Finance, Economics, and Mathematics

PRAISE FOR FINANCE, ECONOMICS, AND MATHEMATICS

"For more than four decades, Vasicek has pioneered important research about the term structure of interest rates, credit analysis, bond portfolio management, and general equilibrium theory. He has always brought just the right mathematical tools to solve every problem he has tackled. This historical compendium of his work still sparkles with creativity."
—Richard Roll, Professor Emeritus, UCLA Anderson School of Management

"Oldrich Vasicek has had an exemplary, inspiring, and enviable career in finance. From his prescient 1977 paper on term structure to his model of credit valuation, he has persistently shown us how to combine rigorous science with economics and intuition to provide remarkable insight into business. This wonderful collection of his papers reflects the high scientific standards he has brought to bear on the field."
—Emanuel Derman, Director of the MS Program in Financial Engineering, Columbia University

THE COMPILED WORKS OF THE MAN BEHIND THE EVOLUTION OF QUANTITATIVE FINANCE

Finance, Economics, and Mathematics is the complete Vasicek reference work, including published and unpublished work and interviews with the man himself. The name Oldrich Vasicek is synonymous with cutting-edge research in finance, and this book comes straight from the source to bring you the groundbreaking papers from one of the founders of the field. From his early work in yield curve dynamics, to the mean-reverting short-rate model, to his thoughts on derivatives pricing, to his work on credit risk, to his most recent research on the economics of interest rates, this book represents a compilation of an industry leader's life's work. If you're involved in finance today, you apply his theory in fundamental practice every day; this book puts his work all in a single volume you'll turn to again and again.

• Explore Vasicek's insights on the foundational topics he helped create
• Discover the research and ideas that have gone unpublished—until now
• Understand yield curves and the Vasicek model from the source himself
• Follow the ideas that revolutionized portfolio credit risk measurement

Finance, Economics, and Mathematics is the definitive Vasicek reference every finance professional needs.