Quantitative finance : back to basic principles
著者
書誌事項
Quantitative finance : back to basic principles
（Applied quantitative finance series）
Palgrave Macmillan, 2015
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注記
Includes bibliographical references (p. 220-221) and index
内容説明・目次
内容説明
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.
目次
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
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