push the frontier of economics, and \u003ci\u003eFinance, Economics, and Mathematics\u003c\/i\u003e is the brilliantly compiled, up-to-date collection of his work as it shapes the landscape of financial theory and investment practice.\u003c\/p\u003e \u003cp\u003eFor the first time, finance researchers and practitioners have a single resource offering his original published papers, many of which he coauthored with other such economic celebrities as John McQuown, Gifford Fong, and Hélyette Geman. This compendium also features personal thoughts and interviews, as well as never-before published works. Also included are several papers in pure mathematics, showing the other side of his professional double personality. \u003c\/p\u003e\u003cp\u003eConveniently organized for topic-specific research, this material provides the author’s firsthand look at: \u003c\/p\u003e\u003cul\u003e\n\u003cli\u003eThe theory of term structure of interest rates and the valuation of bonds\u003c\/li\u003e \u003cli\u003eThe causal relationship of interest rates to economic variables\u003c\/li\u003e \u003cli\u003eMeasurement of credit risk of corporate loans and loan portfolios\u003c\/li\u003e \u003cli\u003eThe principles of bond investment management and performance measurement\u003c\/li\u003e \u003cli\u003e The mathematics of risk estimation and hedging\u003c\/li\u003e \u003cli\u003eThe importance of bringing finance back to economics\u003c\/li\u003e\n\u003c\/ul\u003e \u003cp\u003eVasicek’s research is the foundation of some of the most significant innovations in finance. Reference this collection of enormously influential work.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989208350949,"sku":"NP9781119122203","price":95.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9781119122203.jpg?v=1761783213","url":"https:\/\/k12savings.com\/es\/products\/finance-economics-and-mathematics-isbn-9781119122203","provider":"K12savings","version":"1.0","type":"link"}