+612 9045 4394
 
CHECKOUT
Mathematical Finance - Bachelier Congress 2000 : Selected Papers from the First World Congress of the Bachelier Finance Society, Paris, June 29-July 1, 2000 - Helyette Geman

Mathematical Finance - Bachelier Congress 2000

Selected Papers from the First World Congress of the Bachelier Finance Society, Paris, June 29-July 1, 2000

By: Helyette Geman (Editor), Dilip Madan (Editor), Stanley R. Pliska (Editor), Ton Vorst (Editor)

Hardcover

Published: 4th December 2001
Ships: 7 to 10 business days
7 to 10 business days
RRP $344.99
$238.75
31%
OFF
or 4 easy payments of $59.69 with Learn more

Other Available Formats (Hide)

  • Paperback View Product Published: 15th December 2010
    $169.73

The Bachelier Society for Mathematical Finance held its first World Congress in Paris last year, and coincided with the centenary of Louis Bacheliers thesis defence. In his thesis Bachelier introduces Brownian motion as a tool for the analysis of financial markets as well as the exact definition of options. The thesis is viewed by many the key event that marked the emergence of mathematical finance as a scientific discipline. The prestigious list of plenary speakers in Paris included two Nobel laureates, Paul Samuelson and Robert Merton, and the mathematicians Henry McKean and S.R.S. Varadhan. Over 130 further selected talks were given in three parallel sessions. .

From the contents
Modern Finance Theory within One Lifetime
Future Possibilities in Finance Theory and Finance Practice
Brownian Motion and the General Diffusion
Scale & Clock
Rare Events, Large Deviations
Conquering the Greeks in Monte Carlo
Efficient Calculation of the Market Sensitivities and Hedge-Ratios of Financial Assets by Direct Numerical Simulation
On the Term Structure of Futures and Forward Prices
Displaced and Mixture Diffusions for Analytically-Tractable Smile Models
The Theory of Good-Deal Pricing in Financial Markets
Spread Option Valuation and the Fast Fourier Transform
The Law of Geometric Brownian Motion and its Integral, revisited; Application to Conditional Moments
The Generalized Hyperbolic Model
Financial Derivatives and Risk Measures
Theory and Calibration of HJM with Shape Factors
Using the Hull and White Two Factor Model in Bank Treasury Risk Management
Default Risk and Hazard Process
Utility-Based Derivative Pricing in Incomplete Markets
Pricing Credit Derivatives in Credit Classes Frameworks
An Autoregressive Conditional Binomial Option Pricing Model
Markov Chains and the Potential Approach to Modelling Interest Rates and Exchange Rates
Optimal Investment in Incomplete Financial Markets
Evaluating Investments in Disruptive Technologies
Quickest Detection Problems
Bachelier and his Times
A conversation with Bernard Bru
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9783540677819
ISBN-10: 354067781X
Series: Springer Finance
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 521
Published: 4th December 2001
Publisher: Springer-Verlag Berlin and Heidelberg Gmbh & Co. Kg
Country of Publication: DE
Dimensions (cm): 23.5 x 15.5  x 3.81
Weight (kg): 2.12