Cover -- Title Page -- Copyright -- Contents -- Foreword -- Preface -- Part 1 Efforts and Opinions -- Chapter 1 Introduction to Part I -- Chapter 2 Lifetime Achievement Award (by Dwight Cass) -- Inspiration -- Pioneering -- Chapter 3 One-on-One Interview with Oldrich Alfons Vasicek (by Nina Mehta) -- Chapter 4 Credit Superquant (by Robert Hunter) -- Good Company -- Credit Is Due -- Part 2 Term Structure of Interest Rates -- Chapter 5 Introduction to Part II -- Chapter 6 An Equilibrium Characterization of the Term Structure -- Abstract -- Introduction -- Notation and Assumptions -- The Term Structure Equation -- Stochastic Representation of the Bond Price -- A Specific Case -- References -- Chapter 7 The Liquidity Premium -- References -- Chapter 8 Term Structure Modeling Using Exponential Splines (with Gifford Fong) -- Introduction -- Concepts and Terms -- The Model -- References -- Chapter 9 The Heath, Jarrow, Morton Model -- References -- Part 3 General Equilibrium -- Chapter 10 Introduction to Part III -- Chapter 11 The Economics of Interest Rates -- Abstract -- Introduction -- Optimal Investment Strategies -- The Equilibrium Economy -- Examples -- Term Structure Models -- Conclusions -- References -- Chapter 12 General Equilibrium with Heterogeneous Participants and Discrete Consumption Times -- Abstract -- Introduction -- The Equilibrium Economy -- Discrete Consumption Times -- Proof of Convergence -- Concluding Remarks -- References -- Chapter 13 Independence of Production and Technology Risks -- References -- Chapter 14 Risk-Neutral Economy and Zero Price of Risk -- Abstract -- Introduction -- An Economy in Equilibrium -- The Risk-Neutral Economy -- An Economy with Zero Price of Risk -- References -- Part 4 Credit -- Chapter 15 Introduction to Part IV -- Chapter 16 Credit Valuation -- The Approach -- The Firm's Value -- Loan Default.

Debt Structure -- Capital Flows -- Loan Pricing -- Portfolio Diversification -- Summary -- Chapter 17 Probability of Loss on Loan Portfolio -- Chapter 18 Limiting Loan Loss Probability Distribution -- Chapter 19 Loan Portfolio Value -- The Limiting Distribution of Portfolio Losses -- Properties of the Loss Distribution -- The Risk-Neutral Distribution -- The Portfolio Market Value -- Adjustment for Granularity -- Summary -- References -- Chapter 20 The Empirical Test of the Distribution of Loan Portfolio Losses -- Part 5 Markets, Portfolios, and Securities -- Chapter 21 Introduction to Part V -- Chapter 22 The Efficient Market Model (with John A. McQuown) -- Introduction and Summary -- Risk, Risk Aversion, and Compensation -- Measurement of Risk and Return -- Efficient Market Hypothesis -- The Role of the Portfolio in Risk Reduction -- The Capital Asset Pricing Model -- Generalization of the Model -- Conclusion -- References -- Chapter 23 A Risk Minimizing Strategy for Portfolio Immunization (with Gifford Fong) -- Abstract -- Introduction -- Immunization Risk -- Appendix: Proof of the Theorem -- References -- Chapter 24 The Tradeoff between Return and Risk in Immunized Portfolios (with Gifford Fong) -- Abstract -- Introduction -- Portfolio Value and Interest Rate Changes -- Immunization Risk -- Confidence Intervals -- Risk and Return -- References -- Chapter 25 Bond Performance: Analyzing Sources of Return (with Gifford Fong and Charles J. Pearson) -- Analysis of Return -- Measurement of Return Components -- Summary -- References -- Chapter 26 The Best-Return Strategy -- Introduction -- The Objective -- The Costs -- Nonuniform Costs -- Strategy Implementation -- Chapter 27 Volatility: Omission Impossible (with Gifford Fong and Daihyun Yoo) -- Introduction -- Stochastic Volatility Term Structure -- Term Structures of Interest Rates.

Volatility Exposure -- Index Tracking -- References -- Chapter 28 A Multidimensional Framework for Risk Analysis (with Gifford Fong) -- Abstract -- Introduction -- Risk Sources -- Risk Exposures -- Value at Risk -- Stress Testing -- Conclusions -- References -- Chapter 29 Plugging into Electricity (with H'elyette Geman) -- Forward and Futures Contracts on Nonstorable Commodities: The Case of Electricity -- Forward, Futures, and Option Pricing in a Diffusion Setting -- Examples -- Expectations and Risk Premia -- Energy Price Spikes -- The spot price -- Conclusion -- Appendix A: Pricing of Futures, Forwards, and Options -- Appendix B: Spot Price Spikes -- Note -- References -- Chapter 30 Pricing of Energy Derivatives -- Examples -- Reference -- Part 6 Probability Theory and Statistics -- Chapter 31 Introduction to Part VI -- Chapter 32 A Note on Using Cross-sectional Information in Bayesian Estimation of Security Betas -- Abstract -- Introduction -- Bayesian Estimates -- Discussion and Conclusions -- References -- Chapter 33 A Series Expansion for the Bivariate Normal Integral -- Abstract -- Introduction -- The Expansion -- Numerical Results -- Appendix -- References -- Chapter 34 A Conditional Law of Large Numbers -- Abstract -- Introduction -- The Limit Theorems -- Proof of the Theorems -- References -- Chapter 35 A Test for Normality Based on Sample Entropy -- Abstract -- Entropy Estimation -- Test for Normality -- Acknowledgment -- References -- Chapter 36 Monotone Measures of Ergodicity for Markov Chains (with Julian Keilson) -- Abstract -- Introduction -- Some Basic Lemmas -- The Main Result -- Ergodic Chains in Discrete Time -- References -- Chapter 37 An Inequality for the Variance of Waiting Time under a General Queueing Discipline -- Abstract -- Introduction -- Assumptions and Definitions -- The Main Results -- References.

About the Author -- Index -- EULA.