Encyclopedia of Quantitative Finance - Couverture rigide

Couverture rigide

ISBN 10 : 0470057564 ISBN 13 : 9780470057568

Editeur : John Wiley & Sons Ltd, 2010

A propos du livre

Présentation de l'éditeur :

"What initially looked like an impossible undertaking has become aformidable achievement, stretching from the theoretical foundationsto the most recent cutting edge methods. Mille bravos!"
Dr Bruno Dupire (Bloomberg L.P.)

The Encyclopedia of Quantitative Finance is a majorreference work designed to provide a comprehensive coverage ofessential topics related to the quantitative modelling of financialmarkets, with authoritative contributions from leading academicsand professionals.

Drawing on contributions from a wide spectrum of experts infields including financial economics, econometrics, mathematicalfinance, operations research, numerical analysis, risk managementand statistics, the Encyclopedia of Quantitative Financefaithful reflects the multidisciplinary nature of itssubject.
With a pool of author comprising over 400 leading academics andprofessionals worldwide, the Encyclopedia provides a balanced viewof theoretical and practical aspects of quantitative modelling infinance.

Topics covered in the Encyclopedia include

• the historical development of quantitative modelling infinance, including biographies of influential figures
• self–contained expositions of mathematical and statisticaltools used in financial modelling
• authoritative expositions on the foundations of financialtheory and mathematical finance, including arbitrage pricing, assetpricing theory, option pricing and asset allocation
• comprehensive reviews of various aspects of risk management:credit risk, market risk, operational risk, economic capital andBasel II with a detailed coverage of topics related to creditrisk
• up–to–date surveys of the state of the art in computationalfinance: Monte Carlo simulation, partial differential equations(PDEs), Fourier transform methods, model calibration
• detailed entries on various types of financial derivatives andmethods used for pricing and hedging them, including equityderivatives, credit derivatives, interest rate derivatives andforeign exchange derivatives
• pedagogical surveys of econometric methods and models used infinance, including GARCH models, GMM, realized volatility, factormodels, Mixed Data Sampling and high–frequency data
• empirical and theoretical aspects of market microstructure andtrade–level modelling
• timely entries on new topics such as commodity risk,electricity derivatives, algorithmic trading andmulti–fractals
• quantitative methods in actuarial science, including insurancederivatives, catastrophe bonds , equity–linked life insurance andother topics at the interface of finance and insurance

All articles contain are cross–referenced to other relevantarticles in the Encyclopedia and include detailed bibliographiesfor further reading.

The scope and breadth of the Encyclopedia will make it aninvaluable resource for students and researchers in finance,quantitative analysts and developers, risk managers, portfoliomanagers, regulators, financial market analysts and anyoneinterested in the complexity of today s financial markets andproducts.

À propos de cette édition

• Éditeur: John Wiley & Sons Ltd
• Date d'édition: 2010
• ISBN 10: 0470057564
• ISBN 13: 9780470057568
• Reliure: Relié
• Nombre de pages: 2224