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The Resource Post-crisis quant finance, edited by Mauro Cesa

Post-crisis quant finance, edited by Mauro Cesa

Label
Post-crisis quant finance
Title
Post-crisis quant finance
Statement of responsibility
edited by Mauro Cesa
Creator
Editor
Subject
Language
eng
Summary
"The financial crisis of 2007-8 shook the world of quantitative finance. First, it caused the industry as a whole to question long-held truisms which threw into doubt the pricing of even the most vanilla of derivatives. Second, the regulatory response dramatically reshaped the derivatives industry leading quants to shift their focus on capital, funding and of course risk. The result has not been, as some doomsayers predicted, the end of quantitative finance or appreciation of its contribution to financial institutions and markets. Rather, quants have begun to rebuild. Aware now that frictions in markets under duress are the norm, not the exception, they are improving existing resilient models and developing new ones. 'Post-crisis quant finance' brings together for the first time 20 peer-reviewed papers from the Cutting Edge series of 'Risk', internationally recognised among the quantitative community. Contributors include Jesper Andreasen, Marco Avellaneda, Lorenzo Bergomi, Christoph Burgard, Jon Gregory, Julien Guyon, Brian Huge, Mats Kjaer, Richard Martin, Vladimir Piterbarg, Michael Pykhtin and Robin Stuart. The book is divided into three sections. I - Derivatives pricing, including equity derivatives; interest rates; derivatives; multiple-curve environments; collateralisation; and, pricing model calibration. II - Asset and risk management, including liquidity risk; short selling; risk measurement tools; and, correlation structures, III - Counterparty credit risk, including its bilateral formulation; connection with risk capital; stochastic representations; challenging computation; and, residual value of a deal at close-out. As Alexander Lipton, writing in the foreword says: "The reader will benefit from the expertise of some of the sharpest thinkers in the field". This book outlines practically relevant solutions to the complexities faced by quants post-crisis. Each of the 20 chapters targets a specific technical issue including pricing, hedging and risk management of financial securities. 'Post-crisis quant finance' is a must-read for quants, statisticians, researchers, risk managers, analysts and economists looking for the latest practical quantitative models designed by expert market practitioners"--provided by publisher
Cataloging source
IT-FiEUI
http://library.link/vocab/creatorName
Cesa, Mauro
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/subjectName
  • Finance
  • Credit
  • Financial crises
Label
Post-crisis quant finance, edited by Mauro Cesa
Instantiates
Publication
Copyright
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
txt
Content type MARC source
rdacontent.
Contents
Section 1. Derivatives pricing. -- Section 2. Asset and risk management. -- Section 3. Counterparty credit risk
Control code
FIEb17334780
Dimensions
24cm.
Extent
xxxviii, 358 pages
Isbn
9781782720072
Media category
unmediated
Media MARC source
rdamedia.
Media type code
n
Other physical details
illustrations
System control number
(OCoLC)832605614
Label
Post-crisis quant finance, edited by Mauro Cesa
Publication
Copyright
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
txt
Content type MARC source
rdacontent.
Contents
Section 1. Derivatives pricing. -- Section 2. Asset and risk management. -- Section 3. Counterparty credit risk
Control code
FIEb17334780
Dimensions
24cm.
Extent
xxxviii, 358 pages
Isbn
9781782720072
Media category
unmediated
Media MARC source
rdamedia.
Media type code
n
Other physical details
illustrations
System control number
(OCoLC)832605614

Library Locations

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      43.803074 11.283055
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