Frontiers in Quantitative Finance – Volatility and Credit Risk Modeling
Home > Business and Economics > Finance and accounting > Frontiers in Quantitative Finance – Volatility and Credit Risk Modeling
Frontiers in Quantitative Finance – Volatility and  Credit Risk Modeling

Frontiers in Quantitative Finance – Volatility and Credit Risk Modeling

|
     0     
5
4
3
2
1




Out of Stock


Notify me when this book is in stock
About the Book

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 quants and academic researchers cover the most important emerging issues in quantitative finance and focus on portfolio credit risk and volatility modeling.

Table of Contents:
Preface. About the Editor. About the Contributors. PART ONE: Option Pricing and Volatility Modeling. CHAPTER 1: A Moment Approach to Static Arbitrage ( Alexandre d'Aspremont ). 1.1 Introduction. 1.2 No-Arbitrage Conditions. 1.3 Example. 1.4 Conclusion. CHAPTER 2: On Black-Scholes Implied Volatility at Extreme Strikes ( Shalom Benaim, Peter Friz, and Roger Lee ). 2.1 Introduction. 2.2 The Moment Formula. 2.3 Regular Variation and the Tail-Wing Formula. 2.4 Related Results. 2.5 Applications. 2.6 CEV and SABR. CHAPTER 3: Dynamic Properties of Smile Models ( Lorenzo Bergomi ). 3.1 Introduction. 3.2 Some Standard Smile Models. 3.3 A New Class of Models for Smile Dynamics. 3.4 Pricing Examples. 3.5 Conclusion. CHAPTER 4: A Geometric Approach to the Asymptotics of Implied Volatility ( Pierre Henry-Labord'ere ). 4.1 Volatility Asymptotics in Stochastic Volatility Models. 4.2 Heat Kernel Expansion. 4.3 Geometry of Complex Curves and Asymptotic Volatility. 4.4 lambda -SABR Model and Hyperbolic Geometry. 4.5 SABR Model with beta = 0 , 1. 4.6 Conclusions and Future Work. 4.7 Appendix A: Notions in Differential Geometry. 4.8 Appendix B: Laplace Integrals in Many Dimensions. CHAPTER 5: Pricing, Hedging, and Calibration in Jump-Diffusion Models ( Peter Tankov and Ekaterina Voltchkova ). 5.1 Overview of Jump-Diffusion Models. 5.2 Pricing European Options via Fourier Transform. 5.3 Integro-differential Equations for Barrier and American Options. 5.4 Hedging Jump Risk. 5.5 Model Calibration. PART TWO: Credit Risk. CHAPTER 6: Modeling Credit Risk ( L. C. G. Rogers ). 6.1 What Is the Problem? 6.2 Hazard Rate Models. 6.3 Structural Models. 6.4 Some Nice Ideas. 6.5 Conclusion. CHAPTER 7: An Overview of Factor Modeling for CDO Pricing ( Jean-Paul Laurent and Areski Cousin ). 7.1 Pricing of Portfolio Credit Derivatives. 7.2 Factor Models for the Pricing of CDO Tranches. 7.3 A Review of Factor Approaches to the Pricing of CDOs. 7.4 Conclusion. CHAPTER 8: Factor Distributions Implied by Quoted CDO Spreads ( Erik Schlogl and Lutz Schlogl ). 8.1 Introduction. 8.2 Modeling. 8.3 Examples. 8.4 Conclusion. 8.5 Appendix: Some Useful Results on Hermite Polynomials under Linear Coordinate Transforms. CHAPTER 9: Pricing CDOs with a Smile: The Local Correlation Model ( Julien Turc and Philippe Very ). 9.1 The Local Correlation Model. 9.2 Simplification under the Large Pool Assumption. 9.3 Building the Local Correlation Function without the Large Pool Assumption. 9.4 Pricing and Hedging with Local Correlation. CHAPTER 10: Portfolio Credit Risk: Top-Down versus Bottom-Up Approaches ( Kay Giesecke ). 10.1 Introduction. 10.2 Portfolio Credit Models. 10.3 Information and Specification. 10.4 Default Distribution. 10.5 Calibration. 10.6 Conclusion. CHAPTER 11: Forward Equations for Portfolio Credit Derivatives ( Rama Cont and Ioana Savescu ). 11.1 Portfolio Credit Derivatives. 11.2 Top-Down Models for CDO Pricing. 11.3 Effective Default Intensity. 11.4 A Forward Equation for CDO Pricing. 11.5 Recovering Forward Default Intensities from Tranche Spreads. 11.6 Conclusion. Index.


Best Sellers


Product Details
  • ISBN-13: 9781118266915
  • Publisher: John Wiley & Sons Inc
  • Publisher Imprint: John Wiley & Sons Inc
  • Height: 250 mm
  • No of Pages: 300
  • Weight: 666 gr
  • ISBN-10: 1118266919
  • Publisher Date: 03 Jan 2012
  • Binding: Other digital
  • Language: English
  • Spine Width: 15 mm
  • Width: 150 mm


Similar Products

Add Photo
Add Photo

Customer Reviews

REVIEWS      0     
Click Here To Be The First to Review this Product
Frontiers in Quantitative Finance – Volatility and  Credit Risk Modeling
John Wiley & Sons Inc -
Frontiers in Quantitative Finance – Volatility and Credit Risk Modeling
Writing guidlines
We want to publish your review, so please:
  • keep your review on the product. Review's that defame author's character will be rejected.
  • Keep your review focused on the product.
  • Avoid writing about customer service. contact us instead if you have issue requiring immediate attention.
  • Refrain from mentioning competitors or the specific price you paid for the product.
  • Do not include any personally identifiable information, such as full names.

Frontiers in Quantitative Finance – Volatility and Credit Risk Modeling

Required fields are marked with *

Review Title*
Review
    Add Photo Add up to 6 photos
    Would you recommend this product to a friend?
    Tag this Book Read more
    Does your review contain spoilers?
    What type of reader best describes you?
    I agree to the terms & conditions
    You may receive emails regarding this submission. Any emails will include the ability to opt-out of future communications.

    CUSTOMER RATINGS AND REVIEWS AND QUESTIONS AND ANSWERS TERMS OF USE

    These Terms of Use govern your conduct associated with the Customer Ratings and Reviews and/or Questions and Answers service offered by Bookswagon (the "CRR Service").


    By submitting any content to Bookswagon, you guarantee that:
    • You are the sole author and owner of the intellectual property rights in the content;
    • All "moral rights" that you may have in such content have been voluntarily waived by you;
    • All content that you post is accurate;
    • You are at least 13 years old;
    • Use of the content you supply does not violate these Terms of Use and will not cause injury to any person or entity.
    You further agree that you may not submit any content:
    • That is known by you to be false, inaccurate or misleading;
    • That infringes any third party's copyright, patent, trademark, trade secret or other proprietary rights or rights of publicity or privacy;
    • That violates any law, statute, ordinance or regulation (including, but not limited to, those governing, consumer protection, unfair competition, anti-discrimination or false advertising);
    • That is, or may reasonably be considered to be, defamatory, libelous, hateful, racially or religiously biased or offensive, unlawfully threatening or unlawfully harassing to any individual, partnership or corporation;
    • For which you were compensated or granted any consideration by any unapproved third party;
    • That includes any information that references other websites, addresses, email addresses, contact information or phone numbers;
    • That contains any computer viruses, worms or other potentially damaging computer programs or files.
    You agree to indemnify and hold Bookswagon (and its officers, directors, agents, subsidiaries, joint ventures, employees and third-party service providers, including but not limited to Bazaarvoice, Inc.), harmless from all claims, demands, and damages (actual and consequential) of every kind and nature, known and unknown including reasonable attorneys' fees, arising out of a breach of your representations and warranties set forth above, or your violation of any law or the rights of a third party.


    For any content that you submit, you grant Bookswagon a perpetual, irrevocable, royalty-free, transferable right and license to use, copy, modify, delete in its entirety, adapt, publish, translate, create derivative works from and/or sell, transfer, and/or distribute such content and/or incorporate such content into any form, medium or technology throughout the world without compensation to you. Additionally,  Bookswagon may transfer or share any personal information that you submit with its third-party service providers, including but not limited to Bazaarvoice, Inc. in accordance with  Privacy Policy


    All content that you submit may be used at Bookswagon's sole discretion. Bookswagon reserves the right to change, condense, withhold publication, remove or delete any content on Bookswagon's website that Bookswagon deems, in its sole discretion, to violate the content guidelines or any other provision of these Terms of Use.  Bookswagon does not guarantee that you will have any recourse through Bookswagon to edit or delete any content you have submitted. Ratings and written comments are generally posted within two to four business days. However, Bookswagon reserves the right to remove or to refuse to post any submission to the extent authorized by law. You acknowledge that you, not Bookswagon, are responsible for the contents of your submission. None of the content that you submit shall be subject to any obligation of confidence on the part of Bookswagon, its agents, subsidiaries, affiliates, partners or third party service providers (including but not limited to Bazaarvoice, Inc.)and their respective directors, officers and employees.

    Accept

    New Arrivals

    Inspired by your browsing history


    Your review has been submitted!

    You've already reviewed this product!