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Earliest one-factor short-rate models: -- Black (1976) and Rendleman and Bartter (1980) - with lognormally distributed short rate dr = mu.rdt + sig.rdW However, assumption of lognormality was immediately critisized as not able to capture mean-reverting property of interest rates. -- Vasicek (1977) - short rate following a normal mean-reverting process with constant parameters dr = theta.(a - r)d..

xotic Options / Peter G. Zhang The credit risk of complex derivatives / Erik Banks The exchange rate in a behavioral finace framework / Paul De Grauwe & Marianna Grimaldi Fixed income mathmatics / Robert Zipf Stochastic implied volatility / Reinhold Hafner Term structure modeling and estimation in a state space framework / Wolfgang Lemke Valuing fixed income futuers / David Boberski Computationa..

◆ Financial Engineering 추천 주제 ◆ 주제 토픽 American and Russian Options American options under stochastic volatility and stochastic interest ra Pricing and Sensitivity computations of American options in jump type market models The Pricing of Callable Russian Options Asset Allocation and Hedging Dynamic Asset Allocation: a Portfolio Decomposition Formula and Applications Quadratic Hedging Methods for..

Master of Science in Finance(MSF) Programs in US universities Links updated at 30.11.2007 List of Universities offering Master of Science in Finance(MSF), Financial Mathematics(MSFM), Financial Engineering(MSFE), Computational Finance(MSCF), Mathematical Finance(MSMF) and Quantitative Finance(MSQF) in the USA. Auburn University MSF Baruch College MSF Bentley College MSF Boston College MSF Brande..