Handbooks in Operations Research and Management Science Financial Engineering Volume 15 Handbooks in Operations Research and Management Science Volume 15 1st Edition Birge John R Linetsky Vadim

Part I: Introduction

Chapter 1. An Introduction to Financial Asset Pricing

Part II: Derivative Securities: Models and Methods

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

Chapter 3. Modeling Financial Security Returns Using Lévy Processes

Chapter 4. Pricing with Wishart Risk Factors

Chapter 5. Volatility

Chapter 6. Spectral Methods in Derivatives Pricing

Chapter 7. Variational Methods in Derivatives Pricing

Chapter 8. Discrete Barrier and Lookback Options

Part III: Interest Rate and Credit Risk Models and Derivatives

Chapter 9. Topics in Interest Rate Theory

Chapter 10. Calculating Portfolio Credit Risk

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

Part IV: Incomplete Markets

Chapter 12. Incomplete Markets

Chapter 13. Option Pricing: Real and Risk-Neutral Distributions

Chapter 14. Total Risk Minimization Using Monte Carlo Simulations

Chapter 15. Queuing Theoretic Approaches to Financial Price Fluctuations

Part V: Risk Management

Chapter 16. Economic Credit Capital Allocation and Risk Contributions

Chapter 17. Liquidity Risk and Option Pricing Theory

Chapter 18. Financial Engineering: Applications in Insurance

Part VI: Portfolio Optimization

Chapter 19. Dynamic Portfolio Choice and Risk Aversion

Chapter 20. Optimization Methods in Dynamic Portfolio Management

Chapter 21. Simulation Methods for Optimal Portfolios

Chapter 22. Duality Theory and Approximate Dynamic Programming for Pricing American Options and Port

Chapter 23. Asset Allocation with Multivariate Non-Gaussian Returns

Chapter 24. Large Deviation Techniques and Financial Applications