Finance, economics and mathematics : the essential Vasicek / Oldrich Alfons Vasicek.

Includes bibliographical references and index.

Part One: Efforts and Opinions -- Part One: Efforts and Opinions. Introduction to Part I -- Lifetime Achievement Award / Dwight Cass -- One-on-One Interview with Oldrich Alfons Vasicek / Nina Mehta -- Credit Superquant / Robert Hunter -- Part Two: Term Structure of Interest Rates -- Part Two: Term Structure of Interest Rates. Introduction to Part II -- An Equilibrium Characterization of the Term Structure -- The Liquidity Premium -- Term Structure Modeling Using Exponential Splines / Oldrich A Vasicek, H Gifford Fong -- The Heath, Jarrow, Morton Model -- Part Three: General Equilibrium -- Part Three: General Equilibrium. Introduction to Part III -- The Economics of Interest Rates -- General Equilibrium with Heterogeneous Participants and Discrete Consumption Times -- Independence of Production and Technology Risks -- Risk-Neutral Economy and Zero Price of Risk -- Part Four: Credit -- Part Four: Credit. Introduction to Part IV -- Credit Valuation -- Probability of Loss on Loan Portfolio -- Limiting Loan Loss Probability Distribution -- Loan Portfolio Value -- The Empirical Test of the Distribution of Loan Portfolio Losses -- Part Five: Markets, Portfolios, and Securities -- Part Five: Markets, Portfolios, and Securities. Introduction to Part V -- The Efficient Market Model / Oldrich A Vasicek, John A McQuown -- A Risk Minimizing Strategy for Portfolio Immunization / H Gifford Fong, Oldrich A Vasicek -- The Tradeoff between Return and Risk in Immunized Portfolios / H Gifford Fong, Oldrich Vasicek -- Bond Performance: Analyzing Sources of Return / Gifford Fong, Charles Pearson, Oldrich Vasicek -- The Best-Return Strategy -- Volatility: Omission Impossible / Gifford Fong, Oldrich Vasicek, Daihyun Yoo -- A Multidimensional Framework for Risk Analysis / Gifford Fong, Oldrich A Vasicek -- Plugging into Electricity / Hélyette Geman, Oldrich Vasicek -- Pricing of Energy Derivatives -- Part Six: Probability Theory and Statistics -- Part Six: Probability Theory and Statistics. Introduction to Part VI -- A Note on Using Cross-sectional Information in Bayesian Estimation of Security Betas -- A Series Expansion for the Bivariate Normal Integral -- A Conditional Law of Large Numbers -- A Test for Normality Based on Sample Entropy -- Monotone Measures of Ergodicity for Markov Chains / Julian Keilson, Oldrich Vasicek -- An Inequality for the Variance of Waiting Time under a General Queueing Discipline.

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