Risk Books, 2013. — 358 p. — ISBN: 1782720073, 9781782720072This book outlines practically relevant solutions to the complexities faced by quants post-crisis. Each of the 20 chapters targets a specific technical issue including pricing, hedging and risk management of financial securities. Post-Crisis Quant Finance is a must-read for quants, statisticians, researchers, risk managers, analysts and economists looking for the latest practical quantitative models designed by expert market practitioners. The financial crisis of 2007-8 shook the world of quantitative finance. First, it caused the industry as a whole to question long-held truisms which threw into doubt the pricing of even the most vanilla of derivatives. Second, the regulatory response dramatically reshaped the derivatives industry leading quants to shift their focus on capital, funding and of course risk. The result has not been, as some doomsayers predicted, the end of quantitative finance or appreciation of its contribution to financial institutions and markets. Rather, quants have begun to rebuild. Aware now that frictions in markets under duress are the norm, not the exception, they are improving existing resilient models and developing new ones. It is this new wave of developments that is the focus of Post-Crisis Quant Finance, edited and introduced by Risk magazine s Technical Editor, Mauro Cesa. Post-Crisis Quant Finance brings together for the first time 20 peer-reviewed papers from the Cutting Edge series of Risk, internationally recognised among the quantitative community. Contributors include Jesper Andreasen, Marco Avellaneda, Lorenzo Bergomi, Christoph Burgard, Jon Gregory, Julien Guyon, Brian Huge, Mats Kjaer, Richard Martin, Vladimir Piterbarg, Michael Pykhtin and Robin Stuart. The book is divided into three sections: I - Derivatives pricing II - Asset and risk management III - Counterparty credit riskAbout the Author Mauro Cesa is the technical editor of the Risk Management and Alternative Investment (RMAI) division at Incisive Media in London. Since 2009, he has been responsible for the Cutting Edge section of Risk, Energy Risk, Insurance Risk and ETF Risk magazines. Cutting Edge publishes peer-reviewed quantitative finance articles with a focus on the pricing and hedging of financial instruments, as well as risk management relevant to investment banking, buy-side industry, energy firms and insurance companies. Before joining Incisive Media in 2007, Mauro worked with the quantitative asset management team at Eurizon Capital in Milan on equity and fixed income investment models for mutual funds and pension funds. He studied economics at Trieste University and Aarhus University, and holds an MA in quantitative finance from Brescia University.
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John Wiley & Sons, 2008. — 494 p. — (Market Risk Analysis, Vol. IV).
Value at Risk and Other Risk Metrics.
An Overview of Market Risk Assessment.
Risk Measurement in Banks.
Risk Measurement in Portfolio Management.
Risk Measurement in Large Corporations.
Downside and Quantile Risk Metrics.
Semi-Standard Deviation and Second Order Lower.
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Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to...
Wiley, 2012. — 2100 p. — ISBN: 1118006739, 9781118006733
3 Volume Set.
An essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modeling
The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital...
Palgrave Macmillan, 2015. — 368 p. — ISBN: 1137354070, 9781137354075
Quantitative Trading with R offers readers a winning strategy for devising expertly-crafted and workable trading models using the R open-source programming language. Based on the author's own experience as a professor and high-frequency trader, this book provides a step-by-step approach to understanding...
Wiley – 2011, 448 pages
A guide to the validation and risk management of quantitative models used for pricing and hedging
Whereas the majority of quantitative finance books focus on mathematics and risk management books focus on regulatory aspects, this book addresses the elements missed by this literature the risks of the models themselves. This book starts...
Wiley, 2008. – 1033 p. – ISBN: 047017921X, 9780470179215
If you’re seeking solutions to advanced and even esoteric problems, Advanced Analytical Models goes beyond theoretical discussions of modeling by facilitating a thorough understanding of concepts and their real-world applications—including the use of embedded functions and algorithms. This reliable resource will equip you...