Transcript Description of Handbook of Quantitative Finance

Description of
Handbook of Quantitative Finance
Edited by
Cheng-Few Lee
Rutgers University
Alice C. Lee
San Francisco State University
This handbook will be published by Springer by January 2009. Please send all
comments and suggestions to C.F. Lee at lee@rbsmail.rutgers.edu
Outline
I. Introduction
II. List of Contributors
IIa. Committed Contributors
IIb. Contributors to be Invited
III. Submission date and market information
I. Introduction
Quantitative finance is a combination of economics, accounting,
statistics, econometrics, mathematics, stochastic process, and
computer science and technology. This handbook will be the
most comprehensive handbook in quantitative finance, which
integrates theory, methodology, and application. Because of the
importance of quantitative finance in the finance industry, it has
become one of the most popular subjects in business school. In
addition, the finance industry has many job opportunities for
people with good training in quantitative finance. Thus, a
handbook should have a broad audience and be of interest to
academics, educators, students, and practitioners.
Based upon our years of experience in teaching, research,
textbook writing, and journal editing on the subject of quantitative
finance, this handbook will review, discuss, and integrate
theoretical, methodological and practical issues of quantitative
finance. This handbook will be structured as follows:
I. Introduction
Part I. Introduction
Part II. Essays
Part III. Contributed Papers
Theories
Methodologies
Applications
Part IV. Appendix
Part V. References
Part VI. Index
Subject Index
Author Index
I. Introduction
Part II of this handbook will cover in detail the essential
financial theories, financial policies, and empirical
methodologies used in quantitative finance. Finance
theories can be classified into (1) classical theory, (2)
new classical theory, (3) CAPM and APT, and (4) theory
of option and futures. Financial policies can be classified
into (1) investment policy, (2) financing policy, (3)
dividend policy, and (4) production policy. The empirical
methodologies that will be covered in part II are
statistics, econometrics, mathematics, operation
research, stochastic process, and computer science,
and technology. Therefore, part II of this handbook will
be structured as follows:
I. Introduction
A.
Theory
1.
2.
3.
4.
B.
Policy
1.
2.
3.
4.
C.
Classical theory
New classical theory
CAPM and APT
Theory of option and futures
Investment policy
Financing policy
Dividend policy
Production policy
Methodology
1.
2.
3.
4.
5.
6.
Statistics
Econometrics
Mathematics
Operation research
Stochastic process
Computer science and technology
I. Introduction
Most of part II will be written by Cheng
Few Lee and Alice Lee. Some portion of
part II will be written by other well-known
scholars. Detailed derivation of theory
and development of methodology will be
presented in the appendix of this
handbook. The Appendix of this
handbook will give detailed derivation of
different finance theory and model such
as stock variation model M&M theory,
portfolio theory, CAPM, APT, OPM, and
future valuation model.
I. Introduction
Part III of this handbook includes contributed papers
which will be written by well-know quantitative finance
scholars and practitioners. The theoretical portion of
these contributed papers will cover important finance
theory, such as stock valuation theory, M&M theories,
portfolio theories, CAPM, OPM, options, futures and
other relevant theories in quantitative finance. The
methodology portion of the contributed papers will
cover methodologies of statistics, econometrics,
mathematics, operation research, simulation and
computer programming in quantitative finance
research. The applications portion of the contributed
papers will cover applications of options and futures
theories in different financial instruments and products.
Portfolio analysis and mutual fund evaluation will also
be presented in this portion. In addition, market risk,
credit risk and operation risk will be discussed in this
portion in detail.
I. Introduction
This handbook will collect important
references in quantitative finance. Finally,
both subject and author index will be
presented in this book.
Given sufficient contributed papers, there
will be two volumes of this handbook. I
would estimate the volume to be about a
thousand pages per handbook.
II. List of Contributors
IIa. Committed Contributors
Aggarwal, Raj, University of Akron (aggarwa@uakron.edu)
Ang, James S., Florida State University (jang@cob.fsu.edu)
Barth, James R., Auburn University (BarthjR@auburn.edu)
Brennan, Michael J., University of California, Los Angeles
(michael.brennan@anderson.ucla.edu)
Brick, I., Rutgers University (ibrick@andromeda.rutgers.edu)
Brown, Steve, New York University (abrown@stern.nyu.edu)
Cao, C., Penn State University (charles@loki.smeal.psu.edu)
Chang, Jow-Ran, National Tsing Hua University
(jrchang@mx.nthu.edu.tw)
Chen, Cho-Jieh, University of Alberta (chojchen@hotmail.com)
II. List of Contributors
IIa. Committed Contributors
Chen, Ren-Raw, Rutgers University (rchen@rci.rutgers.edu)
Chen, Sheng-Syan, National Taiwan University
(fnschen@management.ntu.edu.tw)
Chiang, Thomas C.,Drexel University (chiangtc@drexel.edu)
Chidambaran, N., Rutgers University (chiddi@rci.rutgers.edu)
Chung, Huimin, National Chiao Tung University
(chunghui@mail.nctu.edu.tw)
Chung, San-Lin, National Taiwan University
(chungs@management.ntu.edu.tw)
Cummins, J. David, Wharton School (Cummins@wharton.upenn.edu)
Diavatopoulos, Dean, Florida State University
(cd02c@garnet.acns.fsu.edu)
Duan, Jin-Chuan, University of Toronto (Jcduan@Rotman.Utoronto.Ca)
Ferson, W., Boston College (wayne.ferson@marshall.usc.edu)
Francis, J., Baruch College (jfrancis@snet.net)
Grauer, R.R., Simon Fraser University (grauer@sfu.ca)
Gruber, M.J., New York University (mgruber@stern.nyu.edu)
II. List of Contributors
IIa. Committed Contributors
Han, Chuan-Hsiang, National Tsing Hua University
(chhan@mx.nthu.edu.tw)
Ho, Thomas S. Y., Thomas Ho Company Ltd.
(Tom.ho@thomasho.com)
Hong, C. H. Ted, BeyondBond Inc. (ted@beyondbond.com)
Hong, Yongmiao, Cornell University (yh20@cornell.edu)
Hsieh, Chang-Tseh, University of South Mississippi
(Chang-tseh.Hsieh@usm.edu)
Huang, Jing-Zhi, Penn State University (jxh56@psu.edu)
Hung, Mao-Wei, National Taiwan University
(hung@management.ntu.edu.tw)
Jarrow, Robert, A., Cornell University (raj15@cornell.edu)
John, Kose, New York University (kjohn@stern.nyu.edu)
Kim, Dongcheol, Korea University Business School
(kim@business.rutgers.edu)
Klimberg, Ronald, St. Joseph’s University
Kogan, Alexander, Rutgers University (alvk@pegasus.rutgers.edu)
Kudbya, Stephen, New Jersey Institute of Technology
II. List of Contributors
IIa. Committed Contributors
Lai, Tze Leung, Stanford University (Tze.Lai@stanford.edu)
Lawrence, Kenneth, New Jersey Institute of Technology
(kenneth.d.lawrence@njit.edu)
Lawrence, Sheila, Rutgers University
Lee, Sang Bin, Hanyang University (leesb@hanyang.ac.kr)
Lejeune, Miguel A., Carnegie Mellon University
(mlejeune@andrew.cmu.edu)
Li, Jiandong, Drexel University, (Email: JL383@drexel.edu)
Logan, Ben, Bell Lab
Melamed, B., Rutgers University (melamed@rbs.rutgers.edu)
Milliaris, A. Tassos, Loyola University of Chicago (TMALLIA@luc.edu)
Mizrach, Bruce, Rutgers University (mizrach@econ.rutgers.edu)
Nieh, Chien-Chung, Tamkang University (niehcc@mail.tku.edu.tw)
Pagano, Michael S., Villanova University (michael.pagano@villanova.edu)
Pai, Dinesh, Rutgers University
Palmon, O., Rutgers University (palmon@business.rutgers.edu)
II. List of Contributors
IIa. Committed Contributors
Ritchken, P., Case Western Reserve University (Peter.Ritchken@case.edu)
Ruszczynski, A., Rutgers University (rusz@business.rutgers.edu)
Schwartz, Robert, City University of New York
(Robert_Schwartz@baruch.cuny.edu)
Schwarz, Thomas V., Grand Valley State University
(schwarzt@gvsu.edu)
Shepp, L., Rutgers University (shepp@stat.rutgers.edu)
Shih, Pai-Ta, National Dong-Hwa University
(bdshih@mail.ndhu.edu.tw)Shrestha, Keshab, Nanyang Technological
University (akeshab@ntu.edu.sg)
Taylor, Stephen Lancaster University (s.taylor@lancaster.ac.uk)
Wald, John, University of Texas at San Antonio (John.WALD@utsa.edu,
jkwald@yahoo.com)
Wu, Chunchi Syracuse University (cwu@syr.edu)
Xia, Yihong, University of Pennsylvania (yxia@wharton.upenn.edu)
Xing, Haipeng, Columbia University (hx2106@columbia.edu)
Yee, Kenton, Columbia University (kky2001@columbia.edu)
Zhao, F., Rutgers University (fengzhao@rbsmail.rutgers.edu)
II. List of Contributors
IIb. Contributors to be Invited
Baillie, Richard T., Michigan State University (Baillie@mail.msu.edu)
Bakshi, G, University of Maryland (gbakshi@rhsmith.umd.edu)
Chang, Eric C., The University of Hong Kong
(ecchang@business.hku.hk)
Chen, Carl, Pennsylvania State University (chen@udayton.edu)
Chen. Z., Yale University (Zhiwu.chen@yale.edu)
Choi, J. Jay, Temple University (jay.choi@temple.edu)
Chu, Quentin C., University of Memphis (qchu@memphis.edu)
Cochrane, John H., University of Chicago
(john.cochrane@chicagogsb.edu)
Constantinides, George M., University of Chicago
(gmc@chicagogsb.edu)
Copeland, Thomas E., Monitor Company (tom_copeland@monitor.com)
Craven, B. D., University of Melbourne, (brucedc@unimelb.edu.au)
Finnerty, Joseph E., University of Illinois (finnerty@uiuc.edu)
Geske, R., University of California at Los Angles
(robert.geske@anderson.ucla.edu)
Glosten, Lawrence R., Columbia University (Lrg2@columbia.edu)
II. List of Contributors
IIb. Contributors to be Invited
Jagannathan, Ravi, Northwestern University
(rjaganna@kellogg.northwestern.edu)
Korajczyk, Robert, Northwestern University
(r-korajczyk@kellogg.northwestern.edu)
Levy, Haim, Hebrew University (mshlevy@pluto.mscc.huji.ac.il)
Lin, William T., Tamkang University (wlin@mail.tku.edu.tw)
Lo, Andrew W., Massachusetts Institute of Technology (alo@mit.edu)
Longstaff, F. A., University of California at Los Angles
(francis.longstaff@anderson.ucla.edu)
Kim, E. Han, Univeristy of Michigan (ehkim@umich.edu)
Hilliard, J. E., Louisiana State University (hilliar@lsu.edu)
McDonald, Robert Northwestern University
(r-mcdonald@kellogg.northwestern.edu)
Merville, L. J., University of Texas at Dallas (merville@utdallas.edu)
II. List of Contributors
IIb. Contributors to be Invited
Newbold, Paul, University of Nottingham
(Paul.newbold@nottingham.ac.uk)
Ohlson, James, New York University (johlson@stern.nyu.edu)
Park, Hun Y., University of Illinois at Urbana-Champaign
(hypark@uiuc.edu)
Ronen, Joshua, New York University (jronen@stern.nyu.edu)
Ronn, Ehud, University of Texas at Austin (eronn@mail.utexas.edu)
Scott, Louis O., Morgan Stanley Dean Witter
(Louis.scott@morganstanley.com)
Stock, Duane, University of Oklahoma (dstock@ou.edu)
Tsurumi, Hiroki, Rutgers University (tsurumi@rci.rutgers.edu)
Wang, Shin-Huei, University of Southern California (chsiao@usc.edu)
Wei, K.C. John, Hong Kong University of Science and Technology
(Johnwei@ust.hk)
Wang, Wen-Ching, Robeco Investment Management
(Wen.Wang@robecoinvest.com)
Wu, L., Baruch College (Liuren_Wu@baruch.cuny.edu)
III. Submission date
and market information
A) Submission date is September 2007
B) Market
1) This handbook is essentially going to be sold to
libraries, financial industries and students majoring
in either quantitative finance or financial engineering.
C)Competitive books
1) Quantitative Finance and Risk Management: A
Physicist’s Approach by Jan W. Dash, World
Scientific Publishing, 2004.
2) Handbook of Heavy Tailed Distribution in Finance by
Svetlozar Rachev, North-Holland, 2003.
3) Paul Wilmott Introduces Quantitative Finance by
Paul Wilmott, John Wiley & Sons, 2001.
III. Submission date
and market information
C) Competitive books
4) Paul Wilmott on Quantitative Finance, Second Edition by
Paul Wilmott, John Wiley & Sons, 2006.
5) The above mentioned books may be indirectly competing
with this book. The major differences between this
proposed handbook are as follows:
(a) The coverage of this handbook is much wider
than the competitive books.
(b) This handbook not only covers options in the future, it
will also cover portfolio analysis, investment analysis
and risk analysis.
(c) This book not only covers methodology, it also covers
the theories and applications of quantitative finance.