内容

目次

Preface The Quantitative Finance Timeline (Paul Wilmott) Part I. New Directions in Equity Modelling Introduction Asymptotic analysis of stochastic volatility models (Henrik Rasmussen and Paul Wilmott) Passport options, a review (Antony Penaud) Equity Dividend Models (David Bakstein and Paul Wilmott) Isoperimetry, log–concavity and elasticity of option prices (Christer Borell) Part II. New Directions in Interest Rate Modelling Introduction Dynamic, deterministic and static optimal portfolio strategies in a mean–variance framework under stochastic interest rates (Isabelle Bajeux–Besnainou and Roland Portrait) Pricing bond options in a worst–case scenario (David Epstein and Paul Wilmott) Part III. New Directions in Risk Management Introduction Implementing VaR by Historical Simulation (Aldo Nassigh, Andrea Piazzetta and Ferdinando Samaria) CrashMetrics (Philip Hua and Paul Wilmott) Herding in financial markets: a role for psychology in explaining investor behaviour? (Henriëtte Prast) Further Reading Author Biographies Index