Research and Markets - Derivatives Pricing: The Classic Collection.DUBLIN, Ireland -- Research and Markets (http://www.researchandmarkets.com/reports/c12734) has announced the addition of Derivatives Pricing: The Classic Collection to their offering. A unique collection of 19 historic papers on quantitative finance - including groundbreaking work by Louis Bachelier, Fischer Black, Robert Merton, Robert Engle and Bruno Dupire. The papers have been specially selected by Peter Carr, professor at the Courant Institute of Mathematical Sciences The Courant Institute of Mathematical Sciences (CIMS) is a division of New York University (NYU) and serves as a center for research and advanced training in computer science and mathematics. at NYU and head of quantitative research at Bloomberg - A collection of the most influential papers on options pricing and derivatives published over the past 100 years - as valuable today as they have ever been - Each chapter holds direct examples that remain cornerstones of modern business practice - combining leading academic thought with the practical insights of authors with years of shop-floor knowledge - Peter Carr presents world-famous papers as well some less widely known gems that are nonetheless as vital to the subject as a whole - Each chapter is highly relevant to financial traders and analysts, and even readers with only a basic grasp of the tools of quantitative finance will find this collection an invaluable guide to financial engineering - Covers option pricing, unified theories of volatility, the theory of speculation, loss probabilities on loan portfolios, credit risk models for loan books, barrier options and more - The collection is divided into four key sections: Classics, Hidden Gems, Risk Hall of Fame and Nobel Prize Winners Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel Year Recipient(s) 1969 Ragnar Frisch Jan Tinbergen 1970 Paul A. Samuelson 1971 Simon Kuznets 1972 Sir John R. Hicks Kenneth J. - Includes timeless contributions from the most famous financial thinkers of modern history including: Louis Bachelier, Fischer Black, Robert Merton, Robert Engle, Bruno Dupire and others - Provides access to historically important papers you may have been aware of, but have never had the chance to read - some papers never previously published in books form - Derivatives Pricing conclusively proves that true innovation has no sell-by-date Introduction Peter Carr, Bloomberg Section 1: Classics 1 Theory of Speculation Louis Bachelier, Deceased 2 The Pricing of Commodity Contracts Fischer Black, Deceased 3 Bond Pricing and the Term Structure of Interest Rates Term Structure of Interest Rates A yield curve displaying the relationship between spot rates of zero-coupon securities and their term to maturity. : A New Methodology for Contingent Claims Valuation David Heath, University of Illinois University of Illinois may refer to:
4 Changes of Numeraire, Changes of Probability Measure and Option Pricing Helyette Geman, University of Paris Dauphine dau·phine n. The wife of a dauphin. [French, feminine of dauphin; see dauphin.] ; Nicole el Karoui, Ecole Polytechnique and Jean-Charles Rochet roch·et n. A white ceremonial vestment made of linen or lawn, worn by bishops and other church dignitaries. [Middle English, from Old French, of Germanic origin.] , University of Toulouse The University of Toulouse is one of the oldest universities in Europe. Foundation The formation of the University of Toulouse was imposed on Count Raymond VII as a part of the Treaty of Paris in 1229 ending the crusade against the Albigensians. 5 The Market Model of Interest Rate Dynamics Alan Brace and Marek Musiela, BNP Paribas and Dariusz Gatarek, Capital Markets Group Section 2: Hidden Gems 6 A Unified Theory of Volatility Bruno Dupire, Bloomberg 7 Arbitrage Pricing with Stochastic Volatility Bruno Dupire, Bloomberg 8 A General Theory of Asset Valuation Under Diffusion State Processes Mark B. Garman, Haas Business School 9 Probability of Loss on Loan Portfolio Oldrich Alfons Vasicek, MKMV Section 3: Risk Hall of Fame 10 Quantitative Strategies Research Notes Emanuel Derman, Columbia University and Iraj Kani, Martingale martingale a leather strap running from the girth to the reins or the noseband for the purpose of restricting the movements of the horse's head. There are many designs. The common ones are the standing martingale, which is attached to the noseband, and the running martingale, which Technologies 11 Pricing with a Smile Bruno Dupire, Bloomberg 12 A Generalised Framework for Credit Risk Portfolio Models H. Ugur Koyluoglu, Mercer Oliver Wyman and Andrew Hickman, ERisk 13 Correlation and Dependence in Risk Management: Properties and Pitfalls Paul Embrechts, Alexander McNeil and Daniel Straumann, ETHZ 14 Barrier Options Mark Rubinstein, Haas Business School and Eric Reiner, UBS Warburg 15 Thinking Coherently Philippe Artzner, University of Strasbourg The University of Strasbourg in Strasbourg, Alsace, France, was divided in the 1970s into three separate institutions with a total of approximately 48,500 students as of 2007. ; Freddy Delbaen, Federal Institute of Technology (ETH); Jean-Marc Eber, Lexifi Technologies and David Heath, Carnegie Mellon Pittsburgh 16 Static Simplicity Jonathan Bowie and Peter Carr, Bloomberg Section 4: Nobel Prize Winners 17 The Pricing of Options and Corporate Liabilities Fischer Black, Deceased and Myron Scholes, Oak Hill Capital 18 Theory of Rational Option Pricing Robert C. Merton
Robert Cohart "Bob" Merton (born July 31, 1944), is a leading scholar in the field of finance and was one of three men who, in the early 1970s, developed the , Harvard Business School Harvard Business School, officially named the Harvard Business School: George F. Baker Foundation, and also known as HBS, is one of the graduate schools of Harvard University. 19 Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation Robert F. Engle Robert Fry "Rob" Engle III (born November 10, 1942 in Syracuse, New York) received the 2003 Nobel Prize in Economics, sharing the award with Clive Granger, "for methods of analyzing economic time series with time-varying volatility (ARCH)". , Stern School of Business For more information visit http://www.researchandmarkets.com/reports/c12734 |
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