Quantitative Methods for Electricity Trading and Risk Management, S. Fiorenzani
Автор: McNeil Alexander J. Название: Quantitative Risk Management ISBN: 0691166277 ISBN-13(EAN): 9780691166278 Издательство: Wiley Рейтинг: Цена: 15048.00 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
Описание: Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation and risk management.
Описание: The first section provides a description of the investment management process providing a context for quantitative techniques. Section 2 addresses different quantitative techniques as applied to investment management. Section 3 brings together issues such as currency management, performance measurement and appraisal and performance analysis.
"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.
Описание: Written by leading market risk academic, Professor Carol Alexander, Quantitative Methods in Finance forms part one of the Market Risk Analysis four volume set.
Автор: Guyon Название: Nonlinear Pricing Methods in Quantitative Finance ISBN: 1466570334 ISBN-13(EAN): 9781466570337 Издательство: Taylor&Francis Рейтинг: Цена: 27562.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
New Tools to Solve Your Option Pricing Problems
For nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. Written by two leaders in quantitative research--including Risk magazine's 2013 Quant of the Year--Nonlinear Option Pricing compares various numerical methods for solving high-dimensional nonlinear problems arising in option pricing. Designed for practitioners, it is the first authored book to discuss nonlinear Black-Scholes PDEs and compare the efficiency of many different methods.
Real-World Solutions for Quantitative Analysts
The book helps quants develop both their analytical and numerical expertise. It focuses on general mathematical tools rather than specific financial questions so that readers can easily use the tools to solve their own nonlinear problems. The authors build intuition through numerous real-world examples of numerical implementation. Although the focus is on ideas and numerical examples, the authors introduce relevant mathematical notions and important results and proofs. The book also covers several original approaches, including regression methods and dual methods for pricing chooser options, Monte Carlo approaches for pricing in the uncertain volatility model and the uncertain lapse and mortality model, the Markovian projection method and the particle method for calibrating local stochastic volatility models to market prices of vanilla options with/without stochastic interest rates, the a + bλ technique for building local correlation models that calibrate to market prices of vanilla options on a basket, and a new stochastic representation of nonlinear PDE solutions based on marked branching diffusions.
Описание: A fully revised second edition focused on the best practices of enterprise risk management Since the first edition of Enterprise Risk Management: From Incentives to Controls was published a decade ago, much has changed in the worlds of business and finance.
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