"Dr Jan Dash has achieved a success that is truly unique. It is common to find texts from authors steeped in climate science or in decision making processes. But it is rare to find someone skilled at both. Dr Dash knows his science and he knows how to use it to make informed decisions as we face a changing and challenging climate."
Dr John Abraham University of St Thomas, USA
Review of the First Edition:
"... this document brings a wealth of practical information on how work is done in real world financial markets, and covers an impressive number of topics, ranging from management and computer system issues to research themes whose potential applications are yet to be explored. It can prove a useful tool to anyone already well acquainted with the basics of mathematical finance, including financial mathematicians, but also quantitative analysts wishing to learn more of the fundamentals without paying too high a price in mathematical prerequisites."
Mathematical Reviews
Written by a physicist with extensive experience as a risk/finance quant, 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 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 risk; Markets in Crisis and the Reggeon Field Theory; "Smart Monte Carlo" and American Monte Carlo; Trend Risk -- time scales and risk, the Macro-Micro model, singular spectrum analysis; credit risk: counterparty risk and issuer risk; stressed correlations -- new 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, advanced stressed VAR, model risk, numerical techniques, deals/portfolios, systems, data, economic capital, and a 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.
Автор: Guo, Xin , Lai, Tze Leung , Shek, Howard , Wong Название: Quantitative Trading ISBN: 0367871815 ISBN-13(EAN): 9780367871819 Издательство: Taylor&Francis Рейтинг: Цена: 10104.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The first part of this book discusses institutions and mechanisms of algorithmic trading, market microstructure, high-frequency data and stylized facts, time and event aggregation, order book dynamics, trading strategies and algorithms, transaction costs, market impact and execution strategies, risk analysis, and management. The second part cove
Discover the ins and outs of designing predictive trading models
Drawing on the expertise of WorldQuant's global network, this new edition of Finding Alphas: A Quantitative Approach to Building Trading Strategies contains significant changes and updates to the original material, with new and updated data and examples.
Nine chapters have been added about alphas - models used to make predictions regarding the prices of financial instruments. The new chapters cover topics including alpha correlation, controlling biases, exchange-traded funds, event-driven investing, index alphas, intraday data in alpha research, intraday trading, machine learning, and the triple axis plan for identifying alphas. You'll also find details of how to use WebSim, WorldQuant's web-based simulation platform, to test your alphas.
- Provides more references to the academic literature
- Includes new, high-quality material
- Organizes content in a practical and easy-to-follow manner
- Adds new alpha examples with formulas and explanations
If you're looking for the latest information on building trading strategies from a quantitative approach, this book has you covered.
Название: A Benchmark Approach to Quantitative Finance ISBN: 3642065651 ISBN-13(EAN): 9783642065651 Издательство: Springer Рейтинг: Цена: 8532.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: A framework for financial market modeling, the benchmark approach extends beyond standard risk neutral pricing theory.
Автор: Zhang Название: Stock Message Boards ISBN: 1137374179 ISBN-13(EAN): 9781137374172 Издательство: Springer Рейтинг: Цена: 13415.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Stock Message Boards provides empirical data to reveal how online communication not only impacts stock returns, but also volatility, trading volume, and liquidity, as well as an investing firm`s value and reputation.
Автор: Ting Christopher Hian Ann Название: Introduction To Quantitative Finance, An: A Three-Principle Approach ISBN: 981470430X ISBN-13(EAN): 9789814704304 Издательство: World Scientific Publishing Цена: 8554.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This Concise Textbook Provides A Unique Framework To Introduce Quantitative Finance To Advanced Undergraduate And Beginning Postgraduate Students. Inspired By Newton'S Three Laws Of Motion, Three Principles Of Quantitative Finance Are Proposed To Help Practitioners Also To Understand The Pricing Of Plain Vanilla Derivatives And Fixed Income Securities.The Book Provides A Refreshing Perspective On Box'S Thesis That "All Models Are Wrong, But Some Are Useful." Being Practice- And Market-Oriented, The Author Focuses On Financial Derivatives That Matter Most To Practitioners.The Three Principles Of Quantitative Finance Serve As Buoys For Navigating The Treacherous Waters Of Hypotheses, Models, And Gaps Between Theory And Practice. The Author Shows That A Risk-Based Parsimonious Model For Modeling The Shape Of The Yield Curve, The Arbitrage-Free Properties Of Options, The Black-Scholes And Binomial Pricing Models, Even The Capital Asset Pricing Model And The Modigliani-Miller Propositions Can Be Obtained Systematically By Applying The Normative Principles Of Quantitative Finance.
Автор: Pablo Azcue; Nora Muler Название: Stochastic Optimization in Insurance ISBN: 1493909940 ISBN-13(EAN): 9781493909940 Издательство: Springer Рейтинг: Цена: 6097.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The main purpose of the book is to show how a viscosity approach can be used to tackle control problems in insurance.
Автор: T. Kariya Название: Quantitative Methods for Portfolio Analysis ISBN: 9401047545 ISBN-13(EAN): 9789401047548 Издательство: Springer Рейтинг: Цена: 6097.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Quantitative Methods for Portfolio Analysis provides practical models and methods for the quantitative analysis of financial asset prices, construction of various portfolios, and computer-assisted trading systems.
Автор: George A. Christodoulakis Название: The Analytics of Risk Model Validation, ISBN: 0750681586 ISBN-13(EAN): 9780750681582 Издательство: Elsevier Science Рейтинг: Цена: 10778.00 р. Наличие на складе: Нет в наличии.
Описание: Risk model validation is an emerging and important area of research, and has arisen because of Basel I and II. This book provides a collection that focuses on the quantitative side of model validation. It the three main areas of risk: Credit Risk, Market and Operational Risk.
Автор: McNeil Alexander J. Название: Quantitative Risk Management ISBN: 0691166277 ISBN-13(EAN): 9780691166278 Издательство: Wiley Рейтинг: Цена: 15840.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
This book provides the most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management. Whether you are a financial risk analyst, actuary, regulator or student of quantitative finance, Quantitative Risk Management gives you the practical tools you need to solve real-world problems.
Describing the latest advances in the field, Quantitative Risk Management covers the methods for market, credit and operational risk modelling. It places standard industry approaches on a more formal footing and explores key concepts such as loss distributions, risk measures and risk aggregation and allocation principles. The book's methodology draws on diverse quantitative disciplines, from mathematical finance and statistics to econometrics and actuarial mathematics. A primary theme throughout is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. Proven in the classroom, the book also covers advanced topics like credit derivatives.
Fully revised and expanded to reflect developments in the field since the financial crisis
Features shorter chapters to facilitate teaching and learning
Provides enhanced coverage of Solvency II and insurance risk management and extended treatment of credit risk, including counterparty credit risk and CDO pricing
Includes a new chapter on market risk and new material on risk measures and risk aggregation
Автор: Ruiz Название: XVA Desks - A New Era for Risk Management ISBN: 1137448199 ISBN-13(EAN): 9781137448194 Издательство: Springer Рейтинг: Цена: 10366.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Written by a practitioner with years working in CVA, FVA and DVA this is a thorough, practical guide to a topic at the very core of the derivatives industry. It takes readers through all aspects of counterparty credit risk management and the business cycle of CVA, DVA and FVA, focusing on risk management, pricing considerations and implementation.
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