Post-crisis Quant Finance - Softcover

Cesa, Mauro

Softcover

ISBN 10: 1782720073 ISBN 13: 9781782720072

Verlag: Risk Books, 2013

Über diesen Titel

Críticas:

This timely book shows very clearly that well thought through modelling is not only useful but necessary in order to help financial markets to operate smoothly and perform their social role properly...After reading this book it becomes clear that in the future these new and more realistic and accurate models will find wide applications and thus flourish and expand...The reader will benefit from the expertise of some of the sharpest thinkers in the field. --Alex Lipton, Bank of America Merrill Lynch and Imperial College

Reseña del editor:

This book outlines practically relevant solutions to the complexities faced by quants post-crisis. Each of the 20 chapters targets a specific technical issue including pricing, hedging and risk management of financial securities. The financial crisis of 2007-8 shook the world of quantitative finance. First, it caused the industry as a whole to question long-held truisms which threw into doubt the pricing of even the most vanilla of derivatives. Second, the regulatory response dramatically reshaped the derivatives industry leading quants to shift their focus on capital, funding and of course risk. The result has not been, as some doomsayers predicted, the end of quantitative finance or appreciation of its contribution to financial institutions and markets. Rather, quants have begun to rebuild. Aware now that frictions in markets under duress are the norm, not the exception, they are improving existing resilient models and developing new ones. It is this new wave of developments that is the focus of Post-Crisis Quant Finance, edited and introduced by Risk magazine's Technical Editor, Mauro Cesa. Post-Crisis Quant Finance brings together for the first time 20 peer-reviewed papers from the Cutting Edge series of Risk, internationally recognised among the quantitative community. Contributors include Jesper Andreasen, Marco Avellaneda, Lorenzo Bergomi, Christoph Burgard, Jon Gregory, Julien Guyon, Brian Huge, Mats Kjaer, Richard Martin, Vladimir Piterbarg, Michael Pykhtin and Robin Stuart. The book is divided into three sections. I - Derivatives pricing, including equity derivatives; interest rates; derivatives; multiple-curve environments; collateralisation; and, pricing model calibration. II - Asset and risk management, including liquidity risk; short selling; risk measurement tools; and, correlation structures, III - Counterparty credit risk, including its bilateral formulation; connection with risk capital; stochastic representations; challenging computation; and, residual value of a deal at close-out. As Alexander Lipton, writing in the foreword says: "The reader will benefit from the expertise of some of the sharpest thinkers in the field". Post-Crisis Quant Finance is a must-read for quants, statisticians, researchers, risk managers, analysts and economists looking for the latest practical quantitative models designed by expert market practitioners.

Über diese Auflage

• Verlag: Risk Books
• Erscheinungsdatum: 2013
• ISBN 10: 1782720073
• ISBN 13: 9781782720072
• Einband: Tapa blanda
• Anzahl der Seiten: 358