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Quantitative finance : back to basic principles

Quantitative finance : back to basic principles (1회 대출)

자료유형
단행본
개인저자
Reghai, Adil.
서명 / 저자사항
Quantitative finance : back to basic principles / Adil Reghai NATIXIS, France.
발행사항
New York, NY :   Palgrave Macmillan,   2015.  
형태사항
xxiii, 223 p. : ill. ; 24 cm.
총서사항
Applied quantitative finance
ISBN
9781137414496 (hardback)
요약
"The series of recent financial crises have thrown open the world of quantitative finance and financial modeling. The era of stochastic calculus is over and the time of Ito derivation is at an end. Today, quants need a broad modeling skillset - one that transcends mathematics to price and hedge financial products safely and effectively, but that also takes into account that we now live in a world of more frequent crises, fatter tail risk and the optimized search for alpha. This book brings together proven and new methodologies from finance, physics and engineering, along with years of industry and academic experience to provide a cookbook of models for dealing with the challenges of today's markets. It begins by looking at approaches to vanilla and exotic options - including barrier, binary and American options. It then addresses the Black-Scholes conundrum - is it effective? The book then progresses to look at other pricing and valuation models commonly used in the industry, including Terminal Smile, stochastic volatility and more before confronting all the key challenges in model calibration and implementation. Written for quantitative practitioners in banks and asset managers, Quantitative Finance provides a toolkit and robust methodology to confront new and unforeseen pricing and valuation challenges in the light of the new paradigm. "--
서지주기
Includes bibliographical references and index.
일반주제명
Finance --Mathematical models.
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100 1 ▼a Reghai, Adil.
245 1 0 ▼a Quantitative finance : ▼b back to basic principles / ▼c Adil Reghai NATIXIS, France.
260 ▼a New York, NY : ▼b Palgrave Macmillan, ▼c 2015.
300 ▼a xxiii, 223 p. : ▼b ill. ; ▼c 24 cm.
490 1 ▼a Applied quantitative finance
504 ▼a Includes bibliographical references and index.
520 ▼a "The series of recent financial crises have thrown open the world of quantitative finance and financial modeling. The era of stochastic calculus is over and the time of Ito derivation is at an end. Today, quants need a broad modeling skillset - one that transcends mathematics to price and hedge financial products safely and effectively, but that also takes into account that we now live in a world of more frequent crises, fatter tail risk and the optimized search for alpha. This book brings together proven and new methodologies from finance, physics and engineering, along with years of industry and academic experience to provide a cookbook of models for dealing with the challenges of today's markets. It begins by looking at approaches to vanilla and exotic options - including barrier, binary and American options. It then addresses the Black-Scholes conundrum - is it effective? The book then progresses to look at other pricing and valuation models commonly used in the industry, including Terminal Smile, stochastic volatility and more before confronting all the key challenges in model calibration and implementation. Written for quantitative practitioners in banks and asset managers, Quantitative Finance provides a toolkit and robust methodology to confront new and unforeseen pricing and valuation challenges in the light of the new paradigm. "-- ▼c Provided by publisher.
650 0 ▼a Finance ▼x Mathematical models.
830 0 ▼a Applied quantitative finance.
945 ▼a KLPA

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/서고6층/ 청구기호 332.0151 R334q 등록번호 111748952 도서상태 대출가능 반납예정일 예약 서비스 B M

컨텐츠정보

목차

1. Financial Modeling 2. About Modeling 3. From Black & Scholes to the Emergence of the Smile Modeling 4. What is the Fair Value in the Presence of the Smile? 5. Mono Underlying Risk Exploration 6. A General Pricing Formula 7. Multi Asset Case 8. Discounting and General Value Adjustment Techniques 9. Investment Algorithms 10. Building Monitoring Signals 11. Conclusion


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