Quantitative Finance and Risk Management

A Physicist's Approach

Business & Finance, Finance & Investing, Finance, Investments & Securities
Cover of the book Quantitative Finance and Risk Management by Jan W Dash, World Scientific Publishing Company
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Jan W Dash ISBN: 9789814571258
Publisher: World Scientific Publishing Company Publication: May 10, 2016
Imprint: WSPC Language: English
Author: Jan W Dash
ISBN: 9789814571258
Publisher: World Scientific Publishing Company
Publication: May 10, 2016
Imprint: WSPC
Language: English

Written by a physicist with extensive experience as a risk/finance quant, 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 papers. A "Technical Index" indicates the mathematical level for each chapter.

This second edition includes some new, expanded, and wide-ranging considerations for risk management: Climate Change and its long-term systemic risk; Markets in Crisis and the Reggeon Field Theory; "Smart Monte Carlo" and American Monte Carlo; Trend Risk — time scales and risk, the Macro–Micro model, singular spectrum analysis; credit risk: counterparty risk and issuer risk; stressed correlations — new techniques; and Psychology and option models.

Solid risk management topics from the first edition and valid today are included: standard/advanced theory and practice in fixed income, equities, and FX; quantitative finance and risk management — traditional/exotic derivatives, fat tails, advanced stressed VAR, model risk, numerical techniques, deals/portfolios, systems, data, economic capital, and a function toolkit; risk lab — the nuts and bolts of risk management from the desk to the enterprise; case studies of deals; Feynman path integrals, Green functions, and options; and "Life as a Quant" — communication issues, sociology, stories, and advice.

Contents:

  • Introduction, Overview, and Exercise
  • Risk Lab (Nuts and Bolts of Risk Management)
  • Exotics, Deals, and Case Studies
  • Quantitative Risk Management
  • Path Integrals, Green Functions, and Options
  • The Macro-Micro Model
  • Climate Change Risk Management

Readership: Quant practitioners, graduate students in finance, scientists and engineers.
Key Features:

  • Written by a quant for quants and would-be quants
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

Written by a physicist with extensive experience as a risk/finance quant, 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 papers. A "Technical Index" indicates the mathematical level for each chapter.

This second edition includes some new, expanded, and wide-ranging considerations for risk management: Climate Change and its long-term systemic risk; Markets in Crisis and the Reggeon Field Theory; "Smart Monte Carlo" and American Monte Carlo; Trend Risk — time scales and risk, the Macro–Micro model, singular spectrum analysis; credit risk: counterparty risk and issuer risk; stressed correlations — new techniques; and Psychology and option models.

Solid risk management topics from the first edition and valid today are included: standard/advanced theory and practice in fixed income, equities, and FX; quantitative finance and risk management — traditional/exotic derivatives, fat tails, advanced stressed VAR, model risk, numerical techniques, deals/portfolios, systems, data, economic capital, and a function toolkit; risk lab — the nuts and bolts of risk management from the desk to the enterprise; case studies of deals; Feynman path integrals, Green functions, and options; and "Life as a Quant" — communication issues, sociology, stories, and advice.

Contents:

Readership: Quant practitioners, graduate students in finance, scientists and engineers.
Key Features:

More books from World Scientific Publishing Company

Cover of the book Computer Science and Engineering Technology (CSET2015), Medical Science and Biological Engineering (MSBE2015) by Jan W Dash
Cover of the book Electrochemistry for Biomedical Researchers by Jan W Dash
Cover of the book A Theory of Scattering for Quasifree Particles by Jan W Dash
Cover of the book Behavioural Economics and Policy Design by Jan W Dash
Cover of the book Ensemble Learning by Jan W Dash
Cover of the book My Journey in Politics by Jan W Dash
Cover of the book The Making of an Economic Superpower by Jan W Dash
Cover of the book Telexistence by Jan W Dash
Cover of the book Budgetary Supervision in China by Jan W Dash
Cover of the book Contract Administration and Procurement in the Singapore Construction Industry by Jan W Dash
Cover of the book Exactly Solvable Models in Many-Body Theory by Jan W Dash
Cover of the book The Trump Phenomenon and the Future of US Foreign Policy by Jan W Dash
Cover of the book Ebola by Jan W Dash
Cover of the book Fundamentals of Orthognathic Surgery by Jan W Dash
Cover of the book Numerical Modeling of Ocean Dynamics by Jan W Dash
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy