Foreword (by Robert C. Merton) ix
Preface xi
PART ONE Efforts and Opinions 1
CHAPTER 1 Introduction to Part I 3
CHAPTER 2 Lifetime Achievement Award (by Dwight Cass) 7
CHAPTER 3 One-on-One Interview with Oldrich Alfons Vasicek (by Nina Mehta) 13
CHAPTER 4 Credit Superquant (by Robert Hunter) 21
PART TWO Term Structure of Interest Rates 27
CHAPTER 5 Introduction to Part II 29
CHAPTER 6 An Equilibrium Characterization of the Term Structure 33
CHAPTER 7 The Liquidity Premium 45
CHAPTER 8 Term Structure Modeling Using Exponential Splines (with Gifford Fong) 49
CHAPTER 9 The Heath, Jarrow, Morton Model 63
PART THREE General Equilibrium 65
CHAPTER 10 Introduction to Part III 67
CHAPTER 11 The Economics of Interest Rates 71
CHAPTER 12 General Equilibrium with Heterogeneous Participants and Discrete Consumption Times 89
CHAPTER 13 Independence of Production and Technology Risks 107
CHAPTER 14 Risk-Neutral Economy and Zero Price of Risk 111
PART FOUR Credit 125
CHAPTER 15 Introduction to Part IV 127
CHAPTER 16 Credit Valuation 131
CHAPTER 17 Probability of Loss on Loan Portfolio 143
CHAPTER 18 Limiting Loan Loss Probability Distribution 147
CHAPTER 19 Loan Portfolio Value 149
CHAPTER 20 The Empirical Test of the Distribution of Loan Portfolio Losses 161
PART FIVE Markets, Portfolios, and Securities 163
CHAPTER 21 Introduction to Part V 165
CHAPTER 22 The Efficient Market Model (with John A.
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Finance, economics and mathematics by Oldrich Alfons Vasicek. ISBN 9781119186205. Published by John Wiley & Sons, Inc. in 2015. Publication and catalogue information, links to buy online and reader comments.
