An edition of Quantitative finance and risk management (2004)

Quantitative Finance and Risk Management

A Physicist's Approach

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Cover of: Quantitative Finance and Risk Management by Jan W. Dash
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An edition of Quantitative finance and risk management (2004)

Quantitative Finance and Risk Management

A Physicist's Approach

by

  • 0 Ratings
  • 2 Want to read
  • 0 Currently reading
  • 0 Have read

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.

Publish Date
Publisher
World Scientific Pub.
Language
English
Pages
781

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Previews available in: English

Subjects
FX, Finance, Interest rates, Macro-Micro model, Mathematical models, Risk management, better VAR, equities, exotic options, model risk, path integrals, stressed correlations, Finance, mathematical models

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Edition Availability
Cover of: Quantitative finance and risk management
Quantitative finance and risk management: a physicist's approach
2016, World Scientific, World Scientific Publishing Company, WSPC
in English - 2nd edition.
Libraries near you: WorldCat
Cover of: Quantitative Finance and Risk Management
Quantitative Finance and Risk Management: A Physicist's Approach
2005, World Scientific Pub.
in English
  • Not in Library
Libraries near you: WorldCat
Cover of: Quantitative finance and risk management
Quantitative finance and risk management: a physicist's approach
2004, World Scientific Pub.
in English
Libraries near you: WorldCat
Cover of: Quantitative Finance and Risk Management
Quantitative Finance and Risk Management: A Physicist's Approach
2004, World Scientific Publishing Co Pte Ltd
in English
Libraries near you: WorldCat

Add another edition?

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

PART I: Introduction, Overview, and Exercise 1. Introduction and Outline 2. Overview 3. An Exercise
PART II: Risk Lab (Nuts and Bolts of Risk Management) 4. Equity Options 5. FX Options 6. Equity Volatility Skew 7. Forward Curves 8. Interest-Rate Swaps 9. Bonds: An Overview 10. Interest-Rate Caps 11. Interest-Rate Swaptions 12. Portfolios and Scenarios
PART III: Exotics, Deals, and Case Studies 13. A Complex CVR Option 14. Two More Case Studies 15. More Exotics and Risk 16. A Pot Pourri of Deals 17. Single Barrier Options 18. Double Barrier Options 19. Hybrid 2-D Barrier Options 20. Average-Rate Options
PART IV: Quantitative Risk Management 21. Fat Tail Volatility 22. Correlation Matrix Formalism; the N - Sphere 23. Stressed Correlations and Random Matrices 24. Optimally Stressed PD Correlation Matrices 25. Models for Correlation Dynamics, Uncertainties 26. Plain-Vanilla VAR 27. Improved/Enhanced/Stressed VAR 28. VAR, CVAR, CVAR Volatility Formalism 29. VAR and CVAR for Two Variables 30. Corporate-Level VAR 31. Issuer Credit Risk 32. Model Risk Overview 33. Model Quality Assurance 34. Systems Issues Overview 35. Strategic Computing 36. Qualitative Overview of Data Issues 37. Correlations and Data 38. Wishart’s Theorem and Fisher’s Transform 39. Economic Capital 40. Unused-Limit Risk
PART V: Path Integrals, Green Functions, and Options 41. Path Integrals and Options: Overview 42. Path Integrals and Options I: Introduction 43. Path Integrals and Options II: Interest-Rates 44. Path Integrals and Options III: Numerical 45. Path Integrals and Options IV: Multiple Factors 46. The Reggeon Field Theory, Fat Tails, Chaos
PART VI: The Macro-Micro Model (A Research Topic) 47. The Macro-Micro Model: Overview 48. A Multivariate Yield-Curve Lognormal Model 49. Strong Mean-Reverting Multifactor YC Model 50. The Macro-Micro Yield-Curve Model 51. Macro-Micro Model: Further Developments 52. A Function Toolkit
Index

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.

Published in
Singapore

Classifications

Library of Congress
HG

The Physical Object

Pagination
xix, 781 p. :
Number of pages
781

ID Numbers

Open Library
OL22614742M
Internet Archive
quantitativefina00dash_849
ISBN 10
9812387129
Goodreads
3808509

Source records

Internet Archive item record

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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History

Download catalog record: RDF / JSON
October 11, 2020 Edited by ImportBot import existing book
December 5, 2010 Edited by Open Library Bot Added subjects from MARC records.
July 14, 2010 Edited by 68.83.22.116 I am the author
April 28, 2010 Edited by Open Library Bot Linked existing covers to the work.
December 10, 2009 Created by WorkBot add works page