This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

This paper surveys a wide selection of the interpolation algorithms that are in use in financial
markets for construction of curves such as forward curves, basis curves, and most …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

This article derives underlying asset risk‐neutral probability distributions of European
options on the S&P 500 index. Nonparametric methods are used to choose probabilities that …

The credit derivatives market is booming and, for the first time, expanding into the banking
sector which previously has had very little exposure to quantitative modeling. This …

Page 1 Science from Fisher Information A Unification B. Roy Frieden Page 2 Page 3
SCIENCE FROM FISHER INFORMATION The aim of this book is to show that information is …

Within a Markov regime-switching VAR framework, we investigate the contagion effects
among the stock market, real estate market, credit default market, and energy market …

The idea of writing this book arose in 2000 when the first author was assigned to teach the
required course STATS 240 (Statistical Methods in Finance) in the new MS program in …

This paper uses an HJM model to price TIPS and related derivative securities. First, using
the market prices of TIPS and ordinary US Treasury securities, both the real and nominal …

We discuss the modeling of electricity contracts traded in many deregulated power markets.
These forward/futures type contracts deliver (either physically or financially) electricity over a …