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Description of Handbook of Quantitative Finance. Edited by Cheng-Few Lee Rutgers University Alice C. Lee San Francisco State University This handbook will be published by Springer by January 2009. Please send all comments and suggestions to C.F. Lee at [email protected] Outline.

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description of handbook of quantitative finance

Description of Handbook of Quantitative Finance

Edited by

Cheng-Few Lee

Rutgers University

Alice C. Lee

San Francisco State University

This handbook will be published by Springer by January 2009. Please send all comments and suggestions to C.F. Lee at [email protected]

outline
Outline

I. Introduction

II. List of Contributors

IIa. Committed Contributors

IIb. Contributors to be Invited

III. Submission date and market information

i introduction
I. Introduction

Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. This handbook will be the most comprehensive handbook in quantitative finance, which integrates theory, methodology, and application. Because of the importance of quantitative finance in the finance industry, it has become one of the most popular subjects in business school. In addition, the finance industry has many job opportunities for people with good training in quantitative finance. Thus, a handbook should have a broad audience and be of interest to academics, educators, students, and practitioners.

Based upon our years of experience in teaching, research, textbook writing, and journal editing on the subject of quantitative finance, this handbook will review, discuss, and integrate theoretical, methodological and practical issues of quantitative finance. This handbook will be structured as follows:

i introduction1
I. Introduction

Part I. Introduction

Part II. Essays

Part III. Contributed Papers

Theories

Methodologies

Applications

Part IV. Appendix

Part V. References

Part VI. Index

Subject Index

Author Index

i introduction2
I. Introduction

Part II of this handbook will cover in detail the essential financial theories, financial policies, and empirical methodologies used in quantitative finance. Finance theories can be classified into (1) classical theory, (2) new classical theory, (3) CAPM and APT, and (4) theory of option and futures. Financial policies can be classified into (1) investment policy, (2) financing policy, (3) dividend policy, and (4) production policy. The empirical methodologies that will be covered in part II are statistics, econometrics, mathematics, operation research, stochastic process, and computer science, and technology. Therefore, part II of this handbook will be structured as follows:

i introduction3
I. Introduction
  • Theory
    • Classical theory
    • New classical theory
    • CAPM and APT
    • Theory of option and futures
  • Policy
    • Investment policy
    • Financing policy
    • Dividend policy
    • Production policy
  • Methodology
    • Statistics
    • Econometrics
    • Mathematics
    • Operation research
    • Stochastic process
    • Computer science and technology
i introduction4
I. Introduction

Most of part II will be written by Cheng Few Lee and Alice Lee. Some portion of part II will be written by other well-known scholars. Detailed derivation of theory and development of methodology will be presented in the appendix of this handbook. The Appendix of this handbook will give detailed derivation of different finance theory and model such as stock variation model M&M theory, portfolio theory, CAPM, APT, OPM, and future valuation model.

i introduction5
I. Introduction

Part III of this handbook includes contributed papers which will be written by well-know quantitative finance scholars and practitioners. The theoretical portion of these contributed papers will cover important finance theory, such as stock valuation theory, M&M theories, portfolio theories, CAPM, OPM, options, futures and other relevant theories in quantitative finance. The methodology portion of the contributed papers will cover methodologies of statistics, econometrics, mathematics, operation research, simulation and computer programming in quantitative finance research. The applications portion of the contributed papers will cover applications of options and futures theories in different financial instruments and products. Portfolio analysis and mutual fund evaluation will also be presented in this portion. In addition, market risk, credit risk and operation risk will be discussed in this portion in detail.

i introduction6
I. Introduction

This handbook will collect important references in quantitative finance. Finally, both subject and author index will be presented in this book.

Given sufficient contributed papers, there will be two volumes of this handbook. I would estimate the volume to be about a thousand pages per handbook.

ii list of contributors
II. List of Contributors

IIa. Committed Contributors

Aggarwal, Raj, University of Akron ([email protected])

Ang, James S., Florida State University ([email protected])

Barth, James R., Auburn University ([email protected])

Brennan, Michael J., University of California, Los Angeles

([email protected])

Brick, I., Rutgers University ([email protected])

Brown, Steve, New York University ([email protected])

Cao, C., Penn State University ([email protected])

Chang, Jow-Ran, National Tsing Hua University

([email protected])

Chen, Cho-Jieh, University of Alberta ([email protected])

ii list of contributors1
II. List of Contributors

IIa. Committed Contributors

Chen, Ren-Raw, Rutgers University ([email protected])

Chen, Sheng-Syan, National Taiwan University

([email protected])

Chiang, Thomas C.,Drexel University ([email protected])

Chidambaran, N., Rutgers University ([email protected])

Chung, Huimin, National Chiao Tung University

([email protected])

Chung, San-Lin, National Taiwan University

([email protected])

Cummins, J. David, Wharton School ([email protected])

Diavatopoulos, Dean, Florida State University

([email protected])

Duan, Jin-Chuan, University of Toronto ([email protected])

Ferson, W., Boston College ([email protected])

Francis, J., Baruch College ([email protected])

Grauer, R.R., Simon Fraser University ([email protected])

Gruber, M.J., New York University ([email protected])

ii list of contributors2
II. List of Contributors

IIa. Committed Contributors

Han, Chuan-Hsiang, National Tsing Hua University

([email protected])

Ho, Thomas S. Y., Thomas Ho Company Ltd.

([email protected])

Hong, C. H. Ted, BeyondBond Inc. ([email protected])

Hong, Yongmiao, Cornell University ([email protected])

Hsieh, Chang-Tseh, University of South Mississippi

([email protected])

Huang, Jing-Zhi, Penn State University ([email protected])

Hung, Mao-Wei, National Taiwan University

([email protected])

Jarrow, Robert, A., Cornell University ([email protected])

John, Kose, New York University ([email protected])

Kim, Dongcheol, Korea University Business School

([email protected])

Klimberg, Ronald, St. Joseph’s University

Kogan, Alexander, Rutgers University ([email protected])

Kudbya, Stephen, New Jersey Institute of Technology

ii list of contributors3
II. List of Contributors

IIa. Committed Contributors

Lai, Tze Leung, Stanford University ([email protected])

Lawrence, Kenneth, New Jersey Institute of Technology

([email protected])

Lawrence, Sheila, Rutgers University

Lee, Sang Bin, Hanyang University ([email protected])

Lejeune, Miguel A., Carnegie Mellon University

([email protected])

Li, Jiandong, Drexel University, (Email: [email protected])

Logan, Ben, Bell Lab

Melamed, B., Rutgers University ([email protected])

Milliaris, A. Tassos, Loyola University of Chicago ([email protected])

Mizrach, Bruce, Rutgers University ([email protected])

Nieh, Chien-Chung, Tamkang University ([email protected])

Pagano, Michael S., Villanova University ([email protected])

Pai, Dinesh, Rutgers University

Palmon, O., Rutgers University ([email protected])

ii list of contributors4
II. List of Contributors

IIa. Committed Contributors

Ritchken, P., Case Western Reserve University ([email protected])

Ruszczynski, A., Rutgers University ([email protected])

Schwartz, Robert, City University of New York

([email protected])

Schwarz, Thomas V., Grand Valley State University ([email protected])

Shepp, L., Rutgers University ([email protected])

Shih, Pai-Ta, National Dong-Hwa University ([email protected])Shrestha, Keshab, Nanyang Technological University ([email protected])

Taylor, Stephen Lancaster University ([email protected])

Wald, John, University of Texas at San Antonio ([email protected],

[email protected])

Wu, Chunchi Syracuse University ([email protected])

Xia, Yihong, University of Pennsylvania ([email protected])

Xing, Haipeng, Columbia University ([email protected])

Yee, Kenton, Columbia University ([email protected])

Zhao, F., Rutgers University ([email protected])

ii list of contributors5
II. List of Contributors

IIb. Contributors to be Invited

Baillie, Richard T., Michigan State University ([email protected])

Bakshi, G, University of Maryland ([email protected])

Chang, Eric C., The University of Hong Kong ([email protected])

Chen, Carl, Pennsylvania State University ([email protected])

Chen. Z., Yale University ([email protected])

Choi, J. Jay, Temple University ([email protected])

Chu, Quentin C., University of Memphis ([email protected])

Cochrane, John H., University of Chicago ([email protected])

Constantinides, George M., University of Chicago ([email protected])

Copeland, Thomas E., Monitor Company ([email protected])

Craven, B. D., University of Melbourne, ([email protected])

Finnerty, Joseph E., University of Illinois ([email protected])

Geske, R., University of California at Los Angles

([email protected])

Glosten, Lawrence R., Columbia University ([email protected])

ii list of contributors6
II. List of Contributors

IIb. Contributors to be Invited

Jagannathan, Ravi, Northwestern University

([email protected])

Korajczyk, Robert, Northwestern University

([email protected])

Levy, Haim, Hebrew University ([email protected])

Lin, William T., Tamkang University ([email protected])

Lo, Andrew W., Massachusetts Institute of Technology ([email protected])

Longstaff, F. A., University of California at Los Angles

([email protected])

Kim, E. Han, Univeristy of Michigan ([email protected])

Hilliard, J. E., Louisiana State University ([email protected])

McDonald, Robert Northwestern University

([email protected])

Merville, L. J., University of Texas at Dallas ([email protected])

ii list of contributors7
II. List of Contributors

IIb. Contributors to be Invited

Newbold, Paul, University of Nottingham

([email protected])

Ohlson, James, New York University ([email protected])

Park, Hun Y., University of Illinois at Urbana-Champaign

([email protected])

Ronen, Joshua, New York University ([email protected])

Ronn, Ehud, University of Texas at Austin ([email protected])

Scott, Louis O., Morgan Stanley Dean Witter

([email protected])

Stock, Duane, University of Oklahoma ([email protected])

Tsurumi, Hiroki, Rutgers University ([email protected])

Wang, Shin-Huei, University of Southern California ([email protected])

Wei, K.C. John, Hong Kong University of Science and Technology

([email protected])

Wang, Wen-Ching, Robeco Investment Management

([email protected])

Wu, L., Baruch College ([email protected])

iii submission date and market information
III. Submission date and market information

A) Submission date is September 2007

B) Market

1) This handbook is essentially going to be sold to

libraries, financial industries and students majoring

in either quantitative finance or financial engineering.

C) Competitive books

1) Quantitative Finance and Risk Management: A

Physicist’s Approach by Jan W. Dash, World

Scientific Publishing, 2004.

2) Handbook of Heavy Tailed Distribution in Finance by

Svetlozar Rachev, North-Holland, 2003.

3) Paul Wilmott Introduces Quantitative Finance by

Paul Wilmott, John Wiley & Sons, 2001.

iii submission date and market information1
III. Submission date and market information

C) Competitive books

4) Paul Wilmott on Quantitative Finance, Second Edition by

Paul Wilmott, John Wiley & Sons, 2006.

5) The above mentioned books may be indirectly competing

with this book. The major differences between this

proposed handbook are as follows:

(a) The coverage of this handbook is much wider

than the competitive books.

(b) This handbook not only covers options in the future, it

will also cover portfolio analysis, investment analysis

and risk analysis.

(c) This book not only covers methodology, it also covers

the theories and applications of quantitative finance.

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