Quantitative Finance And Risk Management A Physicist S Approach 2nd Edition
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Quantitative Finance And Risk Management A Physicist S Approach 2nd Edition
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Author : Jan W Dash
language : en
Publisher: World Scientific Publishing Company
Release Date : 2016-05-10
Quantitative Finance And Risk Management A Physicist S Approach 2nd Edition written by Jan W Dash and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-05-10 with Business & Economics categories.
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.
Quantitative Finance And Risk Management
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Author : Jan W. Dash
language : en
Publisher: World Scientific
Release Date : 2004
Quantitative Finance And Risk Management written by Jan W. Dash and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Business & Economics categories.
Written by a physicist with over 15 years of 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. Both standard and new results are presented. A "Technical Index" indicates the mathematical level--from zero to PhD mathematical background--for each section. The finance aspect in each section is self-contained. Real-life comments on "life as a quant" are included. The writing style is informal. This book is targeted at scientists and engineers desiring to learn quantitative finance, as well as quantitative analysts and finance graduate students.
Quantitative Finance For Physicists
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Author : Anatoly B. Schmidt
language : en
Publisher: Elsevier
Release Date : 2010-07-19
Quantitative Finance For Physicists written by Anatoly B. Schmidt and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-07-19 with Business & Economics categories.
With more and more physicists and physics students exploring the possibility of utilizing their advanced math skills for a career in the finance industry, this much-needed book quickly introduces them to fundamental and advanced finance principles and methods. Quantitative Finance for Physicists provides a short, straightforward introduction for those who already have a background in physics. Find out how fractals, scaling, chaos, and other physics concepts are useful in analyzing financial time series. Learn about key topics in quantitative finance such as option pricing, portfolio management, and risk measurement. This book provides the basic knowledge in finance required to enable readers with physics backgrounds to move successfully into the financial industry. Short, self-contained book for physicists to master basic concepts and quantitative methods of finance Growing field—many physicists are moving into finance positions because of the high-level math required Draws on the author's own experience as a physicist who moved into a financial analyst position
Handbook Of Quantitative Finance And Risk Management
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Author : Cheng-Few Lee
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-06-14
Handbook Of Quantitative Finance And Risk Management written by Cheng-Few Lee and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-06-14 with Business & Economics categories.
Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.
Applied Quantitative Finance
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Author : Wolfgang Karl Härdle
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-08-26
Applied Quantitative Finance written by Wolfgang Karl Härdle and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-08-26 with Mathematics categories.
Recent years have witnessed a growing importance of quantitative methods in both financial research and industry. This development requires the use of advanced techniques on a theoretical and applied level, especially when it comes to the quantification of risk and the valuation of modern financial products. Applied Quantitative Finance (2nd edition) provides a comprehensive and state-of-the-art treatment of cutting-edge topics and methods. It provides solutions to and presents theoretical developments in many practical problems such as risk management, pricing of credit derivatives, quantification of volatility and copula modelling. The synthesis of theory and practice supported by computational tools is reflected in the selection of topics as well as in a finely tuned balance of scientific contributions on practical implementation and theoretical concepts. This linkage between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners comfortable access to new techniques in quantitative finance. Themes that are dominant in current research and which are presented in this book include among others the valuation of Collaterized Debt Obligations (CDOs), the high-frequency analysis of market liquidity, the pricing of Bermuda options and realized volatility. All Quantlets for the calculation of the given examples are downloadable from the Springer web pages.
World Scientific Encyclopedia Of Climate Change Case Studies Of Climate Risk Action And Opportunity In 3 Volumes
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Author : Jan W Dash
language : en
Publisher: World Scientific
Release Date : 2021-03-18
World Scientific Encyclopedia Of Climate Change Case Studies Of Climate Risk Action And Opportunity In 3 Volumes written by Jan W Dash and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-03-18 with Science categories.
The Climate Change Encyclopedia responds to the outstanding risk, survival, and ethical issue of our time, requiring action and providing opportunity. Primary-source expert authors write in a unique case-study structure that enables the Encyclopedia to be approachable, informational, and motivational for the public. The key focus areas are Climate Change and Finance, Economics, and Policy, with many other related climate categories included. The over 100 case studies provide realistic and interesting views of climate change, based on authors' published papers, reports, and books, plus climate-related activities of organizations, and selected topics. This inspiring work can enhance optimism and courage to act urgently and persistently on climate change, with foresight for a livable future.For more information on the list of contributors, please refer to https://www.worldscientific.com/page/encyclopedia-of-climate-change.Related Link(s)
Applied Quantitative Finance
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Author : Wolfgang Karl Härdle
language : en
Publisher: Springer
Release Date : 2011-02-12
Applied Quantitative Finance written by Wolfgang Karl Härdle and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-02-12 with Mathematics categories.
Recent years have witnessed a growing importance of quantitative methods in both financial research and industry. This development requires the use of advanced techniques on a theoretical and applied level, especially when it comes to the quantification of risk and the valuation of modern financial products. Applied Quantitative Finance (2nd edition) provides a comprehensive and state-of-the-art treatment of cutting-edge topics and methods. It provides solutions to and presents theoretical developments in many practical problems such as risk management, pricing of credit derivatives, quantification of volatility and copula modelling. The synthesis of theory and practice supported by computational tools is reflected in the selection of topics as well as in a finely tuned balance of scientific contributions on practical implementation and theoretical concepts. This linkage between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners comfortable access to new techniques in quantitative finance. Themes that are dominant in current research and which are presented in this book include among others the valuation of Collaterized Debt Obligations (CDOs), the high-frequency analysis of market liquidity, the pricing of Bermuda options and realized volatility. All Quantlets for the calculation of the given examples are downloadable from the Springer web pages.
Theoretical Physics Wavelets Analysis Genomics
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Author : Patrick Flandrin
language : en
Publisher: Springer Nature
Release Date : 2023-05-31
Theoretical Physics Wavelets Analysis Genomics written by Patrick Flandrin and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-05-31 with Mathematics categories.
Over the course of a scientific career spanning more than fifty years, Alex Grossmann (1930-2019) made many important contributions to a wide range of areas including, among others, mathematics, numerical analysis, physics, genetics, and biology. His lasting influence can be seen not only in his research and numerous publications, but also through the relationships he cultivated with his collaborators and students. This edited volume features chapters written by some of these colleagues, as well as researchers whom Grossmann’s work and way of thinking has impacted in a decisive way. Reflecting the diversity of his interests and their interdisciplinary nature, these chapters explore a variety of current topics in quantum mechanics, elementary particles, and theoretical physics; wavelets and mathematical analysis; and genomics and biology. A scientific biography of Grossmann, along with a more personal biography written by his son, serve as an introduction. Also included are the introduction to his PhD thesis and an unpublished paper coauthored by him. Researchers working in any of the fields listed above will find this volume to be an insightful and informative work.
Market Risk Analysis Quantitative Methods In Finance
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Author : Carol Alexander
language : en
Publisher: John Wiley & Sons
Release Date : 2008-04-30
Market Risk Analysis Quantitative Methods In Finance written by Carol Alexander and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-04-30 with Business & Economics categories.
Written by leading market risk academic, Professor Carol Alexander, Quantitative Methods in Finance forms part one of the Market Risk Analysis four volume set. Starting from the basics, this book helps readers to take the first step towards becoming a properly qualified financial risk manager and asset manager, roles that are currently in huge demand. Accessible to intelligent readers with a moderate understanding of mathematics at high school level or to anyone with a university degree in mathematics, physics or engineering, no prior knowledge of finance is necessary. Instead the emphasis is on understanding ideas rather than on mathematical rigour, meaning that this book offers a fast-track introduction to financial analysis for readers with some quantitative background, highlighting those areas of mathematics that are particularly relevant to solving problems in financial risk management and asset management. Unique to this book is a focus on both continuous and discrete time finance so that Quantitative Methods in Finance is not only about the application of mathematics to finance; it also explains, in very pedagogical terms, how the continuous time and discrete time finance disciplines meet, providing a comprehensive, highly accessible guide which will provide readers with the tools to start applying their knowledge immediately. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Principal component analysis of European equity indices; Calibration of Student t distribution by maximum likelihood; Orthogonal regression and estimation of equity factor models; Simulations of geometric Brownian motion, and of correlated Student t variables; Pricing European and American options with binomial trees, and European options with the Black-Scholes-Merton formula; Cubic spline fitting of yields curves and implied volatilities; Solution of Markowitz problem with no short sales and other constraints; Calculation of risk adjusted performance metrics including generalised Sharpe ratio, omega and kappa indices.
The Statistical Mechanics Of Financial Markets
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Author : Johannes Voit
language : en
Publisher: Springer Science & Business Media
Release Date : 2005-12-28
The Statistical Mechanics Of Financial Markets written by Johannes Voit and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-12-28 with Mathematics categories.
The present third edition of The Statistical Mechanics of Financial Markets is published only four years after the ?rst edition. The success of the book highlights the interest in a summary of the broad research activities on the application of statistical physics to ?nancial markets. I am very grateful to readers and reviewers for their positive reception and comments. Why then prepare a new edition instead of only reprinting and correcting the second edition? The new edition has been signi?cantly expanded, giving it a more pr- tical twist towards banking. The most important extensions are due to my practical experience as a risk manager in the German Savings Banks’ As- ciation (DSGV): Two new chapters on risk management and on the closely related topic of economic and regulatory capital for ?nancial institutions, - spectively, have been added. The chapter on risk management contains both the basics as well as advanced topics, e. g. coherent risk measures, which have not yet reached the statistical physics community interested in ?nancial m- kets. Similarly, it is surprising how little research by academic physicists has appeared on topics relating to Basel II. Basel II is the new capital adequacy framework which will set the standards in risk management in many co- tries for the years to come. Basel II is responsible for many job openings in banks for which physicists are extemely well quali?ed. For these reasons, an outline of Basel II takes a major part of the chapter on capital.