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Mathematical Finance - Bachelier Congress 2000

Selected Papers from the First World Congress of the Bachelier Finance Society, Paris, June 29-July 1, 2000

Part of the book series: Springer Finance (FINANCE)

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Table of contents (22 chapters)

  1. Front Matter

    Pages I-X
  2. Modern Finance Theory Within One Lifetime

    • Paul Samuelson
    Pages 41-45
  3. Rare Events, Large Deviations

    • S. R. S. Varadhan
    Pages 85-92
  4. On the Term Structure of Futures and Forward Prices

    • Tomas Björk, Camilla Landén
    Pages 111-149
  5. The Theory of Good-Deal Pricing in Financial Markets

    • Aleš Černý, Stewart Hodges
    Pages 175-202
  6. Spread Option Valuation and the Fast Fourier Transform

    • M. A. H. Dempster, S. S. G. Hong
    Pages 203-220
  7. The Law of Geometric Brownian Motion and its Integral, Revisited; Application to Conditional Moments

    • Catherine Donati-Martin, Hiroyuki Matsumoto, Marc Yor
    Pages 221-243
  8. Using the Hull and White Two Factor Model in Bank Treasury Risk Management

    • Robert J. Elliott, John van der Hoek
    Pages 269-280
  9. Default Risk and Hazard Process

    • Monique Jeanblanc, Marek Rutkowski
    Pages 281-312
  10. Pricing Credit Derivatives in Credit Classes Frameworks

    • Franck Moraux, Patrick Navatte
    Pages 339-352
  11. An Autoregressive Conditional Binomial Option Pricing Model

    • Jean-Luc Prigent, Olivier Renault, Olivier Scaillet
    Pages 353-373
  12. Theory and Calibration of HJM with Shape Factors

    • Andrea Roncoroni, Paolo Guiotto
    Pages 407-426

Editors and Affiliations

  • CEREMADE, UMR CNRS 7534, Université Paris IX-Dauphine, Paris Cedex 16, France

    Hélyette Geman

  • Groupe ESSEC, Cergy-Pontoise Cedex, France

    Hélyette Geman

  • Robert H. Smith School of Business, University of Maryland, College Park, USA

    Dilip Madan

  • Department of Finance, University of Illinois, Chicago, USA

    Stanley R. Pliska

  • Erasmus Universiteit Rotterdam, Rotterdam, The Netherlands

    Ton Vorst

Bibliographic Information

  • Book Title: Mathematical Finance - Bachelier Congress 2000

  • Book Subtitle: Selected Papers from the First World Congress of the Bachelier Finance Society, Paris, June 29-July 1, 2000

  • Editors: Hélyette Geman, Dilip Madan, Stanley R. Pliska, Ton Vorst

  • Series Title: Springer Finance

  • DOI: https://doi.org/10.1007/978-3-662-12429-1

  • Publisher: Springer Berlin, Heidelberg

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag Berlin Heidelberg 2002

  • Hardcover ISBN: 978-3-540-67781-9Published: 04 December 2001

  • Softcover ISBN: 978-3-642-08729-5Published: 15 December 2010

  • eBook ISBN: 978-3-662-12429-1Published: 11 November 2013

  • Series ISSN: 1616-0533

  • Series E-ISSN: 2195-0687

  • Edition Number: 1

  • Number of Pages: X, 521

  • Topics: Quantitative Finance, Probability Theory and Stochastic Processes, Numerical Analysis, Game Theory, Economics, Social and Behav. Sciences

Buy it now

Buying options

eBook USD 84.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 109.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book USD 109.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access