Quantitative finance: back to basic principles
by Reghai, Adil
The series of recent financial crises has thrown open the world of quantitative finance and financial modeling. This book brings together new and proven 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. Written for quantitative practitioners in banks and asset managers, it offers new insights and methodologies for building models and enabling them to evolve…
Read More ↓Title Statements
- Full title :Quantitative finance : back to basic principles / Adil Reghai.
Summary
The series of recent financial crises has thrown open the world of quantitative finance and financial modeling. This book brings together new and proven 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. Written for quantitative practitioners in banks and asset managers, it offers new insights and methodologies for building models and enabling them to evolve over time, with a framework that adapts to different market regimes and different regulation. --
Read More ↓Edition Statements
- Publication Date:©2015
Publication Statements
- Publisher(s):Palgrave Macmillan
- Place of Publication:Basingstoke, England
- Language:eng
- Publication Date:©2015
The Physical Object
- Description:1 online resource (249 pages) : : illustrations
Edition Identifiers
- ISBN:9781137414502, 1137414502, 9781349490288, 1349490288, 9781137414519, 1137414510
- DOI:10.1057/9781137414502
- oclc:ocn903959088
- LC Classification:HG106
- Dewey Decimal:332.01/51
Table of Contents
Cover -- Half-Title -- Title -- Copyright -- Dedication -- Contents -- List of Figures -- List of Tables -- Foreword I -- Foreword II -- Acknowledgments -- 1 FinancialModeling -- Introduction -- 2 AboutModeling -- A Philosophy ofmodeling
B An example from physics and some applications in finance 3 From Black & Scholes to SmileModeling -- A Study of derivatives under the Black & Scholesmodel -- Methodology -- The search for convexity -- Vanilla European option -- Numerical application -- Price scenarios
Delta gamma scenarios: European binary option -- Price Scenario -- Delta and gamma scenarios -- American binary option -- Numerical application -- Price scenario -- Delta and gamma scenarios -- Barrier option -- Price scenario -- Delta and gamma scenarios
Asian option Numerical application -- Price scenario -- Delta and gamma scenarios -- When is it possible to useBlack & Scholes -- B Study of classical Smilemodels -- Black & Scholesmodel -- Termstructure Black & Scholes -- MonteCarlo simulation -- Terminal smilemodel
Replicationapproach (an almostmodel-free approach) MonteCarlo simulation (direct approach) -- MonteCarlo simulation (fastmethod) -- Classic example -- Separable lo…
Subjects
Writers
More from this Series
No reviews yet. Be the first to rate this work.
Related Works
more →
Global markets and financial crises in Asia: towards a theory for the 21st century
Khan, Haider
Financial crises in "successful" emerging economies
Technical analysis of the financial markets: a comprehensive guide to trading method…
Murphy, John J.
Monetary economics
Derivatives and hedge funds
Public Policy for Venture Capital: A Comparison of the United States and Germany
Plagge, Arnd
Market discipline across countries and industries
Audit and accounting guide
Files & Downloads
-
Quantitative Finance: Back to Basic Principles --…
PDF · 1.8 MB · updated -
Quantitative Finance: Back to Basic Principles --…
PDF · 2.1 MB · updated
Rate & Review