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Quantitative finance and risk management : a physicist's approach

Author: Jan W Dash
Publisher: River Edge, NJ : World Scientific Pub., ©2004.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
"This book is designed for scientists and engineers desiring to learn quantitative finance, and for quantitative analysts and finance graduate students. Parts will be of interest to research academics."--Jacket.
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Document Type: Book
All Authors / Contributors: Jan W Dash
ISBN: 9812387129 9789812387127
OCLC Number: 55847170
Description: xix, 784 pages : illustrations ; 24 cm
Contents: 1. Introduction and outline --
2. Overview (tech. index 1/10) --
3. An exercise (tech. index 1/10) --
4. Equity options (tech. index 3/10) --
5. FX options (tech. index 4/10) --
6. Equity volatility skew (tech. index 6/10) --
7. Forward curves (tech. index 4/10) --
8. Interest-rate swaps (tech. index 3/10) --
9. Bonds : an overview (tech. index 2/10) --
10. Interest-rate caps (tech. index 4/10) --
11. Interest-rate swaptions (tech. index 5/10) --
12. Portfolios and scenarios (tech. index 3/10) --
13. A complex CVR option (tech. index 5/10) --
14. Two more case studies (tech. index 5/10) --
15. More exotics and risk (tech. index 5/10) --
16. A pot pourri of deals (tech. index 5/10). 17. Single barrier options (Tech. Index 6/10) --
18. Double barrier options (Tech. Index 7/10) --
19. Hybrid 2-D barrier options (Tech. Index 7/10) --
20. Average-rate options (Tech. Index 8/10) --
21. Fat tail volatility (Tech. Index 5.10) --
22. Correlation matrix formalism; the N-Sphere (Tech. Index 8/10) --
23. Stressed correlations and random matrices (Tech. Index 5/10) --
24. Optimally stressed PD correlation matrices (Tech. Index 7/10) --
25. Models for correlation dynamics, uncertainties (Tech. Index 6/10) --
26. Plain-vanilla VAR (Tech. Index 4/10) --
27. Improved/enhanced/stressed VAR (Tech. Index 5/10) --
28. VAR, CVAR, CVAR volatility formalism (Tech. Index 7/10) --
29. VAR and CVAR for two variables (Tech. Index 5/10) --
30. Corporate-level VAR (Tech. Index 3/10) --
31. Issuer credit risk (Tech. Index 5/10) --
32. Model risk overview (Tech. Index 3/10) --
33. Model quality assurance (Tech. Index 4/10) --
34. Systems issues overview (Tech. Index 2/10) --
35. Strategic computing (Tech. Index 3/10) --
36. Qualitative overview of data issues (Tech. Index 2/10) --
37. Correlations and data (Tech. Index 5/10) --
38. Wishart's theorem and Fisher's transform (Tech. Index 9/10) --
39. Economic capital (Tech. Index 4/10) --
40. Unused-limit risk (Tech. Index 6/10) --
41. Path integrals and options (Tech. Index 4/10) --
42. Path integrals and options I: introduction (Tech. Index 7/10) --
43. Path integrals and options II: interest-rates (Tech. Index) --
44. Path integrals and options III: numerical (Tech. Index 6/10) --
45. Path integrals and options IV: multiple factors (Tech. Index 9/10) --
46. The Reggeon Field Theory, fat tails, chaos (Tech. Index 10/10) --
47. The Macro-Micro model: overview (Tech. Index 4/10) --
48. A multivariate yield-curve lognormal model (Tech. Index 6/10) --
49. Strong mean-reverting multifactor YC model (Tech. Index 7/10) --
50. The Macro-Micro yield-curve model (Tech. Index 5/10) --
51. Macro-Micro model: further developments (Tech. Index 6/10) --
52. A function toolkit (Tech. Index 6/10).
Responsibility: Jan W. Dash.
More information:

Abstract:

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  Read more...

Table of Contents:

by jdash (WorldCat user on 2006-04-19)

TABLE OF CONTENTS PART I: Introduction, Overview, and Exercise 1. Introduction and Outline 2. Overview 3. An Exercise PART II: Risk Lab (Nuts and Bolts of Risk Management) 4. Equity Options 5. FX Options 6. Equity Volatility Skew 7. Forward Curves 8. Interest-Rate Swaps 9. Bonds: An Overview 10. Interest-Rate Caps 11. Interest-Rate Swaptions 12. Portfolios and Scenarios PART III: Exotics, Deals, and Case Studies 13. A Complex CVR Option 14. Two More Case Studies 15. More Exotics and Risk 16. A Pot Pourri of Deals 17. Single Barrier Options 18. Double Barrier Options 19. Hybrid 2-D Barrier Options 20. Average-Rate Options PART IV: Quantitative Risk Management 21. Fat Tail Volatility 22. Correlation Matrix Formalism; the N - Sphere 23. Stressed Correlations and Random Matrices 24. Optimally Stressed PD Correlation Matrices 25. Models for Correlation Dynamics, Uncertainties 26. Plain-Vanilla VAR 27. Improved/Enhanced/Stressed VAR 28. VAR, CVAR, CVAR Volatility Formalism 29. VAR and CVAR for Two Variables 30. Corporate-Level VAR 31. Issuer Credit Risk 32. Model Risk Overview 33. Model Quality Assurance 34. Systems Issues Overview 35. Strategic Computing 36. Qualitative Overview of Data Issues 37. Correlations and Data 38. Wishart’s Theorem and Fisher’s Transform 39. Economic Capital 40. Unused-Limit Risk PART V: Path Integrals, Green Functions, and Options 41. Path Integrals and Options: Overview 42. Path Integrals and Options I: Introduction 43. Path Integrals and Options II: Interest-Rates 44. Path Integrals and Options III: Numerical 45. Path Integrals and Options IV: Multiple Factors 46. The Reggeon Field Theory, Fat Tails, Chaos PART VI: The Macro-Micro Model (A Research Topic) 47. The Macro-Micro Model: Overview 48. A Multivariate Yield-Curve Lognormal Model 49. Strong Mean-Reverting Multifactor YC Model 50. The Macro-Micro Yield-Curve Model 51. Macro-Micro Model: Further Developments 52. A Function Toolkit Index

Notes:

by jdash (WorldCat user on 2006-04-19)

Jan W. Dash: "Quantitative Finance and Risk Management, A Physicist’s Approach”, ISBN 9812387129. ·Hardcover: 804 pages ·Publisher: World Scientific Publishing Company; (Oct, 2004) ---------------------------------- Description / Synopsis 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 — for each chapter. The finance in each chapter is self-contained. Real-life comments on "life as a quant" are included. This book is designed for scientists and engineers desiring to learn quantitative finance, and for quantitative analysts and finance graduate students. Parts will be of interest to research academics. ---------------------------------- About the Author Jan Dash was Director of Quantitative Analysis at Citigroup/Salomon Smith Barney, Fuji Capital Markets Corp, and Euro Brokers. He began his Wall Street career in 1987 as V.P. Manager at Merrill Lynch. He introduced path integrals for options, managed PhD quant groups, and worked in many areas in finance involving all the topics in this book. He has a PhD in physics from UC Berkeley, was Directeur de Recherche at the Centre de Physique Théorique CNRS Marseille, and published over 60 scientific papers. ---------------------------------- Topics 1. Standard and Advanced Theory and Practical Applications in Fixed Income, Equities, FX. 2. Quantitative Finance and Risk Management Topics: Traditional and Exotic Derivatives, Market Risk, Credit Issuer Risk, Stressed Correlation Matrices, Fat Tails, Stressed/Enhanced VAR, Model Risk/Quality Assurance, Numerical Techniques, Deals/Portfolios, Systems, Data, Economic Capital, Reggeon Field Theory, A Function Toolkit. 3. Case Studies in Corporate Finance and Options. 4. "Life as a Quant": Communication Issues, Sociology, Stories, Advice. 5. Risk Lab: The Nuts and Bolts of Risk Management. 6. Research Topic: The Macro-Micro Model Producing Realistic Yield-Curve Movements, While Combining Aspects of Economics and Finance (with Multiple Time Scales, Multiple Factors, Quasi-Random Macro Trends, Strong Mean-Reverting Micro Trading Fluctuations, Occasional Jumps). 7. Feynman Path Integrals, Green Functions, and Options. ---------------------------------- Review “This is a great book by a good writer”. Robert E. Jensen, Professor of Business Administration, Trinity University www.trinity.edu/rjensen/acct5341/speakers/133glosf.htm#0000Begin

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