New Directions in Mathematical Finance

Preface
<br />
<br /> The Quantitative Finance Timeline (Paul Wilmott)
<br />
<br /> Part I. New Directions in Equity Modelling
<br />
<br /> Introduction
<br />
<br /> Asymptotic analysis of stochastic volatility models (Henrik Rasmussen and Paul Wilmott)
<br />
<br /> Passport options, a review (Antony Penaud)
<br />
<br /> Equity Dividend Models (David Bakstein and Paul Wilmott)
<br />
<br /> Isoperimetry, log–concavity and elasticity of option prices (Christer Borell)
<br />
<br /> Part II. New Directions in Interest Rate Modelling
<br />
<br /> Introduction
<br />
<br /> Dynamic, deterministic and static optimal portfolio strategies in a mean–variance framework under stochastic interest rates (Isabelle Bajeux–Besnainou and Roland Portrait)
<br />
<br /> Pricing bond options in a worst–case scenario (David Epstein and Paul Wilmott)
<br />
<br /> Part III. New Directions in Risk Management
<br />
<br /> Introduction
<br />
<br /> Implementing VaR by Historical Simulation (Aldo Nassigh, Andrea Piazzetta and Ferdinando Samaria)
<br />
<br /> CrashMetrics (Philip Hua and Paul Wilmott)
<br />
<br /> Herding in financial markets: a role for psychology in explaining investor behaviour? (Henri&euml;tte Prast)
<br />
<br /> Further Reading
<br />
<br /> Author Biographies
<br />
<br /> Index