Quantitative Finance and Risk Management: A Physicist's Approach: A Physicist's Approach (Second Edition) - Rilegato

Dash, Jan W.

Rilegato

ISBN 10: 9814571237 ISBN 13: 9789814571234

Casa editrice: World Scientific Pub Co Inc, 2016

Riassunto

Written by a physicist with extensive 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. 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 financial risk; markets in crisis new crisis prediction technique and the Reggeon field theory; new Smart Monte Carlo and American Monte Carlo; trend risk time scales and risk, the Macro Micro model, and singular spectrum analysis; credit risk: counterparty risk, wrong way risk, issuer risk, and regulations; stressed correlations new nearest neighbor 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, stressed VAR, model risk, numerical techniques, deals/portfolios, systems, data, economic capital, and 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.

Dettagli dell'edizione

• Editore: World Scientific Pub Co Inc
• Data di pubblicazione: 2016
• Lingua: Inglese
• ISBN 10: 9814571237
• ISBN 13: 9789814571234
• Rilegatura: Copertina rigida
• Numero edizione: 2
• Numero di pagine: 986
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile