Quantitative Finance [electronic resource] : Back to Basic Principles /
Reghai, A.author.
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.
Description based upon print version of record.
""Cover ""; ""Half-Title ""; ""Title ""; ""Copyright ""; ""Dedication ""; ""Contents ""; ""List of Figures                      ""; ""List of Tables                     ""; ""Foreword I                 ""; ""Foreword II                  ""; ""Acknowledgments                      ""; ""1 FinancialModeling                          ""; ""Introduction                   ""; ""2 AboutModeling                      ""; ""A Philosophy ofmodeling                              ""
""B An example from physics and some applications in finance                                                                 """"3 From Black & Scholes to SmileModeling                                              ""; ""A Study of derivatives under theBlack&Scholesmodel                                                         ""; ""Methodology                  ""; ""The search for convexity                               ""; ""Vanilla European option                              ""; ""Numerical application                            ""; ""Price scenarios                      ""
""Delta gamma scenarios:                             """"European binary option                             ""; ""Price Scenario                     ""; ""Delta and gamma scenarios                                ""; ""American binary option                             ""; ""Numerical application                            ""; ""Price scenario                     ""; ""Delta and gamma scenarios                                ""; ""Barrier option                     ""; ""Price scenario                     ""; ""Delta and gamma scenarios                                ""
""Asian option                   """"Numerical application                            ""; ""Price scenario                     ""; ""Delta and gamma scenarios                                ""; ""When is it possible to useBlack&Scholes                                              ""; ""B Study of classical Smilemodels                                       ""; ""Black&Scholesmodel                         ""; ""Termstructure Black&Scholes                                  ""; ""MonteCarlo simulation                            ""; ""Terminal smilemodel                          ""
""Replicationapproach (an almostmodel-free approach)                                                         """"MonteCarlo simulation (direct approach)                                              ""; ""MonteCarlo simulation (fastmethod)                                         ""; ""Classic example                      ""; ""Separable local volatility                                 ""; ""Termstructure of parametric slices                                         ""; ""Dupire/Derman&Kani local volatilitymodel                                               ""
""Stochastic volatilitymodel                                 ""
Includes bibliographical references and index.
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.
Financial engineering.
Capital market.
Investment banking.
Securities.
Macroeconomics.
Financial Engineering.
Capital Markets.
Investments and Securities.
Macroeconomics/Monetary Economics//Financial Economics.