Handbook of Quantitative Finance and Risk Management

  • Cheng-Few Lee
  • Alice C. Lee
  • John Lee

Table of contents

  1. Front Matter
    Pages i-xxxviii
  2. Overview of Quantitative Finance and Risk Management Research

    1. Front Matter
      Pages 1-1
    2. Wei-Peng Chen, Huimin Chung, Keng-Yu Ho, Tsui-Ling Hsu
      Pages 3-22
    3. Wei-Peng Chen, Huimin Chung, Keng-Yu Ho, Tsui-Ling Hsu
      Pages 23-40
    4. Wei-Peng Chen, Huimin Chung, Keng-Yu Ho, Tsui-Ling Hsu
      Pages 41-50
  3. Portfolio Theory and Investment Analysis

    1. Front Matter
      Pages 52-52
    2. Cheng-Few Lee, Alice C. Lee, John Lee
      Pages 53-68
    3. Cheng-Few Lee, Joseph E. Finnerty, Hong-Yi Chen
      Pages 69-92
    4. Cheng-Few Lee, Joseph E. Finnerty, Donald H. Wort
      Pages 93-109
    5. Cheng-Few Lee, Joseph E. Finnerty, Donald H. Wort
      Pages 111-124
    6. Cheng-Few Lee, Hong-Yi Chen, Jessica Shin-Ying Mai
      Pages 125-135
    7. James S. Ang, Dean Diavatopoulos, Thomas V. Schwarz
      Pages 137-164
    8. Wei-Peng Chen, Huimin Chung, Keng-Yu Ho, Tsui-Ling Hsu
      Pages 165-184
    9. Robert R. Grauer, Frederick C. Shen
      Pages 203-219
    10. Wan-Jiun Paul Chiou, Cheng-Few Lee
      Pages 221-234
    11. Darinka Dentcheva, Andrzej Ruszczyński
      Pages 247-258
    12. Jack Clark Francis
      Pages 259-266
    13. Luis Ferruz, Fernando Gómez-Bezares, María Vargas
      Pages 267-281

About this book


Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This three-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.

Selected entries include:

  • Michael J. Brennan and Yihong Xia on "Persistence, Predictability and Portfolio Planning"

  • Kenton K. Yee on "Combining Fundamental Measures for Stock Selection"

  • Itzhak Venezia on "Asian Options"

  • Ren-Raw Chen, Ben Logan, Oded Palmon, and Larry Shepp on "Dividends vs. Reinvestments in Continuous Time"

  • Fathali Firoozi and Donald Lien on "Capital Structure and Entre Deterrence"

  • Lan-Chih Ho, John Cadle, and Michael Theobald on "Portfolio Insurance Strategies – Review of Theory and Empirical Studies"

  • Gurdip Bakshi, Charles Cao, and Zhiwu Chen on "Option Pricing and Hedging Performance under Stochastic Volatility and Stochastic Interest Rates"

  • C.H. Ted Hong on "Dynamic Econometric Loss Model: A Default Study of US Subprime Market"

  • N.K. Chidambaran on "Genetic Programming for Option Pricing"


Accounting Analysis Arbitrage Finance Investment Investment Analysis Operations Management Options Pricing Model Options Theory Portfolio Analysis Portfolio Management Portfolio Theory Quantitative Finance Stochastic Process econometrics

Editors and affiliations

  • Cheng-Few Lee
    • 1
  • Alice C. Lee
    • 2
  • John Lee
    • 3
  1. 1.Department of Finance and EconomicsRutgers UniversityNew BrunswickUSA
  2. 2.BostonUSA
  3. 3.Center for PBBEF ResearchNorth BrunswickUSA

Bibliographic information

  • DOI https://doi.org/10.1007/978-0-387-77117-5
  • Copyright Information Springer-Verlag US 2010
  • Publisher Name Springer, Boston, MA
  • eBook Packages Business and Economics
  • Print ISBN 978-0-387-77116-8
  • Online ISBN 978-0-387-77117-5
  • About this book