QUANTITATIVE FINANCE AND RISK MANAGEMENT: A PHYSICIST'S APPROACH

Inbunden, Engelska, 2004

2 444 kr

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Beskrivning

Written by a physicist with over 15 years of experience as a quant on Wall Street, this book treats a wide variety of topics. Presenting the theory and practice of quantitative finance and risk, it delves into the “how to” and “what it's like” aspects not covered in textbooks or research papers. Both standard and new results are presented. A “Technical Index” indicates the mathematical level — from zero to PhD — for each chapter. The finance in each chapter is self-contained. Real-life comments on “life as a quant” are included.An errata and Additions (3rd Reprint, 2008) to the book is available.

Produktinformation

Utgivningsdatum:2004-07-09
Mått:163 x 231 x 48 mm
Vikt:1 250 g
Format:Inbunden
Språk:Engelska
Antal sidor:804
Förlag:World Scientific Publishing Co Pte Ltd
ISBN:9789812387127

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Mer om författaren

Jan Dash was Director of Quantitative Analysis at Citigroup/Salomon Smith Barney, Fuji Capital Markets Corp, and Euro Brokers. He began his Wall Street career in 1987 as V.P. Manager at Merrill Lynch. He introduced path integrals for options, managed PhD quant groups, and worked in many areas in finance involving all the topics in this book. He has a PhD in physics from UC Berkeley, was Directeur de Recherche at the Centre de Physique Theorique CNRS Marseille, and published over 60 scientific papers.

Innehållsförteckning

Quantitative Finance and Risk Management Topics: Simple and Exotic Derivatives, Market and Credit Risk, Optimized Stressed Correlation Matrices, Fat Tails, Stressed VAR, Model Development, Model Risk and Quality Assurance, Numerical Techniques, Deals and Portfolios, Systems (Buy/Build, Model Integration), Data Issues, Markets, Financial Products, Economic Capital - Case Studies in Corporate Finance and Options - "Life as a Quant": Management Issues, Communication, Sociology, Advice - Risk Lab: The Nuts and Bolts of Risk Management (Interest Rates, Equities, FX) - Research Topic: The Macro-Micro Model Combining Economics/Finance (Multi-Time-Scale, Multifactor, Quasi-Random Trends and Cycles, Mean-Reverting Gaussians, Gap/Jumps) - Feynman Path Integrals, Green Functions and Options