| Description |
xix, 781 pages : illustrations ; 24 cm |
| Contents |
1. Introduction and outline -- 2. Overview (tech. index 1/10) -- 3. An exercise (tech. index 1/10) -- 4. Equity options (tech. index 3/10) -- 5. FX options (tech. index 4/10) -- 6. Equity volatility skew (tech. index 6/10) -- 7. Forward curves (tech. index 4/10) -- 8. Interest-rate swaps (tech. index 3/10) -- 9. Bonds : an overview (tech. index 2/10) -- 10. Interest-rate caps (tech. index 4/10) -- 11. Interest-rate swaptions (tech. index 5/10) -- 12. Portfolios and scenarios (tech. index 3/10) -- 13. A complex CVR option (tech. index 5/10) -- 14. Two more case studies (tech. index 5/10) -- 15. More exotics and risk (tech. index 5/10) -- 16. A pot pourri of deals (tech. index 5/10) -- 17. Single barrier options (tech. index 6/10) -- 18. Double barrier options (tech. index 7/10) -- 19. Hybrid 2-D barrier options (tech. index 7/10) -- 20. Average-rate options (tech. index 8/10) -- 21. Fat tail volatility (tech. index 5/10) -- 22. Correlation matrix formalism; the N-sphere (tech. index 8/10) -- 23. Stressed correlations and random matrices (tech. index 5/10) -- 24. Optimally stressed PD correlation matrices (tech. index 7/10) -- 25. Models for correlation dynamics, uncertainties (tech. index 6/10) -- 26. Plain-vanilla VAR (tech. index 4/10) -- 27. Improved/enhanced/stressed VAR (tech. index 5/10) -- 28. VAR, CVAR, CVAR volatility formalism (tech. index 7/10) -- 29. VAR and CVAR for two variables (tech. index 5/10) -- 30. Corporate-level VAR (tech. index 3/10) -- 31. Issuer credit risk (tech. index 5/10) -- 32. Model risk overview (tech. index 3/10) -- 33. Model quality assurance (tech. index 4/10) -- 34. Systems issues overview (tech. index 2/10) -- 35. Strategic computing (tech. index 3/10) -- 36. Qualitative overview of data issues (tech. index 2/10) -- 37. Correlations and data (tech. index 5/10) -- 38. Wishart's theorem and Fisher's transform (tech. index 9/10) -- 39. Economic capital (tech. index 4/10) -- 40. Unused-limit risk (tech. index 6/10) -- 41. Path integrals and options : overview (tech. index 4/10) -- 42. Path integrals and options I : introduction (tech. index 7/10) -- 43. Path integrals and options II : interest-rates (tech. index 8/10) -- 44. Path integrals and options III : numerical (tech. index 6/10) -- 45. Path integrals and options IV : multiple factors (tech. index 9/10) -- 46. The Reggeon field theory, fat tails, chaos (tech. index 10/10) -- 47. The macro-micro model : overview (tech. index 4/10) -- 48. A multivariate yield-curve lognormal model (tech. index 6/10) -- 49. Strong mean-reverting multifactor YC model (tech. index 7/10) -- 50. The macro-micro yield-curve model (tech. index 5/10) -- 51. Macro-micro model : further developments (tech. index 6/10) -- 52. A function toolkit (tech. index 6/10) |
| Summary |
"This book is designed for scientists and engineers desiring to learn quantitative finance, and for quantitative analysts and finance graduate students. Parts will be of interest to research academics."--BOOK JACKET |
| Bibliography |
Includes bibliographical references and index |
| Subject |
Finance -- Mathematical models.
|
|
Risk management -- Mathematical models.
|
| LC no. |
2004052462 |
| ISBN |
9812387129 alkaline paper |
|
