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Finance, Economics, and Mathematics By Oldrich A. Vasicek

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Sales Rank: #3476515 in Books
Published on: 2015-12-14
Original language: English
Number of items: 1
Dimensions: 9.30" h x 1.20" w x 6.40" l, 1.24 pounds
Binding: Hardcover
368 pages

From the Inside Flap

Oldrich Vasicek began his career in economics in the late 1960s as part of a uniquely gifted team of thinkers who pushed the boundaries of financial theory at Wells Fargo Bank in San Francisco. In 1977, he published his breakthrough paper describing the dynamics of the yield curve as a mean-reverting short-rate model, which now is known as the Vasicek model. Oldrich continues to push the frontier of economics, and Finance, Economics, and Mathematics is the brilliantly compiled, up-to-date collection of his work as it shapes the landscape of financial theory and investment practice.

For the first time, finance researchers and practitioners have a single resource offering his original published papers, many of which he coauthored with other such economic celebrities as John McQuown, Gifford Fong, and Hélyette Geman. This compendium also features personal thoughts and interviews, as well as never-before published works. Also included are several papers in pure mathematics, showing the other side of his professional double personality.

Conveniently organized for topic-specific research, this material provides the author's firsthand look at:

The theory of term structure of interest rates and the valuation of bonds
The causal relationship of interest rates to economic variables
Measurement of credit risk of corporate loans and loan portfolios
The principles of bond investment management and performance measurement
The mathematics of risk estimation and hedging
The importance of bringing finance back to economics

Vasicek's research is the foundation of some of the most significant innovations in finance. Reference this collection of enormously influential work.

From the Back Cover

PRAISE FOR FINANCE, ECONOMICS, AND MATHEMATICS

"For more than four decades, Vasicek has pioneered important research about the term structure of interest rates, credit analysis, bond portfolio management, and general equilibrium theory. He has always brought just the right mathematical tools to solve every problem he has tackled. This historical compendium of his work still sparkles with creativity."
—Richard Roll, Professor Emeritus, UCLA Anderson School of Management

"Oldrich Vasicek has had an exemplary, inspiring, and enviable career in finance. From his prescient 1977 paper on term structure to his model of credit valuation, he has persistently shown us how to combine rigorous science with economics and intuition to provide remarkable insight into business. This wonderful collection of his papers reflects the high scientific standards he has brought to bear on the field."
—Emanuel Derman, Director of the MS Program in Financial Engineering, Columbia University

THE COMPILED WORKS OF THE MAN BEHIND THE EVOLUTION OF QUANTITATIVE FINANCE

Finance, Economics, and Mathematics is the complete Vasicek reference work, including published and unpublished work and interviews with the man himself. The name Oldrich Vasicek is synonymous with cutting-edge research in finance, and this book comes straight from the source to bring you the groundbreaking papers from one of the founders of the field. From his early work in yield curve dynamics, to the mean-reverting short-rate model, to his thoughts on derivatives pricing, to his work on credit risk, to his most recent research on the economics of interest rates, this book represents a compilation of an industry leader's life's work. If you're involved in finance today, you apply his theory in fundamental practice every day; this book puts his work all in a single volume you'll turn to again and again.

Explore Vasicek's insights on the foundational topics he helped create
Discover the research and ideas that have gone unpublished—until now
Understand yield curves and the Vasicek model from the source himself
Follow the ideas that revolutionized portfolio credit risk measurement

Finance, Economics, and Mathematics is the definitive Vasicek reference every finance professional needs.

About the Author

OLDRICH ALFONS VASICEK works in mathematical finance, particularly on the development of quantitative models of firms, financial instruments, and financial markets. He was a founding partner of KMV Corporation, a firm pioneering the use of structural models for credit valuation. He is an inductee into the Derivatives Strategy Hall of Fame, the Fixed Income Analysts Society Hall of Fame, and the Risk Magazine Hall of Fame.

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