Post-crisis Quant Finance - Couverture souple

Cesa, Mauro

Couverture souple

ISBN 10 : 1782720073 ISBN 13 : 9781782720072

Editeur : Risk Books, 2013

A propos du livre

Présentation de l'éditeur :

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.

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.

It is this new wave of developments that is the focus of Post-Crisis Quant Finance, edited and introduced by Risk magazine s Technical Editor, Mauro Cesa. 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

II - Asset and risk management

III - Counterparty credit risk

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.

Biographie de l'auteur :

Mauro Cesa is the technical editor of the Risk Management and Alternative Investment (RMAI) division at Incisive Media in London. Since 2009, he has been responsible for the Cutting Edge section of Risk, Energy Risk, Insurance Risk and ETF Risk magazines. Cutting Edge publishes peer-reviewed quantitative finance articles with a focus on the pricing and hedging of financial instruments, as well as risk management relevant to investment banking, buy-side industry, energy firms and insurance companies. Before joining Incisive Media in 2007, Mauro worked with the quantitative asset management team at Eurizon Capital in Milan on equity and fixed income investment models for mutual funds and pension funds. He studied economics at Trieste University and Aarhus University, and holds an MA in quantitative finance from Brescia University.

À propos de cette édition

• Éditeur: Risk Books
• Date d'édition: 2013
• ISBN 10: 1782720073
• ISBN 13: 9781782720072
• Reliure: Broché
• Nombre de pages: 358