Quantitative Finance and Risk Management: A Physicist´s Approach (2nd Edition)
| Preis: | 105.95 EUR* (inkl. MWST zzgl. Versand - Preis kann jetzt höher sein!) |
| Versand: | 0.00 EUR Versandkostenfrei innerhalb von Deutschland |
| Partner: | buecher.de |
| Hersteller: | WORLD SCIENTIFIC PUB CO ( (Dash, Jan W.) |
| Stand: | 2015-08-04 03:50:33 |
Produktbeschreibung
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.
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