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Finance, economics, and mathematics / / Oldrich Alfons Vasicek
| Finance, economics, and mathematics / / Oldrich Alfons Vasicek |
| Autore | Vasicek Oldrich Alfons |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2016 |
| Descrizione fisica | 1 online resource (327 p.) |
| Disciplina | 332 |
| Soggetto topico |
Finance
Finance - Mathematical models Economics, Mathematical |
| ISBN |
1-119-18621-8
1-119-18620-X 1-119-18622-6 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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
References Chapter 7: The Liquidity Premium; References; Chapter 8: Term Structure Modeling Using Exponential Splines; Introduction; Concepts and Terms; The Model; References; Chapter 9: The Heath, Jarrow, Morton Model; References; Part Three: General Equilibrium; Chapter 10: Introduction to Part III; Chapter 11: The Economics of Interest Rates; Abstract; Introduction; Optimal Investment Strategies; The Equilibrium Economy; Examples; Term Structure Models; Conclusions; References; Chapter 12: General Equilibrium with Heterogeneous Participants and Discrete Consumption Times; Abstract 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 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 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 Chapter 25: Bond Performance: Analyzing Sources of Return |
| Record Nr. | UNINA-9910137220403321 |
Vasicek Oldrich Alfons
|
||
| Hoboken, New Jersey : , : Wiley, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Finance, economics, and mathematics / / Oldrich Alfons Vasicek
| Finance, economics, and mathematics / / Oldrich Alfons Vasicek |
| Autore | Vasicek Oldrich Alfons |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2016 |
| Descrizione fisica | 1 online resource (327 p.) |
| Disciplina | 332 |
| Soggetto topico |
Finance
Finance - Mathematical models Economics, Mathematical |
| ISBN |
1-119-18621-8
1-119-18620-X 1-119-18622-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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
References Chapter 7: The Liquidity Premium; References; Chapter 8: Term Structure Modeling Using Exponential Splines; Introduction; Concepts and Terms; The Model; References; Chapter 9: The Heath, Jarrow, Morton Model; References; Part Three: General Equilibrium; Chapter 10: Introduction to Part III; Chapter 11: The Economics of Interest Rates; Abstract; Introduction; Optimal Investment Strategies; The Equilibrium Economy; Examples; Term Structure Models; Conclusions; References; Chapter 12: General Equilibrium with Heterogeneous Participants and Discrete Consumption Times; Abstract 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 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 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 Chapter 25: Bond Performance: Analyzing Sources of Return |
| Record Nr. | UNINA-9910808116003321 |
|
Vasicek Oldrich Alfons
|
||
| Hoboken, New Jersey : , : Wiley, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||