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Frontiers in quantitative finance : volatility and credit risk modeling

Author: Rama Cont
Publisher: Hoboken, N.J. : John Wiley & Sons, ©2009.
Series: Wiley finance series.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
The Petit D'euner de la Finance-which author Rama Cont has been co-organizing in Paris since 1998-is a well-known quantitative finance seminar that has progressively become a platform for the exchange of ideas between the academic and practitioner communities in quantitative finance. Frontiers in Quantitative Finance is a selection of recent presentations in the Petit D'euner de la Finance. In this book, leading  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Frontiers in quantitative finance.
Hoboken, N.J. : John Wiley & Sons, ©2009
(DLC) 2008026309
(OCoLC)230181884
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Rama Cont
ISBN: 9780470407165 0470407166 9780470456804 0470456809 9781118266915 1118266919 1281938653 9781281938657
OCLC Number: 299038896
Description: 1 online resource (xvii, 299 pages) : illustrations.
Contents: Front Matter --
Option Pricing and Volatility Modeling. A Moment Approach to Static Arbitrage / Alexandre d'Aspremont --
On Black-Scholes Implied Volatility at Extreme Strikes / Shalom Benaim, Peter Friz, Roger Lee --
Dynamic Properties of Smile Models / Lorenzo Bergomi --
A Geometric Approach to the Asymptotics of Implied Volatility / Pierre Henry-Labord`re --
Pricing, Hedging, and Calibration in Jump-Diffusion Models / Peter Tankov, Ekaterina Voltchkova --
Credit Risk. Modeling Credit Risk / L C G Rogers --
An Overview of Factor Modeling for CDO Pricing / Jean-Paul Laurent, Areski Cousin --
Factor Distributions Implied by Quoted CDO Spreads / Erik Schl̲gl, Lutz Schl̲gl --
Pricing CDOs with a Smile: The Local Correlation Model / Julien Turc, Philippe Very --
Portfolio Credit Risk: Top-Down versus Bottom-Up Approaches / Kay Giesecke --
Forward Equations for Portfolio Credit Derivatives / Rama Cont, Ioana Savescu --
Index.
Series Title: Wiley finance series.
Responsibility: Rama Cont, editor.

Abstract:

The Petit D'euner de la Finance-which author Rama Cont has been co-organizing in Paris since 1998-is a well-known quantitative finance seminar that has progressively become a platform for the  Read more...

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