Financial Engineering - Handbooks in Operations Research and Management Science
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Chapter 9 Topics in Interest Rate Theory

Financial Engineering - Handbooks in Operations Research and Management Science ◽

10.1016/s0927-0507(07)15009-x ◽

2007 ◽

pp. 377-435 ◽

Author(s):

Tomas Björk

Keyword(s):

Interest Rate ◽

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Chapter 16 Economic Credit Capital Allocation and Risk Contributions

Financial Engineering - Handbooks in Operations Research and Management Science ◽

10.1016/s0927-0507(07)15016-7 ◽

2007 ◽

pp. 681-726 ◽

Author(s):

Helmut Mausser ◽

Dan Rosen

Keyword(s):

Capital Allocation

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Chapter 22 Duality Theory and Approximate Dynamic Programming for Pricing American Options and Portfolio Optimization

Financial Engineering - Handbooks in Operations Research and Management Science ◽

10.1016/s0927-0507(07)15022-2 ◽

2007 ◽

pp. 925-948 ◽

Author(s):

Martin B. Haugh ◽

Leonid Kogan

Keyword(s):

Dynamic Programming ◽

Portfolio Optimization ◽

Duality Theory ◽

Approximate Dynamic Programming ◽

American Options

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Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering

Financial Engineering - Handbooks in Operations Research and Management Science ◽

10.1016/s0927-0507(07)15002-7 ◽

2007 ◽

pp. 73-116 ◽

Author(s):

S.G. Kou

Keyword(s):

Asset Pricing ◽

Financial Engineering ◽

Jump Diffusion ◽

Diffusion Models

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Chapter 8 Discrete Barrier and Lookback Options

Financial Engineering - Handbooks in Operations Research and Management Science ◽

10.1016/s0927-0507(07)15008-8 ◽

2007 ◽

pp. 343-373 ◽

Author(s):

S.G. Kou

Keyword(s):

Lookback Options

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Chapter 11 Valuation of Basket Credit Derivatives in the Credit Migrations Environment

Financial Engineering - Handbooks in Operations Research and Management Science ◽

10.1016/s0927-0507(07)15011-8 ◽

2007 ◽

pp. 471-507 ◽

Author(s):

Tomasz R. Bielecki ◽

Stéphane Crépey ◽

Monique Jeanblanc ◽

Marek Rutkowski

Keyword(s):

Credit Derivatives

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Chapter 5 Volatility

Financial Engineering - Handbooks in Operations Research and Management Science ◽

10.1016/s0927-0507(07)15005-2 ◽

2007 ◽

pp. 183-222 ◽

Author(s):

Federico M. Bandi ◽

Jeffrey R. Russell

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Chapter 13 Option Pricing: Real and Risk-Neutral Distributions

Financial Engineering - Handbooks in Operations Research and Management Science ◽

10.1016/s0927-0507(07)15013-1 ◽

2007 ◽

pp. 565-591 ◽

Author(s):

George M. Constantinides ◽

Jens Carsten Jackwerth ◽

Stylianos Perrakis

Keyword(s):

Option Pricing ◽

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Chapter 15 Queuing Theoretic Approaches to Financial Price Fluctuations

Financial Engineering - Handbooks in Operations Research and Management Science ◽

10.1016/s0927-0507(07)15015-5 ◽

2007 ◽

pp. 637-677 ◽

Author(s):

Erhan Bayraktar ◽

Ulrich Horst ◽

Ronnie Sircar

Keyword(s):

Price Fluctuations

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Chapter 19 Dynamic Portfolio Choice and Risk Aversion

Financial Engineering - Handbooks in Operations Research and Management Science ◽

10.1016/s0927-0507(07)15019-2 ◽

2007 ◽

pp. 789-843 ◽

Author(s):

Costis Skiadas

Keyword(s):

Risk Aversion ◽

Portfolio Choice ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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