Frontiers of financial econometrics and financial engineering

Abstract

The papers in this volume represent the most recent advances in the intersection of the fields of financial econometrics and financial engineering. A collection of papers presented at a conference organized by the Guest Editors in collaboration with Robert E. Whaley at the Fuqua School of Business of Duke University was supplemented with several additional articles to make up this volume. The articles cover four topics: (1) option pricing, (2) fixed income securities, (3) stochastic volatility and jumps, (4) general asset pricing and portfolio allocation. It concludes with a review essay by David Bates that provides a general perspective on the interface between financial econometrics and financial economics, including current issues and the research agenda for the future. © 2003 Elsevier B.V. All rights reserved.