Finance, Economics, and Mathematics

Oldrich Vasicek began his career in economics in the late 1960s as part of a uniquely gifted team of thinkers who pushed the boundaries of financial theory at Wells Fargo Bank in San Francisco. In 1977, he published his breakthrough paper describing the dynamics of the yield curve as a mean-reverting short-rate model, which now is known as the Vasicek model. Oldrich continues to push the frontier of economics, and Finance, Economics, and Mathematics is the brilliantly compiled, up-to-date collection of his work as it shapes the landscape of financial theory and investment practice. For the first time, finance researchers and practitioners have a single resource offering his original published papers, many of which he coauthored with other such economic celebrities as John McQuown, Gifford Fong, and Hélyette Geman. This compendium also features personal thoughts and interviews, as well as never-before published works. Also included are several papers in pure mathematics, showing the other side of his professional double personality. Conveniently organized for topic-specific research, this material provides the author's firsthand look at: The theory of term structure of interest rates and the valuation of bonds The causal relationship of interest rates to economic variables Measurement of credit risk of corporate loans and loan portfolios The principles of bond investment management and performance measurement The mathematics of risk estimation and hedging The importance of bringing finance back to economics Vasicek's research is the foundation of some of the most significant innovations in finance. Reference this collection of enormously influential work.