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Quantitative finance : back to basic principles

Quantitative finance : back to basic principles (Loan 1 times)

Material type
단행본
Personal Author
Reghai, Adil.
Title Statement
Quantitative finance : back to basic principles / Adil Reghai NATIXIS, France.
Publication, Distribution, etc
New York, NY :   Palgrave Macmillan,   2015.  
Physical Medium
xxiii, 223 p. : ill. ; 24 cm.
Series Statement
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. "--
Bibliography, Etc. Note
Includes bibliographical references and index.
Subject Added Entry-Topical Term
Finance --Mathematical models.
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010 ▼a 2014030381
020 ▼a 9781137414496 (hardback)
035 ▼a (KERIS)REF000017581305
040 ▼a DLC ▼b eng ▼c DLC ▼e rda ▼d 211009
050 0 0 ▼a HG106 ▼b .R445 2014
082 0 0 ▼a 332.01/51 ▼2 23
084 ▼a 332.0151 ▼2 DDCK
090 ▼a 332.0151 ▼b R334q
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

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/Western Books/ Call Number 332.0151 R334q Accession No. 111748952 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of Contents

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


Information Provided By: : Aladin

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