Description
Quantitative Finance, 2015
Back to Basic Principles
Applied Quantitative Finance Series
Author: Reghai A.
Language: EnglishSubjects for Quantitative Finance:
Publication date: 12-2014
223 p. · 15.5x23.5 cm · Hardback
223 p. · 15.5x23.5 cm · Hardback
Description
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The series of recent financial crises have thrown open the world of quantitative finance and financial modeling. This book brings together proven and new 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.
1. Financial Modeling 2. About Modeling 3. From Black & Scholes to the Emergence of the Smile Modeling 4. What is the Fair Value in the Presence of the Smile? 5. Mono Underlying Risk Exploration 6. A General Pricing Formula 7. Multi Asset Case 8. Discounting and General Value Adjustment Techniques 9. Investment Algorithms 10. Building Monitoring Signals 11. Conclusion
Adil Reghai (Paris, France) is head of Quantitative Research on Equity and Commodity Derivatives and Quantitative Investments at Natixis, a leading asset management company and one of the largest in the world. A graduate from Ecole Polytechnique (X92) and Ecole des Mines (P94), Paris, Adil was formerly in charge of quantitative research at Merrill Lynch, BNP Paribas and Calyon. He has participated in numerous quantitative finance conferences including Mathfinance and IQPC events, and lectures on the Financial Mathematics MSc in Nice. Adil's main research interests are local volatility, stochastic volatility, local correlation and hybrids, numerical techniques and applied finance.
Author has years of practical experience in designing and implementing financial models in practice
This book provides proven, market-focused solutions to all the main modeling problems for quants
One of the first books to focus on derivatives pricing in the industry taking into account new parameters set by the regulators
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