A. Reghai: Quantitative Finance | Taschenbuch

Cover: 9781349490288 | Quantitative Finance | Back to Basic Principles | A. Reghai | Buch

Rückseite: 9781349490288 | Quantitative Finance | Back to Basic Principles | A. Reghai | Buch

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Sprache: Englisch

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Beschreibung

The series of recent financial crises have thrown open the world of quantitative finance and financial modeling. 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.

Über den Autor

Adil Reghai (Paris, France) is head of Quantitative Research on Equity and Commodity Derivatives and Quantitative Investments at Natixis, a leading asset management company and one of the largest in the world. A graduate from Ecole Polytechnique (X92) and Ecole des Mines (P94), Paris, Adil was formerly in charge of quantitative research at Merrill Lynch, BNP Paribas and Calyon. He has participated in numerous quantitative finance conferences including Mathfinance and IQPC events, and lectures on the Financial Mathematics MSc in Nice. Adil's main research interests are local volatility, stochastic volatility, local correlation and hybrids, numerical techniques and applied finance.

Zusammenfassung

Author has years of practical experience in designing and implementing financial models in practice

This book provides proven, market-focused solutions to all the main modeling problems for quants

One of the first books to focus on derivatives pricing in the industry taking into account new parameters set by the regulators

Inhaltsverzeichnis

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

Details

Erscheinungsjahr:	2015
Fachbereich:	Betriebswirtschaft
Genre:	Importe , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
Inhalt:	xxiii 223 S.
ISBN-13:	9781349490288
ISBN-10:	1349490288
Sprache:	Englisch
Einband:	Kartoniert / Broschiert
Autor:	Reghai, A.
Auflage:	2015 edition
Hersteller:	Palgrave Macmillan Palgrave MacMillan UK
Verantwortliche Person für die EU:	Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com
Maße:	234 x 156 x 13 mm
Von/Mit:	A. Reghai
Erscheinungsdatum:	01.01.2015
Gewicht:	0,354 kg