Description of Handbook of Quantitative Finance

1. Description of Handbook of Quantitative Finance Edited by Cheng-Few Lee Rutgers University Alice C. Lee San Francisco State University This handbook will be published by Springer by January 2009. Please send all comments and suggestions to C.F. Lee at lee@rbsmail.rutgers.edu

2. Outline I. Introduction II. List of Contributors IIa. Committed Contributors IIb. Contributors to be Invited III. Submission date and market information

3. I. Introduction Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. This handbook will be the most comprehensive handbook in quantitative finance, which integrates theory, methodology, and application. Because of the importance of quantitative finance in the finance industry, it has become one of the most popular subjects in business school. In addition, the finance industry has many job opportunities for people with good training in quantitative finance. Thus, a handbook should have a broad audience and be of interest to academics, educators, students, and practitioners. Based upon our years of experience in teaching, research, textbook writing, and journal editing on the subject of quantitative finance, this handbook will review, discuss, and integrate theoretical, methodological and practical issues of quantitative finance. This handbook will be structured as follows:

4. I. Introduction Part I. Introduction Part II. Essays Part III. Contributed Papers Theories Methodologies Applications Part IV. Appendix Part V. References Part VI. Index Subject Index Author Index

5. I. Introduction Part II of this handbook will cover in detail the essential financial theories, financial policies, and empirical methodologies used in quantitative finance. Finance theories can be classified into (1) classical theory, (2) new classical theory, (3) CAPM and APT, and (4) theory of option and futures. Financial policies can be classified into (1) investment policy, (2) financing policy, (3) dividend policy, and (4) production policy. The empirical methodologies that will be covered in part II are statistics, econometrics, mathematics, operation research, stochastic process, and computer science, and technology. Therefore, part II of this handbook will be structured as follows:

6. I. Introduction • Theory • Classical theory • New classical theory • CAPM and APT • Theory of option and futures • Policy • Investment policy • Financing policy • Dividend policy • Production policy • Methodology • Statistics • Econometrics • Mathematics • Operation research • Stochastic process • Computer science and technology

7. I. Introduction Most of part II will be written by Cheng Few Lee and Alice Lee. Some portion of part II will be written by other well-known scholars. Detailed derivation of theory and development of methodology will be presented in the appendix of this handbook. The Appendix of this handbook will give detailed derivation of different finance theory and model such as stock variation model M&M theory, portfolio theory, CAPM, APT, OPM, and future valuation model.

8. I. Introduction Part III of this handbook includes contributed papers which will be written by well-know quantitative finance scholars and practitioners. The theoretical portion of these contributed papers will cover important finance theory, such as stock valuation theory, M&M theories, portfolio theories, CAPM, OPM, options, futures and other relevant theories in quantitative finance. The methodology portion of the contributed papers will cover methodologies of statistics, econometrics, mathematics, operation research, simulation and computer programming in quantitative finance research. The applications portion of the contributed papers will cover applications of options and futures theories in different financial instruments and products. Portfolio analysis and mutual fund evaluation will also be presented in this portion. In addition, market risk, credit risk and operation risk will be discussed in this portion in detail.

9. I. Introduction This handbook will collect important references in quantitative finance. Finally, both subject and author index will be presented in this book. Given sufficient contributed papers, there will be two volumes of this handbook. I would estimate the volume to be about a thousand pages per handbook.

10. II. List of Contributors IIa. Committed Contributors Aggarwal, Raj, University of Akron (aggarwa@uakron.edu) Ang, James S., Florida State University (jang@cob.fsu.edu) Barth, James R., Auburn University (BarthjR@auburn.edu) Brennan, Michael J., University of California, Los Angeles (michael.brennan@anderson.ucla.edu) Brick, I., Rutgers University (ibrick@andromeda.rutgers.edu) Brown, Steve, New York University (abrown@stern.nyu.edu) Cao, C., Penn State University (charles@loki.smeal.psu.edu) Chang, Jow-Ran, National Tsing Hua University (jrchang@mx.nthu.edu.tw) Chen, Cho-Jieh, University of Alberta (chojchen@hotmail.com)

11. II. List of Contributors IIa. Committed Contributors Chen, Ren-Raw, Rutgers University (rchen@rci.rutgers.edu) Chen, Sheng-Syan, National Taiwan University (fnschen@management.ntu.edu.tw) Chiang, Thomas C.,Drexel University (chiangtc@drexel.edu) Chidambaran, N., Rutgers University (chiddi@rci.rutgers.edu) Chung, Huimin, National Chiao Tung University (chunghui@mail.nctu.edu.tw) Chung, San-Lin, National Taiwan University (chungs@management.ntu.edu.tw) Cummins, J. David, Wharton School (Cummins@wharton.upenn.edu) Diavatopoulos, Dean, Florida State University (cd02c@garnet.acns.fsu.edu) Duan, Jin-Chuan, University of Toronto (Jcduan@Rotman.Utoronto.Ca) Ferson, W., Boston College (wayne.ferson@marshall.usc.edu) Francis, J., Baruch College (jfrancis@snet.net) Grauer, R.R., Simon Fraser University (grauer@sfu.ca) Gruber, M.J., New York University (mgruber@stern.nyu.edu)

12. II. List of Contributors IIa. Committed Contributors Han, Chuan-Hsiang, National Tsing Hua University (chhan@mx.nthu.edu.tw) Ho, Thomas S. Y., Thomas Ho Company Ltd. (Tom.ho@thomasho.com) Hong, C. H. Ted, BeyondBond Inc. (ted@beyondbond.com) Hong, Yongmiao, Cornell University (yh20@cornell.edu) Hsieh, Chang-Tseh, University of South Mississippi (Chang-tseh.Hsieh@usm.edu) Huang, Jing-Zhi, Penn State University (jxh56@psu.edu) Hung, Mao-Wei, National Taiwan University (hung@management.ntu.edu.tw) Jarrow, Robert, A., Cornell University (raj15@cornell.edu) John, Kose, New York University (kjohn@stern.nyu.edu) Kim, Dongcheol, Korea University Business School (kim@business.rutgers.edu) Klimberg, Ronald, St. Joseph’s University Kogan, Alexander, Rutgers University (alvk@pegasus.rutgers.edu) Kudbya, Stephen, New Jersey Institute of Technology

13. II. List of Contributors IIa. Committed Contributors Lai, Tze Leung, Stanford University (Tze.Lai@stanford.edu) Lawrence, Kenneth, New Jersey Institute of Technology (kenneth.d.lawrence@njit.edu) Lawrence, Sheila, Rutgers University Lee, Sang Bin, Hanyang University (leesb@hanyang.ac.kr) Lejeune, Miguel A., Carnegie Mellon University (mlejeune@andrew.cmu.edu) Li, Jiandong, Drexel University, (Email: JL383@drexel.edu) Logan, Ben, Bell Lab Melamed, B., Rutgers University (melamed@rbs.rutgers.edu) Milliaris, A. Tassos, Loyola University of Chicago (TMALLIA@luc.edu) Mizrach, Bruce, Rutgers University (mizrach@econ.rutgers.edu) Nieh, Chien-Chung, Tamkang University (niehcc@mail.tku.edu.tw) Pagano, Michael S., Villanova University (michael.pagano@villanova.edu) Pai, Dinesh, Rutgers University Palmon, O., Rutgers University (palmon@business.rutgers.edu)

14. II. List of Contributors IIa. Committed Contributors Ritchken, P., Case Western Reserve University (Peter.Ritchken@case.edu) Ruszczynski, A., Rutgers University (rusz@business.rutgers.edu) Schwartz, Robert, City University of New York (Robert_Schwartz@baruch.cuny.edu) Schwarz, Thomas V., Grand Valley State University (schwarzt@gvsu.edu) Shepp, L., Rutgers University (shepp@stat.rutgers.edu) Shih, Pai-Ta, National Dong-Hwa University (bdshih@mail.ndhu.edu.tw)Shrestha, Keshab, Nanyang Technological University (akeshab@ntu.edu.sg) Taylor, Stephen Lancaster University (s.taylor@lancaster.ac.uk) Wald, John, University of Texas at San Antonio (John.WALD@utsa.edu, jkwald@yahoo.com) Wu, Chunchi Syracuse University (cwu@syr.edu) Xia, Yihong, University of Pennsylvania (yxia@wharton.upenn.edu) Xing, Haipeng, Columbia University (hx2106@columbia.edu) Yee, Kenton, Columbia University (kky2001@columbia.edu) Zhao, F., Rutgers University (fengzhao@rbsmail.rutgers.edu)

15. II. List of Contributors IIb. Contributors to be Invited Baillie, Richard T., Michigan State University (Baillie@mail.msu.edu) Bakshi, G, University of Maryland (gbakshi@rhsmith.umd.edu) Chang, Eric C., The University of Hong Kong (ecchang@business.hku.hk) Chen, Carl, Pennsylvania State University (chen@udayton.edu) Chen. Z., Yale University (Zhiwu.chen@yale.edu) Choi, J. Jay, Temple University (jay.choi@temple.edu) Chu, Quentin C., University of Memphis (qchu@memphis.edu) Cochrane, John H., University of Chicago (john.cochrane@chicagogsb.edu) Constantinides, George M., University of Chicago (gmc@chicagogsb.edu) Copeland, Thomas E., Monitor Company (tom_copeland@monitor.com) Craven, B. D., University of Melbourne, (brucedc@unimelb.edu.au) Finnerty, Joseph E., University of Illinois (finnerty@uiuc.edu) Geske, R., University of California at Los Angles (robert.geske@anderson.ucla.edu) Glosten, Lawrence R., Columbia University (Lrg2@columbia.edu)

16. II. List of Contributors IIb. Contributors to be Invited Jagannathan, Ravi, Northwestern University (rjaganna@kellogg.northwestern.edu) Korajczyk, Robert, Northwestern University (r-korajczyk@kellogg.northwestern.edu) Levy, Haim, Hebrew University (mshlevy@pluto.mscc.huji.ac.il) Lin, William T., Tamkang University (wlin@mail.tku.edu.tw) Lo, Andrew W., Massachusetts Institute of Technology (alo@mit.edu) Longstaff, F. A., University of California at Los Angles (francis.longstaff@anderson.ucla.edu) Kim, E. Han, Univeristy of Michigan (ehkim@umich.edu) Hilliard, J. E., Louisiana State University (hilliar@lsu.edu) McDonald, Robert Northwestern University (r-mcdonald@kellogg.northwestern.edu) Merville, L. J., University of Texas at Dallas (merville@utdallas.edu)

17. II. List of Contributors IIb. Contributors to be Invited Newbold, Paul, University of Nottingham (Paul.newbold@nottingham.ac.uk) Ohlson, James, New York University (johlson@stern.nyu.edu) Park, Hun Y., University of Illinois at Urbana-Champaign (hypark@uiuc.edu) Ronen, Joshua, New York University (jronen@stern.nyu.edu) Ronn, Ehud, University of Texas at Austin (eronn@mail.utexas.edu) Scott, Louis O., Morgan Stanley Dean Witter (Louis.scott@morganstanley.com) Stock, Duane, University of Oklahoma (dstock@ou.edu) Tsurumi, Hiroki, Rutgers University (tsurumi@rci.rutgers.edu) Wang, Shin-Huei, University of Southern California (chsiao@usc.edu) Wei, K.C. John, Hong Kong University of Science and Technology (Johnwei@ust.hk) Wang, Wen-Ching, Robeco Investment Management (Wen.Wang@robecoinvest.com) Wu, L., Baruch College (Liuren_Wu@baruch.cuny.edu)

18. III. Submission date and market information A) Submission date is September 2007 B) Market 1) This handbook is essentially going to be sold to libraries, financial industries and students majoring in either quantitative finance or financial engineering. C) Competitive books 1) Quantitative Finance and Risk Management: A Physicist’s Approach by Jan W. Dash, World Scientific Publishing, 2004. 2) Handbook of Heavy Tailed Distribution in Finance by Svetlozar Rachev, North-Holland, 2003. 3) Paul Wilmott Introduces Quantitative Finance by Paul Wilmott, John Wiley & Sons, 2001.

19. III. Submission date and market information C) Competitive books 4) Paul Wilmott on Quantitative Finance, Second Edition by Paul Wilmott, John Wiley & Sons, 2006. 5) The above mentioned books may be indirectly competing with this book. The major differences between this proposed handbook are as follows: (a) The coverage of this handbook is much wider than the competitive books. (b) This handbook not only covers options in the future, it will also cover portfolio analysis, investment analysis and risk analysis. (c) This book not only covers methodology, it also covers the theories and applications of quantitative finance.