Applied Quantitative Finance – serie
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17 produkter
Discounting, LIBOR, CVA and Funding
Interest Rate and Credit Pricing
Inbunden, 2012
737 kr
Lägg i varukorg
Providing the most up-to-date tools and techniques for pricing interest rate and credit products for the new financial world, this book discusses pricing and hedging, funding and regulation, and interpretation, as an essential resource for quantitatively minded practitioners and researchers in …
Equity Derivatives and Hybrids
Markets, Models and Methods
Inbunden, 2015
962 kr
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Since the development of the Black-Scholes model, research on equity derivatives has evolved rapidly to the point where it is now difficult to cut through the myriad of literature to find relevant material. Written by a quant with many years of experience in the field this book provides an …
SABR and SABR LIBOR Market Models in Practice
With Examples Implemented in Python
Av Christian Crispoldi, Gérald Wigger m. fl.
Inbunden, 2015
989 kr
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Interest rate traders have been using the SABR model to price vanilla products for more than a decade. However this model suffers however from a severe limitation: its inability to value exotic products. A term structure model à la LIBOR Market Model (LMM) is often employed to value these more …
Zero Lower Bound Term Structure Modeling
A Practitioner’s Guide
Av L. Krippner
Inbunden, 2015
1060 kr
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Nominal yields on government debt in several countries have fallen very near their zero lower bound (ZLB), causing a liquidity trap and limiting the capacity to stimulate economic growth. This book provides a comprehensive reference to ZLB structure modeling in an applied setting.
Optimization Methods for Gas and Power Markets
Theory and Cases
Av Enrico Edoli, Stefano Fiorenzani m. fl.
Inbunden, 2016
1316 kr
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As power and gas markets are becoming more and more mature and globally competitive, the importance of reaching maximum potential economic efficiency is fundamental in all the sectors of the value chain, from investments selection to asset optimization, trading and sales. Optimization techniques …
Quantitative Finance
Back to Basic Principles
Av A. Reghai
Inbunden, 2014
962 kr
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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 …
Validation of Risk Models
A Handbook for Practitioners
Av S. Scandizzo
Inbunden, 2016
1467 kr
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This book is a one-stop-shop reference for risk management practitioners involved in the validation of risk models. It is a comprehensive manual about the tools, techniques and processes to be followed, focused on all the models that are relevant in the capital requirements and supervisory review …
XVA Desks - A New Era for Risk Management
Understanding, Building and Managing Counterparty, Funding and Capital Risk
Av I. Ruiz
Inbunden, 2015
1355 kr
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Written by a practitioner with years working in CVA, FVA and DVA this is a thorough, practical guide to a topic at the very core of the derivatives industry. It takes readers through all aspects of counterparty credit risk management and the business cycle of CVA, DVA and FVA, focusing on risk …
FX Barrier Options
A Comprehensive Guide for Industry Quants
Inbunden, 2015
1243 kr
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Barrier options are a class of highly path-dependent exotic options which present particular challenges to practitioners in all areas of the financial industry. They are traded heavily as stand-alone contracts in the Foreign Exchange (FX) options market, their trading volume being second only to …
Modern Derivatives Pricing and Credit Exposure Analysis
Theory and Practice of CSA and XVA Pricing, Exposure Simulation and Backtesting
Av Roland Lichters, Roland Stamm m. fl.
Inbunden, 2015
1130 kr
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This book provides a comprehensive guide for modern derivatives pricing and credit analysis. Written to provide sound theoretical detail but practical implication, it provides readers with everything they need to know to price modern financial derivatives and analyze the credit exposure of a …
Modeling and Valuation of Energy Structures
Analytics, Econometrics, and Numerics
Inbunden, 2015
1207 kr
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Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value …
Discounting, LIBOR, CVA and Funding
Interest Rate and Credit Pricing
Häftad, 2012
569 kr
Lägg i varukorg
Providing the most up-to-date tools and techniques for pricing interest rate and credit products for the new financial world, this book discusses pricing and hedging, funding and regulation, and interpretation, as an essential resource for quantitatively minded practitioners and researchers in …
Quantitative Finance
Back to Basic Principles
Av A. Reghai
Häftad, 2015
681 kr
Lägg i varukorg
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 …
Interest Rate Modelling in the Multi-Curve Framework
Foundations, Evolution, Transition, and Implementation
Av Marc Henrard
Inbunden, 2026
850 kr
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A new standard in interest rate modelling, called the multi-curve framework, emerged after the financial crisis. The framework covers two important market features: the collateralisation of derivative trades and the spread between different rate benchmarks. This book starts from the collateral …
Credit Correlation
Theory and Practice
Inbunden, 2017
792 kr
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This book provides an advanced guide to correlation modelling for credit portfolios, providing both theoretical underpinnings and practical implementation guidance. The book picks up where pre-crisis credit books left off, offering guidance for quants on the latest tools and techniques for credit …
Credit Correlation
Theory and Practice
Häftad, 2018
551 kr
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This book provides an advanced guide to correlation modelling for credit portfolios, providing both theoretical underpinnings and practical implementation guidance. The book picks up where pre-crisis credit books left off, offering guidance for quants on the latest tools and techniques for credit …
Interest Rate Modelling in the Multi-Curve Framework
Foundations, Evolution and Implementation
Av M. Henrard
Häftad, 2014
938 kr
Tillfälligt slut
Following the financial crisis dramatic market changes, a new standard in interest rate modelling emerged, called the multi-curve framework. The author provides a detailed analysis of the framework, through its foundations, evolution and implementation. The book also covers recent extensions to …
