description of handbook of quantitative finance

Description of Description of Handbook of Quantitative FinanceHandbook of Quantitative Finance

Edited byEdited byCheng-Few LeeCheng-Few Lee

Rutgers UniversityRutgers University

Alice C. LeeAlice C. LeeSan Francisco State University San Francisco State University

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

OutlineOutline

I. IntroductionI. Introduction

II. List of ContributorsII. List of Contributors

IIa. Committed ContributorsIIa. Committed Contributors

IIb. Contributors to be InvitedIIb. Contributors to be Invited

III. Submission date and market informationIII. Submission date and market information


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

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


Part I. IntroductionPart I. IntroductionPart II. EssaysPart II. EssaysPart III. Contributed Papers Part III. Contributed Papers TheoriesTheories MethodologiesMethodologies ApplicationsApplicationsPart IV. AppendixPart IV. AppendixPart V. ReferencesPart V. ReferencesPart VI. IndexPart VI. Index Subject IndexSubject Index Author IndexAuthor Index


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

I. IntroductionI. IntroductionA.A. TheoryTheory

1.1. Classical theoryClassical theory2.2. New classical theoryNew classical theory3.3. CAPM and APT CAPM and APT 4.4. Theory of option and futuresTheory of option and futures

B.B. PolicyPolicy1.1. Investment policyInvestment policy2.2. Financing policyFinancing policy3.3. Dividend policy Dividend policy 4.4. Production policyProduction policy

C.C. MethodologyMethodology1.1. StatisticsStatistics2.2. EconometricsEconometrics3.3. MathematicsMathematics4.4. Operation researchOperation research5.5. Stochastic processStochastic process6.6. Computer science and technologyComputer science and technology


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


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


This handbook will collect important refereThis handbook will collect important refere

nces in quantitative finance. Finally, both nces in quantitative finance. Finally, both subject and author index will be presentesubject and author index will be presented in this book.d in this book.

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



Aggarwal, Raj, University of Akron ([email protected])Aggarwal, Raj, University of Akron ([email protected])Ang, James S., Florida State University ([email protected]) Ang, James S., Florida State University ([email protected]) Barth, James R., Auburn University ([email protected])Barth, James R., Auburn University ([email protected])Brennan, Michael J., University of California, Los Angeles Brennan, Michael J., University of California, Los Angeles ([email protected])([email protected])Brick, I., Rutgers University ([email protected]) Brick, I., Rutgers University ([email protected]) Brown, Steve, New York University ([email protected])Brown, Steve, New York University ([email protected])Cao, C., Penn State University ([email protected])Cao, C., Penn State University ([email protected])Chang, Jow-Ran, National Tsing Hua University Chang, Jow-Ran, National Tsing Hua University ([email protected])([email protected])Chen, Cho-Jieh, University of Alberta ([email protected], Cho-Jieh, University of Alberta ([email protected]

m)m)


Chen, Ren-Raw, Rutgers University ([email protected])Chen, Ren-Raw, Rutgers University ([email protected])Chen, Sheng-Syan, National Taiwan University Chen, Sheng-Syan, National Taiwan University ([email protected]) ([email protected]) Chiang, Thomas C.,Drexel University ([email protected]) Chiang, Thomas C.,Drexel University ([email protected]) Chidambaran, N., Rutgers University ([email protected])Chidambaran, N., Rutgers University ([email protected])Chung, Huimin, National Chiao Tung University Chung, Huimin, National Chiao Tung University ([email protected])([email protected])Chung, San-Lin, National Taiwan University Chung, San-Lin, National Taiwan University ([email protected])([email protected])Cummins, J. David, Wharton School ([email protected])Cummins, J. David, Wharton School ([email protected])Diavatopoulos, Dean, Florida State University Diavatopoulos, Dean, Florida State University ([email protected])([email protected])Duan, Jin-Chuan, University of Toronto ([email protected])Duan, Jin-Chuan, University of Toronto ([email protected])Ferson, W., Boston College ([email protected]) Ferson, W., Boston College ([email protected]) Francis, J., Baruch College ([email protected])Francis, J., Baruch College ([email protected])Grauer, R.R., Simon Fraser University ([email protected]) Grauer, R.R., Simon Fraser University ([email protected]) Gruber, M.J., New York University ([email protected])Gruber, M.J., New York University ([email protected])



Han, Chuan-Hsiang, National Tsing Hua University Han, Chuan-Hsiang, National Tsing Hua University ([email protected]) ([email protected]) Ho, Thomas S. Y., Thomas Ho Company Ltd. Ho, Thomas S. Y., Thomas Ho Company Ltd. ([email protected])([email protected])Hong, C. H. Ted, BeyondBond Inc. ([email protected]) Hong, C. H. Ted, BeyondBond Inc. ([email protected]) Hong, Yongmiao, Cornell University ([email protected])Hong, Yongmiao, Cornell University ([email protected])Hsieh, Chang-Tseh, University of South Mississippi Hsieh, Chang-Tseh, University of South Mississippi ([email protected]) ([email protected]) Huang, Jing-Zhi, Penn State University ([email protected])Huang, Jing-Zhi, Penn State University ([email protected])Hung, Mao-Wei, National Taiwan University Hung, Mao-Wei, National Taiwan University ([email protected]) ([email protected]) Jarrow, Robert, A., Cornell University ([email protected])Jarrow, Robert, A., Cornell University ([email protected])John, Kose, New York University ([email protected])John, Kose, New York University ([email protected])Kim, Dongcheol, Korea University Business School Kim, Dongcheol, Korea University Business School ([email protected])([email protected])Klimberg, Ronald, St. Joseph’s UniversityKlimberg, Ronald, St. Joseph’s UniversityKogan, Alexander, Rutgers University ([email protected])Kogan, Alexander, Rutgers University ([email protected])Kudbya, Stephen, New Jersey Institute of TechnologyKudbya, Stephen, New Jersey Institute of Technology



Lai, Tze Leung, Stanford University ([email protected])Lai, Tze Leung, Stanford University ([email protected])Lawrence, Kenneth, New Jersey Institute of Technology Lawrence, Kenneth, New Jersey Institute of Technology ([email protected])([email protected])Lawrence, Sheila, Rutgers University Lawrence, Sheila, Rutgers University Lee, Sang Bin, Hanyang University ([email protected])Lee, Sang Bin, Hanyang University ([email protected])Lejeune, Miguel A., Carnegie Mellon University Lejeune, Miguel A., Carnegie Mellon University ([email protected]) ([email protected]) Li, Jiandong, Drexel University, (Email: [email protected])Li, Jiandong, Drexel University, (Email: [email protected])Logan, Ben, Bell LabLogan, Ben, Bell LabMelamed, B., Rutgers University ([email protected])Melamed, B., Rutgers University ([email protected])Milliaris, A. Tassos, Loyola University of Chicago ([email protected])Milliaris, A. Tassos, Loyola University of Chicago ([email protected])Mizrach, Bruce, Rutgers University ([email protected])Mizrach, Bruce, Rutgers University ([email protected])Nieh, Chien-Chung, Tamkang University ([email protected])Nieh, Chien-Chung, Tamkang University ([email protected])Pagano, Michael S., Villanova University ([email protected])Pagano, Michael S., Villanova University ([email protected])Pai, Dinesh, Rutgers UniversityPai, Dinesh, Rutgers UniversityPalmon, O., Rutgers University ([email protected])Palmon, O., Rutgers University ([email protected])



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

Ruszczynski, A., Rutgers University ([email protected])Ruszczynski, A., Rutgers University ([email protected])Schwartz, Robert, City University of New York Schwartz, Robert, City University of New York ([email protected])([email protected])

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

Shepp, L., Rutgers University ([email protected])Shepp, L., Rutgers University ([email protected])Shih, Pai-Ta, National Dong-Hwa University ([email protected])ShrShih, Pai-Ta, National Dong-Hwa University ([email protected])Shr

estha, Keshab, Nanyang Technological University ([email protected], Keshab, Nanyang Technological University ([email protected])g)

Taylor, Stephen Lancaster University ([email protected])Taylor, Stephen Lancaster University ([email protected])Wald, John, University of Texas at San Antonio ([email protected], Wald, John, University of Texas at San Antonio ([email protected], [email protected])[email protected])Wu, Chunchi Syracuse University ([email protected]) Wu, Chunchi Syracuse University ([email protected]) Xia, Yihong, University of Pennsylvania ([email protected])Xia, Yihong, University of Pennsylvania ([email protected])Xing, Haipeng, Columbia University ([email protected])Xing, Haipeng, Columbia University ([email protected])Yee, Kenton, Columbia University ([email protected]) Yee, Kenton, Columbia University ([email protected]) Zhao, F., Rutgers University ([email protected])Zhao, F., Rutgers University ([email protected])



Baillie, Richard T., Michigan State University ([email protected]) Baillie, Richard T., Michigan State University ([email protected]) Bakshi, G, University of Maryland ([email protected])Bakshi, G, University of Maryland ([email protected])Chang, Eric C., The University of Hong Kong ([email protected], Eric C., The University of Hong Kong ([email protected]

k)k)Chen, Carl, Pennsylvania State University ([email protected])Chen, Carl, Pennsylvania State University ([email protected])Chen. Z., Yale University ([email protected])Chen. Z., Yale University ([email protected])Choi, J. Jay, Temple University ([email protected])Choi, J. Jay, Temple University ([email protected])Chu, Quentin C., University of Memphis ([email protected])Chu, Quentin C., University of Memphis ([email protected])Cochrane, John H., University of Chicago ([email protected], John H., University of Chicago (john.cochrane@chicagogsb.

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

u)u)Copeland, Thomas E., Monitor Company ([email protected])Copeland, Thomas E., Monitor Company ([email protected])Craven, B. D., University of Melbourne, ([email protected]) Craven, B. D., University of Melbourne, ([email protected]) Finnerty, Joseph E., University of Illinois ([email protected])Finnerty, Joseph E., University of Illinois ([email protected])Geske, R., University of California at Los Angles Geske, R., University of California at Los Angles ([email protected])([email protected])Glosten, Lawrence R., Columbia University ([email protected])Glosten, Lawrence R., Columbia University ([email protected])



Jagannathan, Ravi, Northwestern University Jagannathan, Ravi, Northwestern University ([email protected])([email protected])Korajczyk, Robert, Northwestern University Korajczyk, Robert, Northwestern University ([email protected])([email protected])Levy, Haim, Hebrew University ([email protected]) Levy, Haim, Hebrew University ([email protected]) Lin, William T., Tamkang University ([email protected])Lin, William T., Tamkang University ([email protected])Lo, Andrew W., Massachusetts Institute of Technology ([email protected], Andrew W., Massachusetts Institute of Technology ([email protected]

u)u)Longstaff, F. A., University of California at Los Angles Longstaff, F. A., University of California at Los Angles ([email protected])([email protected])Kim, E. Han, Univeristy of Michigan ([email protected])Kim, E. Han, Univeristy of Michigan ([email protected])Hilliard, J. E., Louisiana State University ([email protected])Hilliard, J. E., Louisiana State University ([email protected])McDonald, Robert Northwestern University McDonald, Robert Northwestern University ([email protected])([email protected])Merville, L. J., University of Texas at Dallas ([email protected])Merville, L. J., University of Texas at Dallas ([email protected])



Newbold, Paul, University of Nottingham Newbold, Paul, University of Nottingham ([email protected])([email protected])Ohlson, James, New York University ([email protected])Ohlson, James, New York University ([email protected])Park, Hun Y., University of Illinois at Urbana-Champaign Park, Hun Y., University of Illinois at Urbana-Champaign ([email protected])([email protected])Ronen, Joshua, New York University ([email protected])Ronen, Joshua, New York University ([email protected])Ronn, Ehud, University of Texas at Austin ([email protected]) Ronn, Ehud, University of Texas at Austin ([email protected]) Scott, Louis O., Morgan Stanley Dean Witter Scott, Louis O., Morgan Stanley Dean Witter ([email protected])([email protected])Stock, Duane, University of Oklahoma ([email protected])Stock, Duane, University of Oklahoma ([email protected])Tsurumi, Hiroki, Rutgers University ([email protected])Tsurumi, Hiroki, Rutgers University ([email protected])Wang, Shin-Huei, University of Southern California ([email protected])Wang, Shin-Huei, University of Southern California ([email protected])Wei, K.C. John, Hong Kong University of Science and Technology Wei, K.C. John, Hong Kong University of Science and Technology ([email protected]) ([email protected]) Wang, Wen-Ching, Robeco Investment Management Wang, Wen-Ching, Robeco Investment Management ([email protected])([email protected])Wu, L., Baruch College ([email protected])Wu, L., Baruch College ([email protected])


III. Submission date III. Submission date and market informationand market information

A)A) Submission date is September 2007Submission date is September 2007B)B) MarketMarket 1)1) This handbook is essentially going to be sold to This handbook is essentially going to be sold to libraries, financial industries and students majoring libraries, financial industries and students majoring in either quantitative finance or financial engineering.in either quantitative finance or financial engineering.C)C)Competitive booksCompetitive books 1)1) Quantitative Finance and Risk Management: A Quantitative Finance and Risk Management: A Physicist’s Approach by Jan W. Dash, World Physicist’s Approach by Jan W. Dash, World Scientific Publishing, 2004.Scientific Publishing, 2004. 2)2) Handbook of Heavy Tailed Distribution in Finance bHandbook of Heavy Tailed Distribution in Finance b

y y Svetlozar Rachev, North-Holland, 2003.Svetlozar Rachev, North-Holland, 2003. 3)3) Paul Wilmott Introduces Quantitative Finance by Paul Wilmott Introduces Quantitative Finance by Paul Wilmott, John Wiley & Sons, 2001. Paul Wilmott, John Wiley & Sons, 2001.

III. Submission date III. Submission date and market informationand market information

C)C) Competitive booksCompetitive books 4)4) Paul Wilmott on Quantitative Finance, Second Edition bPaul Wilmott on Quantitative Finance, Second Edition b

y y Paul Wilmott, John Wiley & Sons, 2006.Paul Wilmott, John Wiley & Sons, 2006. 5)5) The above mentioned books may be indirectly competinThe above mentioned books may be indirectly competin

g g with this book. The major differences between this with this book. The major differences between this proposed handbook are as follows:proposed handbook are as follows: (a) The coverage of this handbook is much wider (a) The coverage of this handbook is much wider than the competitive books. than the competitive books. (b) This handbook not only covers options in the future, it (b) This handbook not only covers options in the future, it will also cover portfolio analysis, investment analysis will also cover portfolio analysis, investment analysis and risk analysis.and risk analysis. (c) This book not only covers methodology, it also covers (c) This book not only covers methodology, it also covers the theories and applications of quantitative finance. the theories and applications of quantitative finance.

description of handbook of quantitative finance

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