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New Directions in Mathematical Finance

New Directions in Mathematical Finance

Paul Wilmott (Editor), Henrik Rasmussen (Editor)

ISBN: 978-0-471-49817-9

Mar 2002

208 pages

Select type: Hardcover

In Stock



A compilation of the most respected authorities in financial engineering
Based around a conference on financial modeling held in Milan in December 1999, New Directions in Mathematical Finance brings together the leading names in quantitative finance to discuss the most current modeling techniques in a variety of areas of financial engineering. The contributions featured in this volume are all new items, based on each speaker's topic of presentation at the convention. Editors Paul Wilmott and Henrik Rasmussen include an introduction which pulls together the themes of the book.

The Quantitative Finance Timeline (Paul Wilmott)

Part I. New Directions in Equity Modelling


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


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


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