Quantitative Finance and Risk Management
Subtitle: A Physicist's Approach
Publisher: World Scientific Pub.
Published: 2005
Place of publication: Singapore
Language: eng
Number of pages: 781
First sentence: This book is primarily for PhD scientists and engineers who want to learn about quantitative finance, and for graduate students in finance programs . Practicing quantitative analysts (“quants”) and research workers will find topics of interest. There are even essays with no equations for non-technical managers.
Description: Written by a physicist with over 20 years of 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. Both standard and new results are presented. A "Technical Index" indicates the mathematical level — from zero to PhD — for each chapter. The finance in each chapter is self-contained. Real-life comments on "life as a quant" are included.  This book is designed for scientists and engineers desiring to learn quantitative finance, and for quantitative analysts and finance graduate students. Parts will be of interest to research academics.
Notes: Topics 
1. Standard and Advanced Theory and Practical Applications in Fixed Income, Equities, FX.
2. Quantitative Finance and Risk Management Topics: Traditional and Exotic Derivatives, Market Risk, Credit Issuer Risk, New Products, Stressed Correlation Matrices, Fat Tails, Stressed/Enhanced VAR, Model Risk/Quality Assurance, Numerical Techniques, Deals/Portfolios, Systems, Data, Economic Capital, Reggeon Field Theory, A Function Toolkit.
3. Case Studies in Corporate Finance and Options.
4. "Life as a Quant": Communication Issues, Sociology, Stories, Advice.
5. Risk Lab: The Nuts and Bolts of Risk Management.
6. Research Topic: The Macro-Micro Model Producing Realistic Yield-Curve Movements, While Combining Aspects of Economics and Finance (with Multiple Time Scales, Multiple Factors, Quasi-Random Macro Trends, Strong Mean-Reverting Micro Trading Fluctuations, Occasional Jumps).
7. Feynman Path Integrals, Green Functions, and Options.
Table of contents: title: PART I: Introduction, Overview, and Exercise	  1.	Introduction and Outline	  2.	Overview    3.	An Exercise; title: PART II: Risk Lab (Nuts and Bolts of Risk Management)	  4.	Equity Options  	  5.	FX Options   6.	Equity Volatility Skew  	  7.	Forward Curves  	  8.	Interest-Rate Swaps  	  9.	Bonds: An Overview    10.	Interest-Rate Caps   11.	Interest-Rate Swaptions  	  12.	Portfolios and Scenarios; title: PART III: Exotics, Deals, and Case Studies	  13.	A Complex CVR Option  	  14.	Two More Case Studies  	  15.	More Exotics and Risk  	  16.	A Pot Pourri of Deals  	  17.	Single Barrier Options  	  18.	Double Barrier Options  	  19.	Hybrid 2-D Barrier Options    20.	Average-Rate Options; title: PART IV: Quantitative Risk Management	  21.	Fat Tail Volatility  	  22.	Correlation Matrix Formalism; the N - Sphere   23.	Stressed Correlations and Random Matrices    24.	Optimally Stressed PD Correlation Matrices   25.	Models for Correlation Dynamics, Uncertainties   26.	Plain-Vanilla VAR    27.	Improved/Enhanced/Stressed VAR   28.	VAR, CVAR, CVAR Volatility Formalism    29.	VAR and CVAR for Two Variables    30.	Corporate-Level VAR    31.	Issuer Credit Risk  	  32.	Model Risk Overview  	  33.	Model Quality Assurance  	  34.	Systems Issues Overview  	  35.	Strategic Computing  	  36.	Qualitative Overview of Data Issues    37.	Correlations and Data  	  38.	Wishart’s Theorem and Fisher’s Transform  	  39.	Economic Capital  	  40.	Unused-Limit Risk; title: PART V: Path Integrals, Green Functions, and Options	  41.	Path Integrals and Options: Overview  	  42.	Path Integrals and Options I: Introduction  	  43.	Path Integrals and Options II: Interest-Rates  	  44.	Path Integrals and Options III: Numerical  	  45.	Path Integrals and Options IV: Multiple Factors  	  46.	The Reggeon Field Theory, Fat Tails, Chaos; title: PART VI: The Macro-Micro Model (A Research Topic)	  47.	The Macro-Micro Model: Overview  	  48.	A Multivariate Yield-Curve Lognormal Model  	  49.	Strong Mean-Reverting Multifactor YC Model  	  50.	The Macro-Micro Yield-Curve Model  	  51.	Macro-Micro Model: Further Developments  	  52.	A Function Toolkit; title: Index