Mathematical Finance - Bachelier Congress 2000: Selected Papers from the First World Congress of the Bachelier Finance Society, Paris, June 29-July 1, 2000 (Springer Finance)

The Bachelier Society for Mathematical Finance, founded in 1996, held its 1st World Congress in Paris on June 28 to July 1, 2000, thus coinciding in time with the centenary of the thesis defence of Louis Bachelier. In his thesis Bachelier introduced Brownian motion as a tool for the analysis of financial markets as well as the exact definition of options, and this is widely considered the keystone for the emergence of mathematical finance as a scientific discipline. The prestigious list of plenary speakers in Paris included 2 Nobel laureates, Paul Samuelson and Robert Merton. Over 130 further selected talks were given in 3 parallel sessions, all well attended by the over 500 participants who registered from all continents. Front Matter....Pages I-X Bachelier and His Times: A Conversation with Bernard Bru....Pages 1-39 Modern Finance Theory Within One Lifetime....Pages 41-45 Future Possibilities in Finance Theory and Finance Practice....Pages 47-73 Brownian Motion and the General Diffusion: Scale & Clock....Pages 75-83 Rare Events, Large Deviations....Pages 85-92 Conquering the Greeks in Monte Carlo: Efficient Calculation of the Market Sensitivities and Hedge-Ratios of Financial Assets by Direct Numerical Simulation....Pages 93-109 On the Term Structure of Futures and Forward Prices....Pages 111-149 Displaced and Mixture Diffusions for Analytically-Tractable Smile Models....Pages 151-174 The Theory of Good-Deal Pricing in Financial Markets....Pages 175-202 Spread Option Valuation and the Fast Fourier Transform....Pages 203-220 The Law of Geometric Brownian Motion and its Integral, Revisited; Application to Conditional Moments....Pages 221-243 The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures....Pages 245-267 Using the Hull and White Two Factor Model in Bank Treasury Risk Management....Pages 269-280 Default Risk and Hazard Process....Pages 281-312 Utility-Based Derivative Pricing in Incomplete Markets....Pages 313-338 Pricing Credit Derivatives in Credit Classes Frameworks....Pages 339-352 An Autoregressive Conditional Binomial Option Pricing Model....Pages 353-373 Markov Chains and the Potential Approach to Modelling Interest Rates and Exchange Rates....Pages 375-406 Theory and Calibration of HJM with Shape Factors....Pages 407-426 Optimal Investment in Incomplete Financial Markets....Pages 427-462 Evaluating Investments in Disruptive Technologies....Pages 463-486 Quickest Detection Problems in the Technical Analysis of the Financial Data....Pages 487-521 Back Matter....Pages 523-523

the Bachelier Society For Mathematical Finance Held Its First World Congress In Paris Last Year, And Coincided With The Centenary Of Louis Bacheliers Thesis Defence. In His Thesis Bachelier Introduces Brownian Motion As A Tool For The Analysis Of Financial Markets As Well As The Exact Definition Of Options. The Thesis Is Viewed By Many The Key Event That Marked The Emergence Of Mathematical Finance As A Scientific Discipline. The Prestigious List Of Plenary Speakers In Paris Included Two Nobel Laureates, Paul Samuelson And Robert Merton, And The Mathematicians Henry Mckean And S.r.s. Varadhan. Over 130 Further Selected Talks Were Given In Three Parallel Sessions. .