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Written by a physicist with over 20 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. 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.
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Previews available in: English
Showing 4 featured editions. View all 4 editions?
Edition | Availability |
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1
Quantitative finance and risk management: a physicist's approach
2016, World Scientific, World Scientific Publishing Company, WSPC
in English
- 2nd edition.
9814571237 9789814571234
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WorldCat
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2
Quantitative Finance and Risk Management: A Physicist's Approach
2005, World Scientific Pub.
in English
9812387129 9789812387127
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Libraries near you:
WorldCat
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3
Quantitative Finance and Risk Management: A Physicist's Approach
2004, World Scientific Publishing Co Pte Ltd
in English
9812562591 9789812562593
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zzzz
Libraries near you:
WorldCat
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4
Quantitative finance and risk management: a physicist's approach
2004, World Scientific Pub.
in English
9812387129 9789812387127
|
zzzz
Libraries near you:
WorldCat
|
Book Details
First Sentence
"This book is primarily for PhD scientists and engineers who want to learn about quantitative finance, and for graduate students in finance programs . Practicing quantitative analysts (“quants”) and research workers will find topics of interest. There are even essays with no equations for non-technical managers."
Table of Contents
Edition Notes
Topics
1. Standard and Advanced Theory and Practical Applications in Fixed Income, Equities, FX.
2. Quantitative Finance and Risk Management Topics: Traditional and Exotic Derivatives, Market Risk, Credit Issuer Risk, New Products, Stressed Correlation Matrices, Fat Tails, Stressed/Enhanced VAR, Model Risk/Quality Assurance, Numerical Techniques, Deals/Portfolios, Systems, Data, Economic Capital, Reggeon Field Theory, A Function Toolkit.
3. Case Studies in Corporate Finance and Options.
4. "Life as a Quant": Communication Issues, Sociology, Stories, Advice.
5. Risk Lab: The Nuts and Bolts of Risk Management.
6. Research Topic: The Macro-Micro Model Producing Realistic Yield-Curve Movements, While Combining Aspects of Economics and Finance (with Multiple Time Scales, Multiple Factors, Quasi-Random Macro Trends, Strong Mean-Reverting Micro Trading Fluctuations, Occasional Jumps).
7. Feynman Path Integrals, Green Functions, and Options.
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Work Description
Written by a physicist with over 20 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.
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- Created November 17, 2008
- 7 revisions
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July 28, 2014 | Edited by ImportBot | import new book |
April 6, 2014 | Edited by ImportBot | Added IA ID. |
April 16, 2010 | Edited by bgimpertBot | Added goodreads ID. |
April 13, 2010 | Edited by Open Library Bot | Linked existing covers to the edition. |
November 17, 2008 | Created by ImportBot | Imported from University of Toronto MARC record |